# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000145
**Filing Date:** 2023-3
**Character Count:** 525575
**Document Hash:** 9b94570a92578f3a147330f634f0d005
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000145.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000145

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO VARIABLE INSURANCE TRUST
- **CENTRAL INDEX KEY:** 0001047304
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 23688678

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9497204721

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO Total Return Portfolio (Series ID: S000009665)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026489 | Administrative | VPVTRDV         |
| C000026490 | Institutional  | VPVTRIV         |
| C000030985 | Advisor        | VPVTRVV         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Variable Insurance Trust

- **b. Investment Company Act file number:** 811-08399

- **c. CIK number of Registrant:** 0001047304

- **d. LEI of Registrant:** 549300KNGHUU7TTJOR56

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 877-4626

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

- **a. Name of Series:** PIMCO Total Return Portfolio

- **b. EDGAR series identifier (if any):** S000009665

- **c. LEI of Series:** WXIJUDZ58N7QM7IEFC20

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $8750284531.92

**Total Liabilities:** $4006710657.99

**Net Assets:** $4743573873.93

**Cash Not Reported:** $232206089.81

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 234434.598800 | **1-Year:** 217163.693500 | **5-Year:** 1262760.450000 | **10-Year:** 481051.490700 | **30-Year:** -171482.215900

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

- **3-Month:** 1499.271100 | **1-Year:** 38421.359100 | **5-Year:** 132218.377700 | **10-Year:** 30478.212400 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026489 | -1.77%               | 3.70%                | -0.08%               |
| Class ID C000030985 | -1.78%               | 3.69%                | -0.09%               |
| Class ID C000026490 | -1.76%               | 3.71%                | -0.07%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-67354735.12            | $-23590289.86                              |
| Month 2  | $-21748013.86            | $189864078.94                              |
| Month 3  | $24579851.87             | $-51023643.10                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Total Return Unhedged USD Index

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                              | 317U1Q9A3 PIMCO SWAPTION 3.14 PUT EUR 20230609           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10600000 | NC      | $-347799.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QBA0 PIMCO SWAPTION 4.715 PUT USD 2023091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -137500000 | NC      | $-408045.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QCA9 PIMCO SWAPTION 4.2325 PUT USD 202309           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -137400000 | NC      | $-707293.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QDA8 PIMCO SWAPTION 3.75 PUT USD 20230911           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  137400000 | NC      | $1116265.08   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QEA7 PIMCO SWAPTION 3.75 PUT USD 20230911           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  137500000 | NC      | $1117077.50   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QFA6 PIMCO SWAPTION 4.715 PUT USD 2023091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -137400000 | NC      | $-407748.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QGA5 PIMCO SWAPTION 4.2325 PUT USD 202309           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -137500000 | NC      | $-707808.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QNA7 PIMCO SWAPTION 3.55 PUT USD 20230112           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6000000 | NC      | $-50147.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QOA6 PIMCO SWAPTION 3.0 CALL USD 20230112           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6000000 | NC      | $-808.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QPA5 PIMCO SWAPTION 3.75 PUT USD 20230912           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  145800000 | NC      | $1185499.80   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QQA4 PIMCO SWAPTION 4.25 PUT USD 20230912           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -145800000 | NC      | $-737485.56   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QRA3 PIMCO SWAPTION 4.75 PUT USD 20230912           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -145800000 | NC      | $-414873.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1RFA4 PIMCO SWAPTION 2.61 CALL USD 2023011           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-330.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1RGA3 PIMCO SWAPTION 3.11 PUT USD 20230117           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-68915.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1ROA4 PIMCO SWAPTION 3.05 PUT USD 20230117           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-87725.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1RPA3 PIMCO SWAPTION 2.6 CALL USD 20230117           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-297.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1S3A5 PIMCO SWAPTION 3.4 PUT USD 20230117            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4800000 | NC      | $-80514.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1S4A4 PIMCO SWAPTION 2.9 CALL USD 20230117           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4800000 | NC      | $-530.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1S9A9 PIMCO SWAPTION 3.18 PUT USD 20230119           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-51346.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1SAA7 PIMCO SWAPTION 2.74 CALL USD 2023011           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-1818.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1T0A6 PIMCO SWAPTION 3.52 PUT USD 20230123           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4900000 | NC      | $-58085.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1T1A5 PIMCO SWAPTION 3.07 CALL USD 2023012           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4900000 | NC      | $-4122.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A      | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000000 | PA      | $12022844.40  | 0.25%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U460O3 PIMCO FPPSWAPTION 2.721 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -24500000 | NC      | $-288862.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U461O2 PIMCO FPPSWAPTION 2.721 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -24500000 | NC      | $-64949.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U474O7 PIMCO FPPSWAPTION 2.835 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-18144.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U475O6 PIMCO FPPSWAPTION 2.79 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-17451.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U476O5 PIMCO FPPSWAPTION 2.79 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-70182.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U477O4 PIMCO FPPSWAPTION 2.835 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-68310.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U478O3 PIMCO FPPSWAPTION 2.785 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-70392.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U479O2 PIMCO FPPSWAPTION 2.785 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-17376.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1            | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129497 | PA      | $122051.71    | 0.00%             | 2035-05-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.55000 08/10/22-2Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-279851.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 04/12/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3469138.15  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/13/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2539102.18  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/18/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1010397.89  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.58000 05/24/23-1Y (RED) LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-6881257.48  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.75000 03/15/23-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-20330947.19 | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 1A2           | CUSIP: 05951GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1429798 | PA      | $1159159.73   | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 3A2 144A     | CUSIP: 05968KAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19524305 | PA      | $3210766.17   | 0.07%             | 2036-07-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 3.75000 06/15/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-1457526.50  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 4.00000 06/14/23-1Y (RED) LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-1308927.66  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 4.25000 12/21/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-66836.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.63500 04/18/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3087869.02  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.69000 04/19/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3002645.62  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.73000 02/24/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2704508.63  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.78250 04/22/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2392633.65  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.81700 04/18/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5621477.28  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.94300 04/21/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1637599.18  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $3577248.77   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/0.3800 06/18/18-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-1268656.99  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/0.7500 03/20/19-19Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $66952.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/0.7500 6/20/19-20Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $113032.95    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/0.7850 11/12/18-20Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $473610.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/0.8000 10/22/18-20Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $294748.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTKCALM/0.5000 03/15/22-20Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $7881419.84   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTKCALM/0.6620 04/19/22-20Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $251386.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTKCALM/0.8000 06/15/22-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $4171195.08   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.57300 02/28/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-628642.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4166041.22   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 12/21/22-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21609314.93  | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.76500 03/16/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2422561.46  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.15000 06/15/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7691711.33  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.85000 08/29/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-561722.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.05000 09/08/22-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-313772.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.10000 09/09/22-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-306798.86   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.27000 09/13/23-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $80156.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.35000 09/14/23-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $18761.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.12 12/10/21-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-401399.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.2055 12/13/21-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1585148.40  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.665 12/13/21-01/02/24 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-322849.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.7547 12/13/21-01/02/24 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1848848.36  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.8327 12/15/21-01/02/24 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-358269.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.99 03/29/22-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-399026.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.9951 12/09/21-01/02/24 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-780236.23   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.065 12/03/21-01/02/24 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-711108.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.165 03/29/22-01/02/25 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-188517.72   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.18 03/29/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-279143.99   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.32 03/28/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-432565.52   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.35 03/28/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-416351.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.371 03/25/22-01/02/25 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1000420.61  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.587 10/13/22-01/02/25 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $896426.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.6625 11/04/22-01/02/25 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $1346892.85   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.9 03/29/22-01/02/24 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $247916.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.91 03/29/22-01/02/24 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $245005.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.92 03/29/22-01/02/24 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $162617.11    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.005 08/05/22-01/02/25 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-688836.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.015 03/28/22-01/02/24 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $381032.64    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.02 03/28/22-01/02/24 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $376823.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.03 03/25/22-01/02/24 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $880586.24    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.07 05/20/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-806935.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.195 06/23/22-01/02/25 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-177006.56   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.275 06/22/22-01/02/25 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-113924.52   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.59 06/07/22-01/02/25 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-53193.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.76455 10/07/22-01/02/24 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $358073.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.835 10/13/22-01/02/24 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $304058.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.9576 11/03/22-01/02/24 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $459033.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.98 12/13/22-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $166138.60    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.99 12/13/22-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $84904.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.024 12/13/22-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $90787.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 7.9 07/06/21-01/02/24 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $162728.22    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20230510                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $119691.82    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CZK BOUGHT USD 20230113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-2255.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230327                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-423190.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230912                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-64603.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175255N9 OTC ECAL FN 5.5 JAN23 101.859375 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -11400000 | NC      | $-104.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175346J9 ECAL FN 5.5 FEB23 102 CALL                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3800000 | NC      | $-6741.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317541068 OTC EPUT FN 5.5 FEB23 100 PUT                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-4194.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317543V29 OTC ECAL FN 5.5 JAN23 102.25 CALL              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8300000 | NC      | $-4.98        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317546DV8 EPUT FN 5.5 FEB23 100 PUT                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3800000 | NC      | $-26568.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317551R84 EPUT FN 5.5 FEB23 99,75 PUT                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5700000 | NC      | $-34556.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317553QJ7 ECAL FN 5.5 FEB23 101,75 CALL                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5700000 | NC      | $-13022.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317557H41 OTC ECAL FN 5.5 FEB23 101.8125 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-1717.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317581LR5 OTC ECAL FN 5.5 FEB23 102 CALL                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-1064.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/26 VAR              | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2485300.69   | 0.05%             | 2026-04-02      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317594885 OPTION FEB23 99.8125 OTC EPUT FN 5.5           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-5026.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)MAR23 XCBT 20230322                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1079 | NC      | $-1113056.35  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR ULTRA FUT MAR23 XCBT 20230322                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -472 | NC      | $563540.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) MAR23 XCBT 20230331                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        159 | NC      | $17809.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) MAR23 XCBT 20230331                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        642 | NC      | $-239628.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US LONG BOND(CBT) MAR23 XCBT 20230322                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        306 | NC      | $-941642.17   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 10/26 VAR              | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5073167.47   | 0.11%             | 2026-10-24      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4          | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71375 | PA      | $66182.36     | 0.00%             | 2033-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                        | BANQUE FED CRED MUTUEL SR UNSECURED 144A 07/23 VAR       | CUSIP: 06675FAQ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   13400000 | PA      | $13419786.98  | 0.28%             | 2023-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 03/25 3.65                     | CUSIP: 06738EAE5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $480738.01    | 0.01%             | 2025-03-16      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 VAR      | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7684414.05   | 0.16%             | 2023-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25     | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4559140.25   | 0.10%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                          | BCAP LLC TRUST BCAP 2007 AA2 12A1                        | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1471940 | PA      | $1325502.56   | 0.03%             | 2047-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 12A1 144A                   | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187796 | PA      | $182590.65    | 0.00%             | 2037-03-26      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1          | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     836717 | PA      | $672926.27    | 0.01%             | 2036-01-26      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1          | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     620289 | PA      | $447579.73    | 0.01%             | 2046-12-26      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1           | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14217 | PA      | $13633.56     | 0.00%             | 2036-02-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1           | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        387 | PA      | $361.53       | 0.00%             | 2030-11-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1          | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93053 | PA      | $87549.35     | 0.00%             | 2034-01-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 12A5         | CUSIP: 07384MG97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214828 | PA      | $197865.90    | 0.00%             | 2034-04-25      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1        | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92464 | PA      | $79894.56     | 0.00%             | 2035-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 23A1        | CUSIP: 07384M4K5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44352 | PA      | $39587.09     | 0.00%             | 2035-01-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1               | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     512633 | PA      | $476738.72    | 0.01%             | 2035-05-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2               | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38447 | PA      | $35808.61     | 0.00%             | 2035-05-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1               | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     415186 | PA      | $258080.42    | 0.01%             | 2035-09-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 35A1               | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1341613 | PA      | $776040.33    | 0.02%             | 2036-05-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1          | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16126 | PA      | $15870.66     | 0.00%             | 2033-04-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1          | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202165 | PA      | $178039.12    | 0.00%             | 2034-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1          | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     608296 | PA      | $580923.21    | 0.01%             | 2034-11-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1         | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1609 | PA      | $1532.74      | 0.00%             | 2033-02-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2         | CUSIP: 07384MSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3367 | PA      | $2648.63      | 0.00%             | 2033-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE2                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE2 M2         | CUSIP: 073879RA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2669620 | PA      | $2652727.83   | 0.06%             | 2035-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A2        | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3996735 | PA      | $3827338.09   | 0.08%             | 2036-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2        | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     518816 | PA      | $499351.15    | 0.01%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2022-B33                                               | BENCHMARK MORTGAGE TRUST BMARK 2022 B33 A5               | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $13300945.50  | 0.28%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XVII LTD                                             | BENEFIT STREET PARTNERS CLO LT BSP 2019 17A AR 144A      | CUSIP: 08182BAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13300000 | PA      | $13003741.30  | 0.27%             | 2032-07-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BIG COMMERCIAL MORTGAGE TRUST 2022-BIG                                           | BIG COMMERCIAL MORTGAGE TRUST BIG 2022 BIG A 144A        | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $14427042.00  | 0.30%             | 2039-02-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | BLUE OWL FINANCE LLC COMPANY GUAR 144A 06/31 3.125       | CUSIP: 09581JAA4<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $12663280.45  | 0.27%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS JR SUBORDINA 144A 12/99 VAR                  | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    1900000 | PA      | $1472690.89   | 0.03%             | 2031-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS SR UNSECURED 144A 01/25 VAR                  | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   14400000 | PA      | $14261881.97  | 0.30%             | 2025-01-10      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS SR UNSECURED 144A 04/32 VAR                  | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   17000000 | PA      | $13333419.94  | 0.28%             | 2032-04-19      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/24 1.433                       | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12500000 | PA      | $11984094.38  | 0.25%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/26 2.75                        | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   15500000 | PA      | $14381589.13  | 0.30%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                             | BOSTON PROPERTIES LP SR UNSECURED 12/28 4.5              | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    7308000 | PA      | $6789155.60   | 0.14%             | 2028-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SERVICES                                                      | DISCOVER FINANCIAL SVS JR SUBORDINA 12/99 VAR            | CUSIP: 254709AQ1<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | EP               | CORP              | US        |    5500000 | NS      | $5356230.00   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC COMPANY GUAR 144A 02/33 2.6                 | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   16900000 | PA      | $12730104.48  | 0.27%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 04/34 3.469               | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    4097000 | PA      | $3280473.47   | 0.07%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 11/35 3.137               | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   22963000 | PA      | $16954084.87  | 0.36%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 11/36 3.187               | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2019980.06   | 0.04%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BUSINESS MORTGAGE FINANCE 7 PLC X                                                | BUSINESS MORTGAGE FINANCE PLC BUMF 7X A1 REGS            | CUSIP: ACI085MJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     387116 | PA      | $466529.25    | 0.01%             | 2041-02-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 03/29 VAR             | CUSIP: 13947LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    4900000 | PA      | $4611145.00   | 0.10%             | 2029-03-28      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                                | CAPITAL ONE FINANCIAL CO SR UNSECURED 03/26 VAR          | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    8200000 | PA      | $7687108.94   | 0.16%             | 2026-03-03      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                                | CAPITAL ONE FINANCIAL CO SR UNSECURED 07/26 VAR          | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   12800000 | PA      | $12548803.97  | 0.26%             | 2026-07-24      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CARLYLE FINANCE SUBSIDIARY LLC                                                   | CARLYLE FINANCE SUB LLC COMPANY GUAR 144A 09/29 3.5      | CUSIP: 14314DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4154666.78   | 0.09%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CATAMARAN CLO LTD 2014-1A                                                        | CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A                 | CUSIP: 14889DAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   21887721 | PA      | $21575216.02  | 0.45%             | 2030-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MORTGAGE TRUST                                                       | CD COMMERCIAL MORTGAGE TRUST CD 2017 CD5 A4              | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5900000 | PA      | $5427948.67   | 0.11%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7                                          | CFCRE COMMERCIAL MORTGAGE TRUS CFCRE 2016 C7 ASB         | CUSIP: 12532BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5344102 | PA      | $5112763.56   | 0.11%             | 2054-12-10      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR            | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4822857.94   | 0.10%             | 2024-02-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A5         | CUSIP: 16162WQM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     896146 | PA      | $761710.11    | 0.02%             | 2036-01-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                     | REPUBLIC OF CHILE SR UNSECURED 07/31 0.83                | CUSIP: ACI1CXLV6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   14400000 | PA      | $12116585.57  | 0.26%             | 2031-07-02      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                                        | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR      | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |    6600000 | NS      | $6138000.00   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC-2021-1A                                                                     | CIFC FUNDING LTD CIFC 2021 1A A1 144A                    | CUSIP: 12563EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9500000 | PA      | $9363541.05   | 0.20%             | 2033-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 02/28 VAR                     | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $6411012.52   | 0.14%             | 2028-02-24      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 06/24 VAR                     | CUSIP: 172967MA6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   16500000 | PA      | $16524800.99  | 0.35%             | 2024-06-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 06/31 VAR                     | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7605000 | PA      | $6167628.46   | 0.13%             | 2031-06-03      | Floating      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A1          | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2752719 | PA      | $1439862.75   | 0.03%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A      | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1795822 | PA      | $993334.78    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A          | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45182 | PA      | $41794.66     | 0.00%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 2 1A4           | CUSIP: 17307GRE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153975 | PA      | $147510.70    | 0.00%             | 2035-05-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2            | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1279707 | PA      | $1228702.21   | 0.03%             | 2035-09-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                                  | CHICAGO IL CHI 01/42 FIXED 7.75                          | CUSIP: 167486D22<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |    1367000 | PA      | $1389903.40   | 0.03%             | 2042-01-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                                   | COMMONWEALTH BANK AUST SR UNSECURED 144A 03/27 2.552     | CUSIP: 2027A0KK4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    4700000 | PA      | $4279728.21   | 0.09%             | 2027-03-14      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON COMPANY OF NEW YORK INC                                      | CONSOLIDATED ED CO N                                     | CUSIP: 20911MNK9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   13700000 | PA      | $13664654.00  | 0.29%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA SR UNSECURED 144A 02/27 VAR     | CUSIP: 74977RDK7<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    8000000 | PA      | $6996374.80   | 0.15%             | 2027-02-24      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 3A1        | CUSIP: 12667F2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9149377 | PA      | $7291471.19   | 0.15%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A16      | CUSIP: 02149JCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5611680 | PA      | $3023313.16   | 0.06%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1B       | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2032898 | PA      | $1931000.67   | 0.04%             | 2046-09-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-18CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 18CB 2A25      | CUSIP: 02151NBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5010036 | PA      | $3084838.34   | 0.07%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B       | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6645236 | PA      | $6141597.94   | 0.13%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1        | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     705434 | PA      | $592747.41    | 0.01%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-32T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 32T1 A3        | CUSIP: 12667GC84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2658454 | PA      | $1447034.16   | 0.03%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 2A4           | CUSIP: 12667LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6379608 | PA      | $6005655.79   | 0.13%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-2                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 2 M1             | CUSIP: 1266713Z7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     278102 | PA      | $273424.37    | 0.01%             | 2034-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-15                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 15 A5A           | CUSIP: 12666UAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8099961 | PA      | $6347847.99   | 0.13%             | 2046-10-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A            | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6152400 | PA      | $5452463.44   | 0.11%             | 2047-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 6 1A1            | CUSIP: 126670ZH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450693 | PA      | $450535.63    | 0.01%             | 2036-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 2A3           | CUSIP: 126697AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182806 | PA      | $181871.06    | 0.00%             | 2047-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-QH1                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 QH1 A1B 144A     | CUSIP: 12666XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1708969 | PA      | $1539496.55   | 0.03%             | 2036-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-2                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 2 M1             | CUSIP: 126670UW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1634359 | PA      | $1617823.77   | 0.03%             | 2036-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                   | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     398043 | PA      | $359698.00    | 0.01%             | 2034-11-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1                | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97456 | PA      | $96708.59     | 0.00%             | 2035-02-20      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A               | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65573 | PA      | $54412.64     | 0.00%             | 2036-02-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA/LONDON BRANCH                                                 | CREDIT AGRICOLE LONDON SR UNSECURED 144A 06/26 VAR       | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   11300000 | PA      | $10310297.18  | 0.22%             | 2026-06-16      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1         | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292856 | PA      | $139655.23    | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/ ZURICH BRANCH                                                  | CREDIT SUISSE AG SUBORDINATED REGS 08/23 6.5             | CUSIP: ACI06K5Q2<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |    3800000 | PA      | $3688682.80   | 0.08%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR       | CUSIP: 225436AA2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     400000 | PA      | $315349.20    | 0.01%             | 2024-12-18      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR       | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   12300000 | PA      | $10774800.00  | 0.23%             | 2023-12-11      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/28 VAR       | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   17900000 | PA      | $16327727.19  | 0.34%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/33 VAR       | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    7500000 | PA      | $6599204.85   | 0.14%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CREDIT SUISSE GROUP AG SR UNSECURED 144A 09/25 VAR       | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   15200000 | PA      | $13446580.44  | 0.28%             | 2025-09-11      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE                                             | CUSIP: 22823QN49<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $7095219.36   | 0.15%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE                                             | CUSIP: 22823QN56<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    9300000 | PA      | $9292473.23   | 0.20%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST 2019-C18                                         | CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2019 C18 A4         | CUSIP: 12597DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7446000 | PA      | $6411743.15   | 0.14%             | 2052-12-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                                     | CUBESMART LP COMPANY GUAR 12/28 2.25                     | CUSIP: 22966RAH9<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |   15700000 | PA      | $12968535.20  | 0.27%             | 2028-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | DALLAS FORT WORTH TX INTERNATI DALAPT 11/31 FIXED 2.246  | CUSIP: 2350366T2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2500000 | PA      | $1992684.25   | 0.04%             | 2031-11-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S SR UNSECURED 144A 04/28 4.298            | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   14000000 | PA      | $12893676.88  | 0.27%             | 2028-04-01      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2022-1                                              | DELL EQUIPMENT FINANCE TRUST DEFT 2022 1 A2 144A         | CUSIP: 24703WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6685187 | PA      | $6597597.14   | 0.14%             | 2027-08-23      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                | DELL INT LLC / EMC CORP SR UNSECURED 07/25 5.85          | CUSIP: 24703TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15150000 | PA      | $15325472.75  | 0.32%             | 2025-07-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-1                                            | DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A1           | CUSIP: 251510CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107704 | PA      | $101429.73    | 0.00%             | 2035-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR2                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR2 A1          | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2542189 | PA      | $2368209.27   | 0.05%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY SR UNSECURED 02/23 3.95                 | CUSIP: 251526BR9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    5415000 | PA      | $5396643.04   | 0.11%             | 2023-02-27      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY SR UNSECURED 09/31 VAR                  | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    5000000 | PA      | $4019265.50   | 0.08%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY SR UNSECURED 11/25 VAR                  | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   25200000 | PA      | $24098214.67  | 0.51%             | 2025-11-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                              | DOLP TRUST DOLP 2021 NYC A 144A                          | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20100000 | PA      | $16027496.79  | 0.34%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DRYDEN 60 CLO LTD                                                                | DRYDEN SENIOR LOAN FUND DRSLF 2018 60A A 144A            | CUSIP: 26251NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12900000 | PA      | $12679265.52  | 0.27%             | 2031-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVI SENIOR LOAN FUND 2013-26A                                            | DRYDEN SENIOR LOAN FUND DRSLF 2013 26A AR 144A           | CUSIP: 26250UAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7494493 | PA      | $7429127.37   | 0.16%             | 2029-04-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORPORATION                                                          | DUKE ENERGY CORP                                         | CUSIP: 26244JNB1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9185930.16   | 0.19%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORPORATION                                                          | DUKE ENERGY CORP                                         | CUSIP: 26244JNH8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9178692.80   | 0.19%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                             | DUKE ENERGY OHIO INC 1ST MORTGAGE 02/29 3.65             | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5197175.54   | 0.11%             | 2029-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC (AKA: PROGRESS ENERGY CAROLINAS INC)                    | DUKE ENERGY PROGRESS LLC 1ST MORTGAGE 08/31 2            | CUSIP: 26442UAL8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   13200000 | PA      | $10463806.98  | 0.22%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DUKE UNIVERSITY                                                                  | DUKE UNIVERSITY UNSECURED 10/44 2.682                    | CUSIP: 26442TAF4<br>LEI: FY5ICUIRRDCHN4HHL592 | Long             | DBT              | CORP              | US        |   18900000 | PA      | $13741413.40  | 0.29%             | 2044-10-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                                                                   | EDP FINANCE BV SR UNSECURED 144A 01/28 1.71              | CUSIP: 26835PAH3<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |   13300000 | PA      | $10998318.89  | 0.23%             | 2028-01-24      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1                                        | ELLINGTON FINANCIAL MORTGAGE T EFMT 2020 1 A1 144A       | CUSIP: 31574PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     514668 | PA      | $498227.32    | 0.01%             | 2065-05-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                                  | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A               | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73187 | PA      | $68582.70     | 0.00%             | 2040-05-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| EMORY UNIVERSITY                                                                 | EMORY UNIVERSITY UNSECURED 09/30 2.143                   | CUSIP: 29157TAD8<br>LEI: 95MD72NUUVZ3P8PQ6919 | Long             | DBT              | CORP              | US        |   12700000 | PA      | $10538882.40  | 0.22%             | 2030-09-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                                | ENBRIDGE (US) INC                                        | CUSIP: 29251VN93<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $9387576.30   | 0.20%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                                | ENBRIDGE (US) INC                                        | CUSIP: 29251VNL6<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $9373658.10   | 0.20%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                                                         | ENEL FINANCE AMERICA                                     | CUSIP: 29279HNC5<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |    9300000 | PA      | $9284202.37   | 0.20%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/31 2.25        | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   17000000 | PA      | $12407628.33  | 0.26%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                            | ENTERGY LOUISIANA LLC 1ST MORTGAGE 06/32 2.35            | CUSIP: 29364WBH0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   15500000 | PA      | $12360263.89  | 0.26%             | 2032-06-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES SR UNSECURED 08/29 3.75                   | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $3374548.84   | 0.07%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                      | EQUINIX INC SR UNSECURED 04/32 3.9                       | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $7843048.49   | 0.17%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                                   | EUROPEAN INVESTMENT BANK SR UNSECURED REGS 08/23 0.5     | CUSIP: B42XTXII5<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |    2600000 | PA      | $1734844.94   | 0.04%             | 2023-08-10      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                             | EUROSAIL PLC ESAIL 2007 1X A3C REGS                      | CUSIP: B1SW63II6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     841029 | PA      | $1007838.23   | 0.02%             | 2045-03-13      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-2X                                                             | EUROSAIL PLC ESAIL 2007 2X A3C REGS                      | CUSIP: B1VVXHII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     559897 | PA      | $665214.64    | 0.01%             | 2045-03-13      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | EXPEDIA GROUP INC COMPANY GUAR 02/30 3.25                | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11700000 | PA      | $9950586.28   | 0.21%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-25                                                               | FANNIE MAE FNR 2003 25 KP                                | CUSIP: 31393APU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     184641 | PA      | $183282.81    | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                               | FANNIE MAE FNR 2005 79 NF                                | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144605 | PA      | $142294.74    | 0.00%             | 2035-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                                              | FANNIE MAE FNR 2006 118 A1                               | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62588 | PA      | $62235.67     | 0.00%             | 2036-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                                | FANNIE MAE FNR 2006 5 3A2                                | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32972 | PA      | $32765.77     | 0.00%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-42                                                               | FANNIE MAE FNR 2007 42 AF                                | CUSIP: 31396VN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13870 | PA      | $13495.63     | 0.00%             | 2037-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                               | FANNIE MAE FNR 2007 73 A1                                | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     197020 | PA      | $193166.32    | 0.00%             | 2037-07-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-7                                                         | FANNIE MAE FNR 2012 7 QF                                 | CUSIP: 3136A3VW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4342735 | PA      | $4221568.79   | 0.09%             | 2042-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-38                                                        | FANNIE MAE FNR 2015 38 DF                                | CUSIP: 3136APAH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1154857 | PA      | $1128941.85   | 0.02%             | 2055-06-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-58                                                        | FANNIE MAE FNR 2015 58 AI                                | CUSIP: 3136APU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5224476 | PA      | $157381.59    | 0.00%             | 2055-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1993-45                                                               | FANNIE MAE FNR 1993 45 Z                                 | CUSIP: 31358UPF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2183 | PA      | $2180.17      | 0.00%             | 2023-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                                         | FANNIEMAE ACES FNA 2020 M33 X2                           | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15131346 | PA      | $1448925.48   | 0.03%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                                     | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                     | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209539 | PA      | $206299.28    | 0.00%             | 2044-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL REALTY INVESTMENT TRUST                                                  | FEDERAL REALTY INVS TRST SR UNSECURED 06/30 3.5          | CUSIP: 313747BA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6800000 | PA      | $5835517.44   | 0.12%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786190 FH 07/27 FLOATING VAR           | CUSIP: 31348S2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $52.05        | 0.00%             | 2027-07-01      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786223 FH 01/28 FLOATING VAR           | CUSIP: 31348S4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $98.43        | 0.00%             | 2028-01-01      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR           | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $116.52       | 0.00%             | 2030-07-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A56718 FG 01/37 FIXED 6                | CUSIP: 3128KKPB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1116335 | PA      | $1167928.60   | 0.02%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A64142 FG 08/37 FIXED 6                | CUSIP: 3128KUS73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42486 | PA      | $44312.48     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A65652 FG 09/37 FIXED 6                | CUSIP: 3128KWH55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2583 | PA      | $2679.74      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A66612 FG 10/37 FIXED 6                | CUSIP: 3128KXKZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6261 | PA      | $6399.48      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A67153 FG 10/37 FIXED 6                | CUSIP: 3128KX5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22056 | PA      | $22999.53     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A68937 FG 11/37 FIXED 6                | CUSIP: 3128L04W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5422 | PA      | $5554.90      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A68998 FG 11/37 FIXED 6                | CUSIP: 3128L07K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23692 | PA      | $24652.88     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A76476 FG 04/38 FIXED 6                | CUSIP: 3128LAFR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28067 | PA      | $28720.46     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A78008 FG 06/38 FIXED 6                | CUSIP: 3128LB3R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9615 | PA      | $10002.70     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A80378 FG 12/36 FIXED 5.5              | CUSIP: 312926M39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        526 | PA      | $528.17       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A80388 FG 12/36 FIXED 6                | CUSIP: 312926ND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13001 | PA      | $13564.10     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A81614 FG 09/38 FIXED 6                | CUSIP: 312927YK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1485 | PA      | $1536.29      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A81618 FG 09/38 FIXED 6                | CUSIP: 312927YP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21351 | PA      | $21985.59     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C00358 FG 08/24 FIXED 8.5              | CUSIP: 31292GMF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        355 | PA      | $358.76       | 0.00%             | 2024-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01353 FG 03/32 FIXED 7.5              | CUSIP: 31292HQE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14271 | PA      | $15171.56     | 0.00%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C62771 FG 01/32 FIXED 7.5              | CUSIP: 31287NCG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2996 | PA      | $3071.15      | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91239 FG 03/29 FIXED 4.5              | CUSIP: 3128P7LU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210781 | PA      | $209586.52    | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91244 FG 04/29 FIXED 4.5              | CUSIP: 3128P7LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     363225 | PA      | $361166.70    | 0.01%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91245 FG 04/29 FIXED 4                | CUSIP: 3128P7L27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1267 | PA      | $1235.35      | 0.00%             | 2029-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91263 FG 08/29 FIXED 4                | CUSIP: 3128P7ML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20216 | PA      | $19709.73     | 0.00%             | 2029-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91273 FG 10/29 FIXED 4                | CUSIP: 3128P7MW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93919 | PA      | $91565.78     | 0.00%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91335 FG 09/30 FIXED 4                | CUSIP: 3128P7PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96454 | PA      | $93559.08     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91339 FG 10/30 FIXED 4                | CUSIP: 3128P7PY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19869 | PA      | $19272.21     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5              | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     318520 | PA      | $329843.36    | 0.01%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03620 FG 10/37 FIXED 6.5              | CUSIP: 3128M5K90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2479 | PA      | $2605.96      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03646 FG 01/38 FIXED 6                | CUSIP: 3128M5L32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19323 | PA      | $20153.97     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03698 FG 12/37 FIXED 6                | CUSIP: 3128M5NP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26554 | PA      | $27739.18     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03776 FG 01/38 FIXED 6                | CUSIP: 3128M5Q52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1761 | PA      | $1835.49      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04479 FG 01/38 FIXED 6                | CUSIP: 3128M6JY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50873 | PA      | $53047.65     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04589 FG 08/37 FIXED 5.5              | CUSIP: 3128M6NE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3837 | PA      | $3986.25      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04598 FG 10/34 FIXED 5.5              | CUSIP: 3128M6NP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20012 | PA      | $20500.54     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04614 FG 02/34 FIXED 6                | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108012 | PA      | $111942.20    | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04621 FG 05/35 FIXED 6                | CUSIP: 3128M6PE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9465 | PA      | $9802.29      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04624 FG 02/33 FIXED 6                | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8116 | PA      | $8345.00      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04715 FG 06/38 FIXED 6                | CUSIP: 3128M6SC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11938 | PA      | $12489.56     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5              | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126016 | PA      | $130930.96    | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05666 FG 04/38 FIXED 6                | CUSIP: 3128M7TX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18899 | PA      | $19708.25     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5              | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     257611 | PA      | $267657.19    | 0.01%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G06479 FG 01/41 FIXED 4                | CUSIP: 3128M8Q80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     667881 | PA      | $644973.52    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G06840 FG 05/40 FIXED 6                | CUSIP: 3128M84Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6621 | PA      | $6741.96      | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54900 FG 03/48 FIXED 3.5              | CUSIP: 3132XXNS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1767159 | PA      | $1640631.21   | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD5748 FR 02/52 FIXED 2                | CUSIP: 3133B3L54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14134897 | PA      | $11534235.43  | 0.24%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8010 FR 03/52 FIXED 2                | CUSIP: 3133B53T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9786599 | PA      | $7985182.23   | 0.17%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD9898 FR 04/52 FIXED 3                | CUSIP: 3133B77K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24039300 | PA      | $21121850.78  | 0.45%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE0739 FR 04/52 FIXED 3.5              | CUSIP: 3133B9ZC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2110650 | PA      | $1923186.00   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE5168 FR 06/52 FIXED 3                | CUSIP: 3133BEW58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500339 | PA      | $1318925.70   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE8034 FR 08/52 FIXED 3                | CUSIP: 3133BH4T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   66798361 | PA      | $58717395.59  | 1.24%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA6608 FR 02/52 FIXED 3                | CUSIP: 3133KNKV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     441037 | PA      | $387564.25    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7130 FR 04/52 FIXED 3                | CUSIP: 3133KN4P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11047791 | PA      | $9730265.38   | 0.21%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5010 FR 07/39 FIXED 2.5              | CUSIP: 3133KYR76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     280725 | PA      | $247212.91    | 0.01%             | 2039-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5037 FR 03/40 FIXED 2.5              | CUSIP: 3133KYS26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     772863 | PA      | $680633.82    | 0.01%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8033 FR 02/35 FIXED 3.5              | CUSIP: 3132D54S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22073 | PA      | $21249.71     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0935 FR 04/52 FIXED 3                | CUSIP: 3132DNBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21287705 | PA      | $18723532.37  | 0.39%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8235 FR 08/52 FIXED 3                | CUSIP: 3132DWEG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15117708 | PA      | $13284385.00  | 0.28%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8258 FR 10/52 FIXED 5                | CUSIP: 3132DWE74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19577896 | PA      | $19325502.27  | 0.41%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2584 FR 12/25 FIXED 3.5              | CUSIP: 31329K2R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12592 | PA      | $12312.92     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA3645 FR 02/25 FIXED 3.5              | CUSIP: 31329MBN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19966 | PA      | $19625.30     | 0.00%             | 2025-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5490 FR 06/48 FIXED 3.5              | CUSIP: 31329PC35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1428333 | PA      | $1322560.98   | 0.03%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2532 FR 09/25 FIXED 3.5              | CUSIP: 3131X5Y55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22957 | PA      | $22486.64     | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2540 FR 09/25 FIXED 3.5              | CUSIP: 3131X5ZD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15517 | PA      | $15184.75     | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2569 FR 09/25 FIXED 3.5              | CUSIP: 3131X52A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9943 | PA      | $9770.80      | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2595 FR 10/25 FIXED 3.5              | CUSIP: 3131X53C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6532 | PA      | $6418.27      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2605 FR 10/25 FIXED 3.5              | CUSIP: 3131X53N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27205 | PA      | $26623.17     | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2724 FR 11/25 FIXED 3.5              | CUSIP: 3131X6AZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6925 | PA      | $6804.96      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2808 FR 12/25 FIXED 3.5              | CUSIP: 3131X6DM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60661 | PA      | $59338.08     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2827 FR 12/25 FIXED 3.5              | CUSIP: 3131X6D80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31140 | PA      | $30443.56     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2981 FR 02/26 FIXED 3.5              | CUSIP: 3131X6J27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22897 | PA      | $22387.24     | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3022 FR 02/26 FIXED 3.5              | CUSIP: 3131X6LB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20996 | PA      | $20633.01     | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3078 FR 03/26 FIXED 3.5              | CUSIP: 3131X6M31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28026 | PA      | $27370.06     | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3302 FR 06/26 FIXED 3.5              | CUSIP: 3131X6U32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28241 | PA      | $27544.93     | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3379 FR 06/26 FIXED 3.5              | CUSIP: 3131X6XG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14082 | PA      | $13738.03     | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3482 FR 08/26 FIXED 3.5              | CUSIP: 3131X62P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6949 | PA      | $6811.72      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4118 FR 05/27 FIXED 3.5              | CUSIP: 3131X7SF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13963 | PA      | $13625.57     | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK6470 FR 02/29 FIXED 3.5              | CUSIP: 3131XAFK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9407 | PA      | $9229.80      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM2479 FR 01/47 FIXED 4                | CUSIP: 3131XVXG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2484419 | PA      | $2376324.99   | 0.05%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6228 FR 04/26 FIXED 3.5              | CUSIP: 3132A64M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9282 | PA      | $9075.26      | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6378 FR 01/26 FIXED 3.5              | CUSIP: 3132A7CP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7208 | PA      | $7083.31      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8518 FR 02/29 FIXED 3.5              | CUSIP: 3132A9PB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38698 | PA      | $37417.73     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1              | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63066 | PA      | $63362.05     | 0.00%             | 2045-02-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 3A1        | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     904634 | PA      | $778583.66    | 0.02%             | 2035-08-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1        | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     655450 | PA      | $611753.37    | 0.01%             | 2035-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FIRST NATIONWIDE TRUST 2001-3                                                    | FIRST NATIONWIDE TRUST FNT 2001 3 1A1                    | CUSIP: 22540A3S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        334 | PA      | $315.80       | 0.00%             | 2031-08-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FLORIDA HURRICANE CATASTROPHE FD FIN COR                                         | FLORIDA ST BRD OF ADMIN FIN CO FLSGEN 07/27 FIXED 1.705  | CUSIP: 341271AE4<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |    3000000 | PA      | $2614211.70   | 0.06%             | 2027-07-01      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190367 FN 01/36 FIXED VAR                      | CUSIP: 31368HMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23649 | PA      | $24516.60     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254145 FN 01/32 FIXED 5.5                      | CUSIP: 31371KHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2372 | PA      | $2432.43      | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254393 FN 06/32 FIXED 7                        | CUSIP: 31371KRN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36030 | PA      | $36961.91     | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254880 FN 08/23 FIXED 4.5                      | CUSIP: 31371LCR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        516 | PA      | $513.12       | 0.00%             | 2023-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254983 FN 12/33 FIXED 5.5                      | CUSIP: 31371LFY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        786 | PA      | $810.75       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255073 FN 02/34 FIXED 5.5                      | CUSIP: 31371LJS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73434 | PA      | $75808.27     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255111 FN 03/34 FIXED 5.5                      | CUSIP: 31371LKY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1979 | PA      | $2043.00      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255165 FN 03/24 FIXED 4.5                      | CUSIP: 31371LMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        313 | PA      | $308.22       | 0.00%             | 2024-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255411 FN 10/34 FIXED 5.5                      | CUSIP: 31371LVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90511 | PA      | $93494.52     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255706 FN 05/35 FIXED 5.5                      | CUSIP: 31371MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3122 | PA      | $3229.50      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255713 FN 04/25 FIXED 4.5                      | CUSIP: 31371MAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5984 | PA      | $5887.10      | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255731 FN 06/25 FIXED 5                        | CUSIP: 31371MA80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15648 | PA      | $15591.20     | 0.00%             | 2025-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255771 FN 07/35 FIXED 6                        | CUSIP: 31371MCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1645 | PA      | $1702.95      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255814 FN 08/35 FIXED 5.5                      | CUSIP: 31371MDT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52691 | PA      | $54601.98     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255834 FN 06/25 FIXED 4.5                      | CUSIP: 31371MEF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        321 | PA      | $316.05       | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255843 FN 09/35 FIXED 5.5                      | CUSIP: 31371MEQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78954 | PA      | $81767.96     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255844 FN 09/35 FIXED 6                        | CUSIP: 31371MER4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17287 | PA      | $17939.01     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255900 FN 10/35 FIXED 6                        | CUSIP: 31371MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10253 | PA      | $10614.93     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255984 FN 11/25 FIXED 4.5                      | CUSIP: 31371MJ57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9893 | PA      | $9731.19      | 0.00%             | 2025-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256022 FN 12/35 FIXED 5.5                      | CUSIP: 31371MLB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56769 | PA      | $58792.47     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256059 FN 01/36 FIXED 5.5                      | CUSIP: 31371MMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18967 | PA      | $19650.70     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256125 FN 01/26 FIXED 5                        | CUSIP: 31371MPJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60165 | PA      | $59944.21     | 0.00%             | 2026-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256253 FN 05/26 FIXED 5                        | CUSIP: 31371MTJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14850 | PA      | $14772.30     | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256436 FN 10/36 FIXED 6                        | CUSIP: 31371MY92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51707 | PA      | $54037.45     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256464 FN 09/26 FIXED 4.5                      | CUSIP: 31371MZ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10146 | PA      | $9989.40      | 0.00%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256476 FN 11/36 FIXED 6                        | CUSIP: 31371M2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2477 | PA      | $2588.55      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256750 FN 06/27 FIXED 5                        | CUSIP: 31371NEX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5771 | PA      | $5750.17      | 0.00%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257101 FN 02/28 FIXED 5                        | CUSIP: 31371NRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4605 | PA      | $4632.88      | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257132 FN 03/28 FIXED 5                        | CUSIP: 31371NSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     257713 | PA      | $259273.83    | 0.01%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257203 FN 05/28 FIXED 5                        | CUSIP: 31371NU45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4233 | PA      | $4258.43      | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257238 FN 06/28 FIXED 5                        | CUSIP: 31371NV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5396 | PA      | $5429.20      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 338358 FN 11/25 FLOATING VAR                   | CUSIP: 31375LZX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $22.78        | 0.00%             | 2025-11-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 339016 FN 11/35 FLOATING VAR                   | CUSIP: 31375MSD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7891 | PA      | $7832.37      | 0.00%             | 2035-11-01      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357705 FN 02/35 FIXED 5.5                      | CUSIP: 31376KKS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        670 | PA      | $692.88       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357797 FN 06/35 FIXED 5.5                      | CUSIP: 31376KNN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1260 | PA      | $1304.26      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357843 FN 07/35 FIXED 6                        | CUSIP: 31376KP42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6257 | PA      | $6462.06      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357944 FN 09/35 FIXED 6                        | CUSIP: 31376KS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11355 | PA      | $11684.52     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 373183 FN 10/32 FLOATING VAR                   | CUSIP: 31377CRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53615 | PA      | $52918.33     | 0.00%             | 2032-10-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535341 FN 09/39 FLOATING VAR                   | CUSIP: 31384VWA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9058 | PA      | $8918.50      | 0.00%             | 2039-09-01      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544860 FN 09/34 FLOATING VAR                   | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18789 | PA      | $19151.45     | 0.00%             | 2034-09-01      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544861 FN 12/36 FLOATING VAR                   | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35749 | PA      | $35685.65     | 0.00%             | 2036-12-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555417 FN 05/33 FIXED VAR                      | CUSIP: 31385XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        373 | PA      | $385.67       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 683351 FN 02/33 FIXED 5.5                      | CUSIP: 31400CEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        655 | PA      | $674.16       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 699537 FN 07/33 FIXED 5.5                      | CUSIP: 31400WEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1392 | PA      | $1414.64      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 702916 FN 05/33 FIXED 5.5                      | CUSIP: 31401A3Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1533 | PA      | $1573.47      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 713974 FN 07/33 FIXED 5.5                      | CUSIP: 31401PFP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12697 | PA      | $12996.30     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 713975 FN 07/33 FIXED 5.5                      | CUSIP: 31401PFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8841 | PA      | $9126.78      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 720087 FN 07/33 FIXED 5.5                      | CUSIP: 31401V6Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1664 | PA      | $1716.46      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725423 FN 05/34 FIXED VAR                      | CUSIP: 31402C4G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1120055 | PA      | $1155790.36   | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725425 FN 04/34 FIXED VAR                      | CUSIP: 31402C4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     529505 | PA      | $546515.55    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 727051 FN 09/33 FIXED 5.5                      | CUSIP: 31402EWL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $297.19       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 732218 FN 06/43 FLOATING VAR                   | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     237028 | PA      | $226005.03    | 0.00%             | 2043-06-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735022 FN 12/34 FIXED VAR                      | CUSIP: 31402QSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5387 | PA      | $5568.49      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735124 FN 11/34 FIXED VAR                      | CUSIP: 31402QVR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1386 | PA      | $1390.66      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735224 FN 02/35 FIXED VAR                      | CUSIP: 31402QYV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65602 | PA      | $67733.26     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735227 FN 02/35 FIXED VAR                      | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202788 | PA      | $209639.18    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735635 FN 06/35 FIXED VAR                      | CUSIP: 31402RHL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40263 | PA      | $40627.15     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735718 FN 07/35 FIXED VAR                      | CUSIP: 31402RK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8630 | PA      | $8876.47      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735894 FN 09/35 FIXED VAR                      | CUSIP: 31402RRP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1043 | PA      | $1079.74      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 739439 FN 09/33 FIXED 5.5                      | CUSIP: 31402VPY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60113 | PA      | $60510.95     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745343 FN 03/36 FIXED VAR                      | CUSIP: 31403DBL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        878 | PA      | $909.71       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745412 FN 12/35 FIXED VAR                      | CUSIP: 31403DDR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2244 | PA      | $2319.18      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745418 FN 04/36 FIXED VAR                      | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10063 | PA      | $10428.59     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745516 FN 05/36 FIXED VAR                      | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65013 | PA      | $67397.03     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745822 FN 09/36 FIXED VAR                      | CUSIP: 31403DSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8578 | PA      | $8943.60      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745886 FN 04/36 FIXED VAR                      | CUSIP: 31403DUK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        372 | PA      | $385.52       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745933 FN 09/36 FIXED VAR                      | CUSIP: 31403DV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29206 | PA      | $30522.22     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 750548 FN 02/34 FIXED 5.5                      | CUSIP: 31403JZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3072 | PA      | $3148.77      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 751259 FN 02/34 FIXED 5.5                      | CUSIP: 31403KTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5172 | PA      | $5330.39      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 765670 FN 01/34 FIXED 5.5                      | CUSIP: 31404DT32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58066 | PA      | $59127.02     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766154 FN 02/34 FIXED 5.5                      | CUSIP: 31404EE36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56588 | PA      | $57319.33     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766197 FN 02/34 FIXED 5.5                      | CUSIP: 31404EGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17805 | PA      | $18222.68     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766366 FN 02/34 FIXED 5.5                      | CUSIP: 31404EMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5460 | PA      | $5481.90      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766604 FN 03/34 FIXED 5.5                      | CUSIP: 31404EU53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8775 | PA      | $9062.05      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 768217 FN 04/34 FIXED 5.5                      | CUSIP: 31404GPA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69619 | PA      | $71028.26     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 768601 FN 02/34 FIXED 5.5                      | CUSIP: 31404G3J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53133 | PA      | $53476.38     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 772297 FN 03/34 FIXED 5.5                      | CUSIP: 31404L7J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4437 | PA      | $4453.26      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775474 FN 05/34 FIXED 5.5                      | CUSIP: 31404QQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12588 | PA      | $12762.23     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 776975 FN 04/34 FIXED 5.5                      | CUSIP: 31404SFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134458 | PA      | $138623.50    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 777557 FN 05/34 FIXED 5.5                      | CUSIP: 31404SZW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10704 | PA      | $10742.40     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783793 FN 07/34 FIXED 6                        | CUSIP: 31405AXW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        792 | PA      | $815.43       | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 792160 FN 07/37 FIXED 6                        | CUSIP: 31405LB57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17629 | PA      | $17913.90     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 795297 FN 07/44 FLOATING VAR                   | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43595 | PA      | $41514.09     | 0.00%             | 2044-07-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 798412 FN 10/34 FIXED 5.5                      | CUSIP: 31405TAM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2060 | PA      | $2067.71      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 798675 FN 11/34 FIXED 5.5                      | CUSIP: 31405TJU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4213 | PA      | $4227.83      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 798819 FN 12/34 FIXED 5.5                      | CUSIP: 31405TPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18022 | PA      | $18112.47     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800006 FN 11/34 FIXED 5.5                      | CUSIP: 31405UYB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5192 | PA      | $5210.42      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 801686 FN 12/34 FIXED 5.5                      | CUSIP: 31405WUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1043 | PA      | $1046.79      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806143 FN 12/34 FIXED 5.5                      | CUSIP: 31406CS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5770 | PA      | $5799.15      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806214 FN 01/35 FIXED 5.5                      | CUSIP: 31406CVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33973 | PA      | $34746.98     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 808413 FN 01/35 FIXED 5.5                      | CUSIP: 31406FDS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8477 | PA      | $8510.17      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815549 FN 03/35 FIXED 5.5                      | CUSIP: 31406PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8116 | PA      | $8267.50      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815696 FN 03/35 FIXED 5                        | CUSIP: 31406PGD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $388.34       | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 820266 FN 07/35 FIXED 5.5                      | CUSIP: 31406UJK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43308 | PA      | $44807.25     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823544 FN 07/35 FIXED 6                        | CUSIP: 31406X5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11053 | PA      | $11231.33     | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823767 FN 05/35 FIXED 6                        | CUSIP: 31406YFG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10739 | PA      | $11009.51     | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 824324 FN 06/35 FIXED 6                        | CUSIP: 31406YYV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1070 | PA      | $1087.58      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 825707 FN 07/35 FIXED 5.5                      | CUSIP: 31407BKU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        397 | PA      | $402.66       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 827898 FN 07/35 FIXED 6                        | CUSIP: 31407DX34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12789 | PA      | $12996.73     | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828005 FN 06/35 FIXED 5.5                      | CUSIP: 31407D3N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1446 | PA      | $1451.47      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828351 FN 07/35 FIXED 5.5                      | CUSIP: 31407EH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6038 | PA      | $6187.30      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828721 FN 08/35 FLOATING VAR                   | CUSIP: 31407EVN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8842 | PA      | $8720.69      | 0.00%             | 2035-08-01      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828903 FN 04/35 FLOATING VAR                   | CUSIP: 31407E3L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80783 | PA      | $80278.62     | 0.00%             | 2035-04-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828904 FN 04/35 FLOATING VAR                   | CUSIP: 31407E3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     113944 | PA      | $113098.84    | 0.00%             | 2035-04-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829307 FN 09/35 FIXED 6                        | CUSIP: 31407FKU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23372 | PA      | $24288.03     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829372 FN 06/35 FIXED 6                        | CUSIP: 31407FMV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21353 | PA      | $21755.65     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829768 FN 08/35 FIXED 6                        | CUSIP: 31407FZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16074 | PA      | $16377.59     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831149 FN 12/35 FIXED 6                        | CUSIP: 31407HL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7390 | PA      | $7569.68      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831232 FN 01/36 FIXED 5.5                      | CUSIP: 31407HPR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8283 | PA      | $8586.25      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831811 FN 09/36 FIXED 6                        | CUSIP: 31407JDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6387 | PA      | $6654.42      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832446 FN 08/35 FLOATING VAR                   | CUSIP: 31407JZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109722 | PA      | $108267.81    | 0.00%             | 2035-08-01      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 834558 FN 09/35 FLOATING VAR                   | CUSIP: 31407ME76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11525 | PA      | $11413.53     | 0.00%             | 2035-09-01      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835168 FN 08/35 FIXED 5.5                      | CUSIP: 31407MZ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97201 | PA      | $100785.58    | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 838797 FN 08/35 FIXED 6                        | CUSIP: 31407R3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3624 | PA      | $3682.96      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 839202 FN 11/35 FIXED 5.5                      | CUSIP: 31407SKP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        492 | PA      | $494.09       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 842150 FN 10/35 FIXED 6                        | CUSIP: 31407VTF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5343 | PA      | $5441.97      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843492 FN 10/35 FIXED 6                        | CUSIP: 31407XC58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1547 | PA      | $1604.31      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 845341 FN 01/36 FIXED 5.5                      | CUSIP: 31408AEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2710 | PA      | $2811.97      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848220 FN 11/35 FIXED 5.5                      | CUSIP: 31408DK94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25288 | PA      | $26210.07     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 849496 FN 12/35 FIXED 5.5                      | CUSIP: 31408EXZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $168.56       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 850548 FN 09/36 FIXED 6                        | CUSIP: 31408F5H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32266 | PA      | $32923.91     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852463 FN 12/35 FIXED 6                        | CUSIP: 31408JB83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15026 | PA      | $15269.98     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 866593 FN 01/36 FIXED 5.5                      | CUSIP: 31409BXW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2150 | PA      | $2165.58      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870702 FN 08/36 FIXED 6                        | CUSIP: 31409GKP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47680 | PA      | $49410.82     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878386 FN 02/36 FIXED 6                        | CUSIP: 31409T2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6436 | PA      | $6552.98      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 883947 FN 06/36 FIXED 6                        | CUSIP: 31410BBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2272 | PA      | $2331.53      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885569 FN 08/36 FIXED 6                        | CUSIP: 31410C2A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2713 | PA      | $2760.46      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887049 FN 08/36 FIXED 6                        | CUSIP: 31410EQA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11009 | PA      | $11187.97     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888086 FN 02/36 FIXED VAR                      | CUSIP: 31410FUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1795 | PA      | $1869.80      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888222 FN 02/37 FIXED VAR                      | CUSIP: 31410FYT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     246468 | PA      | $257576.82    | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888566 FN 01/37 FIXED VAR                      | CUSIP: 31410GFF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        758 | PA      | $785.18       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888795 FN 11/36 FIXED VAR                      | CUSIP: 31410GNL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78967 | PA      | $81846.98     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888893 FN 08/37 FIXED VAR                      | CUSIP: 31410GRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3795 | PA      | $3933.60      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889176 FN 03/38 FIXED VAR                      | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251232 | PA      | $260763.96    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889274 FN 12/35 FIXED VAR                      | CUSIP: 31410G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     253766 | PA      | $263124.44    | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889633 FN 08/37 FIXED VAR                      | CUSIP: 31410KLN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16072 | PA      | $16644.71     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889684 FN 08/37 FIXED VAR                      | CUSIP: 31410KM92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5519 | PA      | $5715.69      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889692 FN 05/38 FIXED VAR                      | CUSIP: 31410KNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        483 | PA      | $501.19       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889982 FN 11/38 FIXED VAR                      | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     279191 | PA      | $289782.01    | 0.01%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890836 FN 11/27 FIXED VAR                      | CUSIP: 31410LV58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2131534 | PA      | $2094511.25   | 0.04%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891157 FN 05/36 FIXED 6                        | CUSIP: 31410MB25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     319776 | PA      | $327639.86    | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891386 FN 10/35 FIXED 5.5                      | CUSIP: 31410MJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15382 | PA      | $15914.15     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893589 FN 09/36 FIXED 6                        | CUSIP: 31410PXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3461 | PA      | $3517.80      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897984 FN 07/36 FIXED 6                        | CUSIP: 31410UUH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1512 | PA      | $1536.81      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 898493 FN 10/36 FIXED 6                        | CUSIP: 31410VGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2509 | PA      | $2556.28      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900130 FN 09/36 FIXED 6                        | CUSIP: 31410XA71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19891 | PA      | $20313.49     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900232 FN 08/36 FIXED 6                        | CUSIP: 31410XED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4506 | PA      | $4590.93      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901132 FN 09/36 FIXED 6                        | CUSIP: 31410YED2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        782 | PA      | $795.56       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902974 FN 12/36 FIXED 6                        | CUSIP: 31411BFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76652 | PA      | $80107.81     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904700 FN 11/36 FIXED 6                        | CUSIP: 31411DDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11851 | PA      | $12042.80     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905141 FN 02/37 FIXED 5.5                      | CUSIP: 31411DS67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        915 | PA      | $948.79       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905896 FN 12/36 FIXED 5.5                      | CUSIP: 31411ENM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1164 | PA      | $1168.89      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910088 FN 03/37 FIXED 6                        | CUSIP: 31411KCZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        829 | PA      | $863.79       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910724 FN 03/37 FIXED 6                        | CUSIP: 31411KYV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19619 | PA      | $20006.34     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915635 FN 06/37 FIXED 6                        | CUSIP: 31411VHL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3163 | PA      | $3278.35      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 916385 FN 05/37 FIXED 6                        | CUSIP: 31411WCW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1529 | PA      | $1557.79      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 920422 FN 11/36 FIXED 6                        | CUSIP: 31412BSK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10264 | PA      | $10443.30     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922989 FN 12/36 FIXED 6                        | CUSIP: 31412ENE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     168971 | PA      | $171739.70    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928027 FN 01/37 FIXED 6                        | CUSIP: 31412LA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28929 | PA      | $30232.56     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928490 FN 06/37 FIXED 6                        | CUSIP: 31412LRK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6556 | PA      | $6726.32      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 930407 FN 01/39 FIXED 6                        | CUSIP: 31412NU87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        419 | PA      | $427.23       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932840 FN 12/25 FIXED 3.5                      | CUSIP: 31412RLV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11167 | PA      | $10917.33     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 935536 FN 08/39 FIXED 4.5                      | CUSIP: 31412UY95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15335 | PA      | $15007.75     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 936805 FN 06/37 FIXED 6                        | CUSIP: 31412WGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13107 | PA      | $13319.06     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938440 FN 07/37 FIXED 6                        | CUSIP: 31412YBH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38153 | PA      | $39780.34     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940415 FN 06/37 FIXED 6                        | CUSIP: 31413BGY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65691 | PA      | $66752.83     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941448 FN 07/37 FIXED 6                        | CUSIP: 31413CL56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3576 | PA      | $3678.43      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941919 FN 07/37 FIXED 5.5                      | CUSIP: 31413C4C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2539 | PA      | $2547.80      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942283 FN 08/37 FIXED 6                        | CUSIP: 31413DJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3524 | PA      | $3680.54      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942569 FN 08/37 FIXED 6                        | CUSIP: 31413DT23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2436 | PA      | $2485.58      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 943891 FN 07/37 FIXED 6                        | CUSIP: 31413FC42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21520 | PA      | $21867.65     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948602 FN 08/37 FIXED 6                        | CUSIP: 31413LKP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73137 | PA      | $74318.22     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948689 FN 08/37 FIXED 6                        | CUSIP: 31413LNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121649 | PA      | $124727.26    | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 952645 FN 07/37 FIXED 6                        | CUSIP: 31413QZJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7177 | PA      | $7292.63      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 953725 FN 11/37 FIXED 6                        | CUSIP: 31413SA20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        378 | PA      | $393.07       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 953781 FN 11/37 FIXED 6                        | CUSIP: 31413SCS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27109 | PA      | $28248.79     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962062 FN 03/38 FIXED 5                        | CUSIP: 31414CJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66457 | PA      | $67930.13     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 965309 FN 10/38 FIXED 6                        | CUSIP: 31414F3S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1731 | PA      | $1792.32      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 966590 FN 01/38 FIXED 6                        | CUSIP: 31414HKB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4839 | PA      | $5028.20      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 969064 FN 03/38 FIXED 5.5                      | CUSIP: 31414LB98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     577416 | PA      | $599321.18    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 972606 FN 04/38 FIXED 5.5                      | CUSIP: 31414QAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47292 | PA      | $48553.27     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                  | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   14746211 | PA      | $141357178.28 | 2.98%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 983471 FN 05/38 FIXED 5.5                      | CUSIP: 31415LQY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11747 | PA      | $12151.10     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 990649 FN 09/38 FIXED 6                        | CUSIP: 31415VQA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     654264 | PA      | $677551.67    | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 993888 FN 12/38 FIXED 6                        | CUSIP: 31416ACZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62091 | PA      | $63094.63     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994126 FN 11/38 FIXED 5.5                      | CUSIP: 31416ALF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2130 | PA      | $2137.73      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994451 FN 11/38 FIXED 5.5                      | CUSIP: 31416AWL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70771 | PA      | $73212.97     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994904 FN 09/35 FIXED 5.5                      | CUSIP: 31416BGM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109918 | PA      | $110674.46    | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995112 FN 07/36 FIXED VAR                      | CUSIP: 31416BN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4072 | PA      | $4210.73      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995265 FN 01/24 FIXED VAR                      | CUSIP: 31416BTW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $113.11       | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995870 FN 06/24 FIXED VAR                      | CUSIP: 31416CJP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2490 | PA      | $2484.20      | 0.00%             | 2024-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995938 FN 01/39 FIXED VAR                      | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16639 | PA      | $17388.93     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995939 FN 06/39 FIXED VAR                      | CUSIP: 31416CLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     236439 | PA      | $245406.52    | 0.01%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA0653 FN 12/38 FIXED 5                        | CUSIP: 31416HWP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66175 | PA      | $67284.32     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1927 FN 01/39 FIXED 5                        | CUSIP: 31416KD96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1117 | PA      | $1115.80      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA4298 FN 03/29 FIXED 4.5                      | CUSIP: 31416MX41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     135401 | PA      | $134485.90    | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA7022 FN 06/39 FIXED 4.5                      | CUSIP: 31416QYU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100875 | PA      | $99370.98     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA9350 FN 08/39 FIXED 5                        | CUSIP: 31416TL80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     884793 | PA      | $897264.88    | 0.02%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1490 FN 09/30 FIXED 4.5                      | CUSIP: 31416WUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1865 | PA      | $1852.69      | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1585 FN 10/30 FIXED 4.5                      | CUSIP: 31416WXP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126523 | PA      | $125666.27    | 0.00%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1720 FN 11/30 FIXED 4.5                      | CUSIP: 31416W4E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74602 | PA      | $74096.31     | 0.00%             | 2030-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1939 FN 12/25 FIXED 3.5                      | CUSIP: 31416XEM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2680056 | PA      | $2633685.32   | 0.06%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2694 FN 04/41 FIXED 4.5                      | CUSIP: 31416X7G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15136 | PA      | $15019.26     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB8601 FN 03/28 FIXED 3                        | CUSIP: 31417FRX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38146 | PA      | $36691.93     | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC0268 FN 10/36 FIXED 5.5                      | CUSIP: 31417JJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6654 | PA      | $6733.95      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC0793 FN 10/39 FIXED 4.5                      | CUSIP: 31417J3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79115 | PA      | $78502.84     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC6652 FN 12/39 FIXED 4.5                      | CUSIP: 31417TMA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105996 | PA      | $105175.63    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0570 FN 08/37 FIXED VAR                      | CUSIP: 31418MT44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4378 | PA      | $4522.69      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0662 FN 01/25 FIXED VAR                      | CUSIP: 31418MWY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32817 | PA      | $32706.93     | 0.00%             | 2025-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0915 FN 12/38 FIXED VAR                      | CUSIP: 31418NAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70029 | PA      | $72685.90     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD3128 FN 04/40 FIXED 5                        | CUSIP: 31418QPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17728 | PA      | $17968.58     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD9501 FN 07/40 FIXED 5                        | CUSIP: 31418XRX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1586 | PA      | $1579.40      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0115 FN 12/35 FIXED VAR                      | CUSIP: 31419ADV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1575 | PA      | $1627.03      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0484 FN 12/38 FIXED VAR                      | CUSIP: 31419ARE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5238 | PA      | $5409.57      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE3326 FN 10/30 FIXED 4                        | CUSIP: 31419DVU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8874 | PA      | $8598.42      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE4020 FN 06/26 FIXED 3.5                      | CUSIP: 31419EPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12394 | PA      | $12180.05     | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7072 FN 12/40 FIXED 5                        | CUSIP: 31419H2E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7674 | PA      | $7632.13      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0101 FN 11/30 FIXED 4                        | CUSIP: 3138A1DF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7183 | PA      | $6959.93      | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0863 FN 12/40 FIXED 4.5                      | CUSIP: 3138A15Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9197 | PA      | $9039.89      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1515 FN 12/30 FIXED 4                        | CUSIP: 3138A2VH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42511 | PA      | $41188.25     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2666 FN 01/26 FIXED 4                        | CUSIP: 3138A36C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1620 | PA      | $1582.18      | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8100 FN 08/41 FIXED 4.5                      | CUSIP: 3138ANAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107057 | PA      | $105459.27    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8996 FN 08/26 FIXED 3.5                      | CUSIP: 3138AN7J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7730 | PA      | $7558.08      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9323 FN 08/41 FIXED 5                        | CUSIP: 3138APLD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30128 | PA      | $30170.80     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9468 FN 08/31 FIXED 4                        | CUSIP: 3138APQW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26638 | PA      | $25808.16     | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ0309 FN 08/41 FIXED 4.5                      | CUSIP: 3138ARKX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96494 | PA      | $95000.50     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1758 FN 09/26 FIXED 3.5                      | CUSIP: 3138AS5U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5999 | PA      | $5850.85      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK0931 FN 01/42 FIXED 5                        | CUSIP: 3138E5A99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59835 | PA      | $59645.33     | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0396 FN 12/35 FIXED VAR                      | CUSIP: 3138EGNN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1496 | PA      | $1544.27      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0520 FN 07/41 FIXED VAR                      | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     472437 | PA      | $490362.23    | 0.01%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0578 FN 08/26 FIXED VAR                      | CUSIP: 3138EGUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28205 | PA      | $27715.76     | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0898 FN 02/31 FIXED VAR                      | CUSIP: 3138EG7L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3785 | PA      | $3807.99      | 0.00%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0958 FN 10/26 FIXED VAR                      | CUSIP: 3138EHB43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1910827 | PA      | $1876581.79   | 0.04%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1013 FN 01/37 FIXED VAR                      | CUSIP: 3138EHDT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6398 | PA      | $6603.70      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2051 FN 06/26 FIXED VAR                      | CUSIP: 3138EJH50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2220658 | PA      | $2182015.83   | 0.05%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2056 FN 08/26 FIXED VAR                      | CUSIP: 3138EJJA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1723357 | PA      | $1693423.78   | 0.04%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                 | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |       5347 | PA      | $51956.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5548 FN 05/38 FLOATING VAR                   | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2944527 | PA      | $2990929.96   | 0.06%             | 2038-05-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6722 FN 11/30 FIXED VAR                      | CUSIP: 3138EPPG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2284 | PA      | $2275.49      | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9109 FN 01/34 FIXED VAR                      | CUSIP: 3138ERDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     603851 | PA      | $592695.81    | 0.01%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9381 FN 06/30 FIXED VAR                      | CUSIP: 3138ERM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18265040 | PA      | $17582881.32  | 0.37%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO7195 FN 09/27 FIXED 3                        | CUSIP: 3138LX7H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16325 | PA      | $15758.86     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO9556 FN 07/42 FIXED 4                        | CUSIP: 3138M1TN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4171 | PA      | $4012.31      | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP5725 FN 08/42 FIXED 5                        | CUSIP: 3138M9LF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173560 | PA      | $173558.95    | 0.00%             | 2042-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR3206 FN 03/28 FIXED 3                        | CUSIP: 3138W0R43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24208 | PA      | $23284.35     | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR8122 FN 03/28 FIXED 3                        | CUSIP: 3138W6AY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6492 | PA      | $6265.23      | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1594 FN 01/44 FIXED 5                        | CUSIP: 3138WAXY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61749 | PA      | $62346.36     | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3071 FN 08/44 FIXED 5                        | CUSIP: 3138WCMV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127415 | PA      | $127193.32    | 0.00%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3223 FN 03/27 FIXED 3.5                      | CUSIP: 3138WQSM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8928 | PA      | $8721.24      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3833 FN 08/43 FIXED 4.5                      | CUSIP: 3138X3HK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1628 | PA      | $1577.06      | 0.00%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU7240 FN 10/28 FIXED 3                        | CUSIP: 3138X7BJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77103 | PA      | $74221.88     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU7545 FN 10/28 FIXED 3                        | CUSIP: 3138X7L35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8408 | PA      | $8084.26      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU9223 FN 09/28 FIXED 3                        | CUSIP: 3138X9G94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13517 | PA      | $12972.33     | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV1821 FN 12/28 FIXED 3.5                      | CUSIP: 3138XDAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10281 | PA      | $10100.63     | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV3789 FN 11/43 FIXED 5                        | CUSIP: 3138XFF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6401 | PA      | $6397.52      | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9273 FN 02/29 FIXED 3.5                      | CUSIP: 3138XMJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41692 | PA      | $40958.56     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7396 FN 01/27 FIXED 3.5                      | CUSIP: 3138XXGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     182144 | PA      | $178013.33    | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4766 FN 01/46 FIXED 4                        | CUSIP: 3140E9JL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30535 | PA      | $29276.44     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3604 FN 05/48 FIXED 4                        | CUSIP: 3140FBAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     482469 | PA      | $457496.21    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2668 FN 09/47 FIXED 3.5                      | CUSIP: 3140GQ6E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31426 | PA      | $29146.16     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3851 FN 04/48 FIXED 4                        | CUSIP: 3140HHH57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     253273 | PA      | $242319.59    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1231 FN 11/31 FIXED VAR                      | CUSIP: 3140J5LM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37649 | PA      | $36817.40     | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2003 FN 10/47 FIXED VAR                      | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     527293 | PA      | $504248.89    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV3083 FN 02/52 FIXED 2                        | CUSIP: 3140MGM99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8597777 | PA      | $7015857.12   | 0.15%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV3101 FN 03/52 FIXED 2                        | CUSIP: 3140MGNT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11167879 | PA      | $9106173.11   | 0.19%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV4122 FN 03/52 FIXED 2                        | CUSIP: 3140MHSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19798145 | PA      | $16154162.05  | 0.34%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW0012 FN 07/52 FIXED 3.5                      | CUSIP: 3140MRAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2558328 | PA      | $2327653.37   | 0.05%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW0013 FN 07/52 FIXED 3.5                      | CUSIP: 3140MRAP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6674118 | PA      | $6072374.88   | 0.13%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW3549 FN 04/52 FIXED 3.5                      | CUSIP: 3140MU5K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     421386 | PA      | $383653.97    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW6272 FN 08/52 FIXED 3.5                      | CUSIP: 3140MX6J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2577931 | PA      | $2345992.98   | 0.05%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW6276 FN 08/52 FIXED 3.5                      | CUSIP: 3140MX6N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2931451 | PA      | $2667699.79   | 0.06%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW6277 FN 08/52 FIXED 3.5                      | CUSIP: 3140MX6P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3887762 | PA      | $3537976.48   | 0.07%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3122 FN 03/52 FIXED 3                        | CUSIP: 3140QNPG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38725566 | PA      | $34046112.30  | 0.72%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3364 FN 04/52 FIXED 3                        | CUSIP: 3140QNW24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10129581 | PA      | $8899361.22   | 0.19%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3410 FN 03/52 FIXED 3                        | CUSIP: 3140QNYG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15980100 | PA      | $14039346.21  | 0.30%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3669 FN 05/52 FIXED 3                        | CUSIP: 3140QPCF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19661879 | PA      | $17275974.28  | 0.36%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3674 FN 05/52 FIXED 3.5                      | CUSIP: 3140QPCL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3029662 | PA      | $2756188.22   | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3098 FN 08/30 FIXED VAR                      | CUSIP: 3140X6NQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9180 | PA      | $8976.15      | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3099 FN 09/32 FIXED VAR                      | CUSIP: 3140X6NR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2449822 | PA      | $2407285.02   | 0.05%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3340 FN 05/35 FIXED VAR                      | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11715 | PA      | $11258.52     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3343 FN 02/30 FIXED VAR                      | CUSIP: 3140X6WD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199803 | PA      | $191440.88    | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8873 FN 07/34 FIXED VAR                      | CUSIP: 3140XC2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31125 | PA      | $30072.62     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9011 FN 09/32 FIXED VAR                      | CUSIP: 3140XDAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23400 | PA      | $22913.72     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1073 FN 03/52 FIXED VAR                      | CUSIP: 3140XGFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19450037 | PA      | $17127514.63  | 0.36%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1405 FN 04/52 FIXED VAR                      | CUSIP: 3140XGR35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21189103 | PA      | $18622253.86  | 0.39%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0098 FN 06/29 FIXED 4                        | CUSIP: 31417YDC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37260 | PA      | $36287.16     | 0.00%             | 2029-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0156 FN 08/29 FIXED 5                        | CUSIP: 31417YE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20967 | PA      | $21094.35     | 0.00%             | 2029-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0443 FN 05/30 FIXED 5                        | CUSIP: 31417YP50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11212 | PA      | $11280.77     | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0534 FN 10/30 FIXED 4                        | CUSIP: 31417YSY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     139812 | PA      | $135465.60    | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0563 FN 11/30 FIXED 4                        | CUSIP: 31417YTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3077 | PA      | $2980.92      | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0720 FN 04/31 FIXED 5                        | CUSIP: 31417YYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58516 | PA      | $58873.15     | 0.00%             | 2031-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0733 FN 05/26 FIXED 3.5                      | CUSIP: 31417YY76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137707 | PA      | $134581.31    | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0736 FN 05/41 FIXED 5                        | CUSIP: 31417YZA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17667 | PA      | $17906.57     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0818 FN 08/31 FIXED 4                        | CUSIP: 31417Y4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18979 | PA      | $18388.45     | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2941 FN 03/32 FIXED 3.5                      | CUSIP: 31418CHT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20699 | PA      | $20232.69     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3058 FN 07/47 FIXED 4                        | CUSIP: 31418CMG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9249 | PA      | $8843.33      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3211 FN 12/47 FIXED 4                        | CUSIP: 31418CR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     899653 | PA      | $861305.49    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3277 FN 02/48 FIXED 4                        | CUSIP: 31418CUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6326830 | PA      | $5999430.36   | 0.13%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3321 FN 03/28 FIXED 3.5                      | CUSIP: 31418CVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16878 | PA      | $16172.82     | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3462 FN 09/33 FIXED 3.5                      | CUSIP: 31418CZ49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13787 | PA      | $13273.31     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4698 FN 08/52 FIXED 3                        | CUSIP: 31418EGG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19753617 | PA      | $17360014.85  | 0.37%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/24 5.584        | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6923350.00   | 0.15%             | 2024-03-18      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/25 4.535        | CUSIP: ACI1989Q0<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1843111.16   | 0.04%             | 2025-03-06      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 09/25 3.25         | CUSIP: ACI1R7WW3<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4995793.13   | 0.11%             | 2025-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $5978166.74   | 0.13%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2241                                                                 | FREDDIE MAC FHR 2241 PH                                  | CUSIP: 3133TPF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1555 | PA      | $1648.08      | 0.00%             | 2030-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                                 | FREDDIE MAC FHR 2248 FB                                  | CUSIP: 3133TPV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1427 | PA      | $1415.18      | 0.00%             | 2030-09-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                                 | FREDDIE MAC FHR 2266 F                                   | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $16.48        | 0.00%             | 2030-11-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                                 | FREDDIE MAC FHR 3360 FC                                  | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240322 | PA      | $238697.43    | 0.01%             | 2037-05-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4790                                                                 | FREDDIE MAC FHR 4790 F                                   | CUSIP: 3137F5BX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5257644 | PA      | $5079691.56   | 0.11%             | 2043-10-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MTG 2142                                                             | FREDDIE MAC FHR 2142 Z                                   | CUSIP: 3133TKDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8512 | PA      | $8575.35      | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                                          | FREDDIE MAC FHR 4989 FA                                  | CUSIP: 3137FUKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4091856 | PA      | $3977833.59   | 0.08%             | 2040-08-15      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                                          | FREDDIE MAC FHR 4989 FB                                  | CUSIP: 3137FUKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4010474 | PA      | $3905286.55   | 0.08%             | 2040-10-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1529                                                                 | FREDDIE MAC FHR 1529 Z                                   | CUSIP: 312916LA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4322 | PA      | $4322.27      | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-D                                                   | FREMONT HOME LOAN TRUST FHLT 2005 D M1                   | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9900000 | PA      | $8654017.68   | 0.18%             | 2035-11-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                  | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59983 | PA      | $27400.85     | 0.00%             | 2037-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2022-FL4                                                               | FS RIALTO ISSUER LTD FSRIA 2022 FL4 A 144A               | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14200000 | PA      | $13859366.14  | 0.29%             | 2039-01-19      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                          | GA GLOBAL FUNDING TRUST SECURED 144A 09/28 1.95          | CUSIP: 36143L2D6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   15400000 | PA      | $12797660.41  | 0.27%             | 2028-09-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GALAXY XXVII CLO LTD                                                             | GALAXY CLO LTD GALXY 2018 27A A 144A                     | CUSIP: 36320UAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $490694.46    | 0.01%             | 2031-05-16      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC COMPANY                                                         | GENERAL ELECTRIC CO SR UNSECURED 05/26 VAR               | CUSIP: 36962GW75<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    3771000 | PA      | $3622653.61   | 0.08%             | 2026-05-05      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 03/26 1.2               | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $13964122.40  | 0.29%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 06/25 5.25          | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3150862.53   | 0.07%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 06/28 5.75          | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7900000 | PA      | $7781496.45   | 0.16%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2022 2A A2 144A          | CUSIP: 36265NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11574226 | PA      | $11442228.93  | 0.24%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01N040611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3800000 | PA      | $3603482.77   | 0.08%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008847 G2 04/26 FLOATING VAR                | CUSIP: 36202KZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5044 | PA      | $4979.16      | 0.00%             | 2026-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080045 G2 02/27 FLOATING VAR                | CUSIP: 36225CBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $290.33       | 0.00%             | 2027-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080329 G2 10/29 FLOATING VAR                | CUSIP: 36225CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7952 | PA      | $7683.84      | 0.00%             | 2029-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080344 G2 11/29 FLOATING VAR                | CUSIP: 36225CL20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7762 | PA      | $7501.10      | 0.00%             | 2029-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080408 G2 05/30 FLOATING VAR                | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        505 | PA      | $494.71       | 0.00%             | 2030-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080428 G2 07/30 FLOATING VAR                | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        729 | PA      | $712.85       | 0.00%             | 2030-07-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080578 G2 02/32 FLOATING VAR                | CUSIP: 36225CUC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44160 | PA      | $43310.93     | 0.00%             | 2032-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                   | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     895181 | PA      | $881840.58    | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                   | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2555732 | PA      | $2516990.59   | 0.05%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6042 G2 07/49 FIXED 5                     | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     533610 | PA      | $535954.64    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7987 G2 04/52 FIXED 2.5                   | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12958453 | PA      | $11240434.03  | 0.24%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2 JUMBOS                               | CUSIP: 21H020626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5800000 | PA      | $4866694.51   | 0.10%             | 2053-02-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 698772 GN 12/38 FIXED 6                        | CUSIP: 36296RJR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3372 | PA      | $3470.95      | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782798 GN 11/39 FIXED 6                        | CUSIP: 36241LDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4836 | PA      | $5131.53      | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL2274 GN 03/45 FIXED 3                        | CUSIP: 36183XQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     169299 | PA      | $151373.26    | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AN1786 GN 07/45 FIXED 3                        | CUSIP: 36185G6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121068 | PA      | $108211.70    | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AO3585 GN 08/45 FIXED 3                        | CUSIP: 3617A36W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     398316 | PA      | $356145.73    | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AO7556 GN 08/45 FIXED 3                        | CUSIP: 3617A8MD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     730930 | PA      | $653544.51    | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BN3897 GN 06/49 FIXED 4                        | CUSIP: 3617K7KJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74915 | PA      | $71315.00     | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO1562 GN 07/49 FIXED 4                        | CUSIP: 3617KGWX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8993 | PA      | $8560.34      | 0.00%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO1629 GN 07/49 FIXED 4                        | CUSIP: 3617KGY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31947 | PA      | $30425.08     | 0.00%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1218 GN 09/49 FIXED 4                        | CUSIP: 3617L7K73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37235 | PA      | $35527.90     | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1508 GN 09/49 FIXED 4                        | CUSIP: 3617L7U98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     278468 | PA      | $265854.70    | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ1005 GN 10/49 FIXED 4                        | CUSIP: 3617LKDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72291 | PA      | $68777.32     | 0.00%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ7187 GN 10/49 FIXED 4                        | CUSIP: 3617LR6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     262233 | PA      | $249738.83    | 0.01%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BR6233 GN 12/49 FIXED 4                        | CUSIP: 3617M44S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102908 | PA      | $98006.34     | 0.00%             | 2049-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BS5196 GN 01/50 FIXED 4                        | CUSIP: 3617MFXZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     481926 | PA      | $458764.23    | 0.01%             | 2050-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT9024 GN 03/50 FIXED 4                        | CUSIP: 3617MYAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126602 | PA      | $120517.55    | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CL6189 GN 03/52 FIXED 4                        | CUSIP: 3617YD2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1108626 | PA      | $1062394.07   | 0.02%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 3             | CUSIP: 38141GZP2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    9100000 | PA      | $8877920.32   | 0.19%             | 2024-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 05/25 3.75          | CUSIP: 38148LAE6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   10897000 | PA      | $10548974.88  | 0.22%             | 2025-05-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 05/26 VAR           | CUSIP: 38141GXD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8400000 | PA      | $8347249.26   | 0.18%             | 2026-05-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE FIVE LLC                                                      | GOODMAN US FIN FIVE LLC COMPANY GUAR 144A 05/32 4.625    | CUSIP: 38239PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14000000 | PA      | $12802808.62  | 0.27%             | 2032-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE THREE LLC                                                     | GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7         | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11200000 | PA      | $10125957.07  | 0.21%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H18 FB           | CUSIP: 38376REZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8828680 | PA      | $8704819.06   | 0.18%             | 2065-07-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H19                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H19 FK           | CUSIP: 38376RGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5767976 | PA      | $5677893.94   | 0.12%             | 2065-08-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H20                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H20 PT           | CUSIP: 38376RYV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11917278 | PA      | $12165517.42  | 0.26%             | 2066-09-20      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H02 FH           | CUSIP: 38376RPV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2519523 | PA      | $2486304.88   | 0.05%             | 2066-01-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA           | CUSIP: 38376RVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3264804 | PA      | $3233666.55   | 0.07%             | 2066-06-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FC           | CUSIP: 38376RXT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9684231 | PA      | $9582773.89   | 0.20%             | 2066-08-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FM           | CUSIP: 38376RXJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21892 | PA      | $21527.74     | 0.00%             | 2066-08-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA           | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5987309 | PA      | $5914856.43   | 0.12%             | 2066-10-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB           | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6972479 | PA      | $6904140.76   | 0.15%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FB           | CUSIP: 38376R4Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     353144 | PA      | $350881.73    | 0.01%             | 2067-06-20      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 38 WF            | CUSIP: 38380V2S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4208537 | PA      | $4015305.86   | 0.08%             | 2043-10-20      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H26                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H26 DF           | CUSIP: 38382YJ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $6016857.00   | 0.13%             | 2072-12-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                                            | GRAY OAK PIPELINE LLC SR UNSECURED 144A 10/27 3.45       | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13300000 | PA      | $11786742.63  | 0.25%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2A                                                 | GREAT HALL MORTGAGES PLC GHM 2007 2A AC 144A             | CUSIP: 39052PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1179088 | PA      | $1156556.61   | 0.02%             | 2039-06-18      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUUNDING TRUST 2006-AR4                                          | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A6A         | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112423 | PA      | $98290.19     | 0.00%             | 2046-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2015-GC30                                         | GS MORTGAGE SECURITIES TRUST GSMS 2015 GC30 AAB          | CUSIP: 36250GAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5634214 | PA      | $5497296.56   | 0.12%             | 2050-05-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX A 144A       | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10700000 | PA      | $9996475.00   | 0.21%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2016-GS3                                            | GS MORTGAGE SECURITIES TRUST GSMS 2016 GS3 WMB 144A      | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3037000 | PA      | $2539094.48   | 0.05%             | 2049-10-10      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A2 144A     | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14766010 | PA      | $11923816.24  | 0.25%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ2                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ2 A4 144A     | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12924118 | PA      | $10436455.23  | 0.22%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                                    | GSAA HOME EQUITY TRUST GSAA 2006 7 AF2                   | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6145755 | PA      | $2585391.11   | 0.05%             | 2046-03-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-9                                                    | GSAA HOME EQUITY TRUST GSAA 2007 9 A2A                   | CUSIP: 3622EEAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9357760 | PA      | $5254137.31   | 0.11%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A2B                           | CUSIP: 362463AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2993492 | PA      | $1607024.80   | 0.03%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GSPA MONETIZATION TRUST                                                          | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422    | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5249018 | PA      | $5043263.81   | 0.11%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                 | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     527437 | PA      | $495337.95    | 0.01%             | 2035-09-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                 | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122732 | PA      | $108885.82    | 0.00%             | 2035-11-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| HANWHA LIFE INSURANCE CO LTD                                                     | HANWHA LIFE INSURANCE SUBORDINATED 144A 02/32 VAR        | CUSIP: 41135UAB1<br>LEI: 988400ZKCI3R9DQHR320 | Long             | DBT              | CORP              | KR        |   15000000 | PA      | $12474145.20  | 0.26%             | 2032-02-04      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-14                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 14 4A1A        | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1539099 | PA      | $836313.59    | 0.02%             | 2035-12-19      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A         | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133447 | PA      | $118838.95    | 0.00%             | 2035-05-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1          | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     572429 | PA      | $419652.51    | 0.01%             | 2035-07-19      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-12                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 2A12        | CUSIP: 41161PVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1504711 | PA      | $1002327.09   | 0.02%             | 2035-10-19      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| HERA COMMERCIAL MORTGAGE 2021-FL1                                                | HERA COMMERCIAL MORTGAGE LTD HERA 2021 FL1 A 144A        | CUSIP: 42704RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16000000 | PA      | $15496066.72  | 0.33%             | 2038-02-18      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                                                              | HIGHWOODS REALTY LP SR UNSECURED 03/28 4.125             | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3258362.12   | 0.07%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                        | HILTON USA TRUST HILT 2016 SFP A 144A                    | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14400000 | PA      | $13697020.80  | 0.29%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                                 | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV3               | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7390087 | PA      | $7118988.82   | 0.15%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC JR SUBORDINA REGS 12/49 VAR            | CUSIP: ACI0H2TW1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1700000 | PA      | $1801892.23   | 0.04%             | 2023-09-29      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                     | NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000             | CUSIP: ACI2BMD22<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | MUN               | HU        | 2410000000 | PA      | $6461169.31   | 0.14%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                     | NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000             | CUSIP: ACI2BTZ49<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | MUN               | HU        | 2554000000 | PA      | $6847230.88   | 0.14%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUSTRIES INC                                                | HUNTINGTON INGALLS INDUS COMPANY GUAR 08/28 2.043        | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $14042394.74  | 0.30%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 04/25 5.875    | CUSIP: 44891ABK2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $14066610.46  | 0.30%             | 2025-04-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/28 2.1      | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   14200000 | PA      | $11679899.59  | 0.25%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)                  | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/24 3.125    | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   16000000 | PA      | $15305275.84  | 0.32%             | 2024-07-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY JR SUBORDINA 12/99 VAR             | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |    8200000 | NS      | $7200748.00   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                        | INDYMAC ARM TRUST INARM 2001 H2 A2                       | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        410 | PA      | $373.21       | 0.00%             | 2032-01-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR35                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR35 2A1A       | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1350196 | PA      | $1123500.26   | 0.02%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 2A1         | CUSIP: 45661EGE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4539960 | PA      | $2969148.47   | 0.06%             | 2036-06-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 144A 01/26 4.625               | CUSIP: 45685NAA4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    4700000 | PA      | $4595083.73   | 0.10%             | 2026-01-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                    | INTERCONTINENTALEXCHANGE SR UNSECURED 06/30 2.1          | CUSIP: 45866FAK0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $5720368.50   | 0.12%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS & FRAGRANCES INC                                           | INTL FLAVOR + FRAGRANCES SR UNSECURED 144A 10/27 1.832   | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4120065.73   | 0.09%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO I DAC 1A                                                        | INVESCO EURO CLO INVSC 1A A1R 144A                       | CUSIP: ACI1VT7W8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3600000 | PA      | $3743049.62   | 0.08%             | 2031-07-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | ISRAEL MAKAM BILL BILLS 01/23 0.00000                    | CUSIP: ACI22SVD5<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |   51000000 | PA      | $14502242.83  | 0.31%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | ISRAEL MAKAM BILL BILLS 05/23 0.00000                    | CUSIP: ACI25PW54<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |   22910000 | PA      | $6441363.96   | 0.14%             | 2023-05-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 07/30 2.75                  | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   17900000 | PA      | $16302872.50  | 0.34%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                            | IVORY COAST SR UNSECURED 144A 10/31 5.875                | CUSIP: ACI1G4C61<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    6200000 | PA      | $5582373.58   | 0.12%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-DATA                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 DATA A 144A    | CUSIP: 465972AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13200000 | PA      | $11679177.84  | 0.25%             | 2042-06-10      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-LTV2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2022 LTV2 A3 144A         | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14930812 | PA      | $13249045.83  | 0.28%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JFIN CLO LTD 2017-2A                                                             | APEX CREDIT CLO LLC JFIN 2017 2A AR 144A                 | CUSIP: 46593CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13576727 | PA      | $13357462.45  | 0.28%             | 2029-09-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 04/27 VAR               | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $14956841.23  | 0.32%             | 2027-04-22      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 06/28 VAR               | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $14014116.48  | 0.30%             | 2028-06-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 3A4               | CUSIP: 466247QA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35673 | PA      | $34246.44     | 0.00%             | 2035-06-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2               | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     314750 | PA      | $156680.55    | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 6A1               | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615573 | PA      | $585777.14    | 0.01%             | 2034-08-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L              | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1316091 | PA      | $996179.37    | 0.02%             | 2036-10-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2008 R1 1A1 144A          | CUSIP: 46632GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6038127 | PA      | $5144306.93   | 0.11%             | 2037-12-26      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FRE1 M1        | CUSIP: 46626LCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3365541 | PA      | $3260421.76   | 0.07%             | 2035-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M1        | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2051672 | PA      | $1999704.95   | 0.04%             | 2035-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3        | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2067034 | PA      | $1452142.93   | 0.03%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A5        | CUSIP: 46629KAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1064321 | PA      | $753025.82    | 0.02%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5         | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     795968 | PA      | $774914.49    | 0.02%             | 2037-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2009-12                                                        | JP MORGAN REREMIC JPMRR 2009 12 3A2 144A                 | CUSIP: 46634BBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9937809 | PA      | $7278143.26   | 0.15%             | 2036-05-26      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                             | JYSKE REALKREDIT A/S COVERED 10/53 1.5                   | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    7951773 | PA      | $833935.68    | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                             | JYSKE REALKREDIT A/S COVERED 10/53 1.5                   | CUSIP: ACI1X8QV3<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   29759113 | PA      | $3315706.98   | 0.07%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 02/30 3.05                 | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $1764688.79   | 0.04%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                   | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15000000 | PA      | $14479029.00  | 0.31%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| LANDMARK MORTGAGE SECURITIES NO 3 PLC                                            | LANDMARK MORTGAGE SECURITIES P LMS 3 A REGS              | CUSIP: ACI0B57H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   13012695 | PA      | $14759305.74  | 0.31%             | 2044-04-17      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| LCM XXV LTD 25A                                                                  | LCM LTD PARTNERSHIP LCM 25A AR 144A                      | CUSIP: 50189PAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14839349 | PA      | $14670972.42  | 0.31%             | 2030-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| LEASEPLAN CORPORATION NV                                                         | LEASEPLAN CORPORATION NV SR UNSECURED 144A 10/24 2.875   | CUSIP: 52206AAD2<br>LEI: 724500C60L930FVHS484 | Long             | DBT              | CORP              | NL        |    8200000 | PA      | $7699837.64   | 0.16%             | 2024-10-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                                           | LEHMAN XS TRUST LXS 2006 8 2A1                           | CUSIP: 52522HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     476196 | PA      | $474711.53    | 0.01%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1 LTD                                                             | LFT CRE 2021 FL1, LLC LMNT 2021 FL1 A 144A               | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17000000 | PA      | $16601656.00  | 0.35%             | 2039-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK PLC                                                                  | LLOYDS BANK PLC SR UNSECURED REGS 04/32 VAR              | CUSIP: ACI14DZD4<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |   15000000 | PA      | $9178860.15   | 0.19%             | 2032-04-02      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 2A3          | CUSIP: 54251MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34876178 | PA      | $11035631.82  | 0.23%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4            | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1927689 | PA      | $1891814.42   | 0.04%             | 2036-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| LUXE TRUST 2021-TRIP                                                             | LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP A 144A     | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5883696 | PA      | $5636476.98   | 0.12%             | 2038-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | WARNERMEDIA HOLDINGS INC COMPANY GUAR 144A 03/24 3.528   | CUSIP: 55903VAB9<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9695818.30   | 0.20%             | 2024-03-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XVIII LTD 2016-18A                                                     | MAGNETITE CLO LTD MAGNE 2016 18A AR2 144A                | CUSIP: 55953TAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15436123 | PA      | $15268665.75  | 0.32%             | 2028-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                                        | MAN GLG EURO CLO GLGE 5A A1R 144A                        | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   13800000 | PA      | $14330785.20  | 0.30%             | 2031-12-15      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW A 144A                       | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16100000 | PA      | $13771661.47  | 0.29%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO IX LTD 2017-9A                                                      | MARATHON CLO LTD MCLO 2017 9A A1AR 144A                  | CUSIP: 56577PAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8821471 | PA      | $8766403.33   | 0.18%             | 2029-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                                       | MARRIOTT INTERNATIONAL SR UNSECURED 12/23 4.15           | CUSIP: 571903BA0<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   13620000 | PA      | $13479498.67  | 0.28%             | 2023-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                     | ACE SECURITIES CORP. ACE 2006 FM2 A2D                    | CUSIP: 00442CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9849610 | PA      | $2644977.85   | 0.06%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                                                     | MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 12/27 5.05      | CUSIP: 57629WDL1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $7952676.65   | 0.17%             | 2027-12-07      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TR 2007-1                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 1 I2A3          | CUSIP: 576431AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     388288 | PA      | $381387.59    | 0.01%             | 2047-01-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-7                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 7 B1            | CUSIP: 576433QG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1817936 | PA      | $1140633.34   | 0.02%             | 2034-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE1                                              | MASTR ASSET BACKED SECURITIES MABS 2006 FRE1 A4          | CUSIP: 57643LPP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     634466 | PA      | $631108.31    | 0.01%             | 2035-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                              | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5          | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3869884 | PA      | $2733193.15   | 0.06%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                                     | ACE SECURITIES CORP. ACE 2006 NC2 A2C                    | CUSIP: 00441XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4866516 | PA      | $1479660.87   | 0.03%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MCCORMICK & COMPANY INCORPORATED                                                 | MCCORMICK + COMPANY                                      | CUSIP: 57978DNT2<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |    9800000 | PA      | $9764228.92   | 0.21%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                                     | ACE SECURITIES CORP. ACE 2007 HE2 A2A                    | CUSIP: 00443PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2017709 | PA      | $1104688.76   | 0.02%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                                    | MELCO RESORTS FINANCE SR UNSECURED 144A 06/25 4.875      | CUSIP: 58547DAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1400000 | PA      | $1288080.49   | 0.03%             | 2025-06-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                          | MERCEDES BENZ FIN NORTH                                  | CUSIP: 58768KNW1<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    9800000 | PA      | $9760252.87   | 0.21%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-MLN1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 MLN1 A2B        | CUSIP: 59023AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2550030 | PA      | $1163595.46   | 0.02%             | 2037-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 LTD                                                               | ACREC 2021 FL1 LTD. ACREC 2021 FL1 A 144A                | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17300000 | PA      | $16677308.99  | 0.35%             | 2036-10-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-WMC2                                 | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC2 A2B        | CUSIP: 59020U6K6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4173567 | PA      | $977440.51    | 0.02%             | 2037-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2D         | CUSIP: 59022QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2311632 | PA      | $1238032.88   | 0.03%             | 2037-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ACTIVISION BLIZZARD INC (AKA: ACTIVISION INC)                                    | ACTIVISION BLIZZARD SR UNSECURED 09/50 2.5               | CUSIP: 00507VAQ2<br>LEI: 549300TPQQDBP9GNOF40 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1237086.52   | 0.03%             | 2050-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MF1 2020-FL4 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A       | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12092896 | PA      | $11938454.58  | 0.25%             | 2035-11-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL5 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL5 A 144A       | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    2353225 | PA      | $2296923.46   | 0.05%             | 2036-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL6 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL6 A 144A       | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17000000 | PA      | $16319775.60  | 0.34%             | 2036-07-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A       | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17000000 | PA      | $16309086.85  | 0.34%             | 2036-10-16      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                                | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL10 A 144A      | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12800000 | PA      | $12751530.24  | 0.27%             | 2037-09-17      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A       | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15000000 | PA      | $14450422.50  | 0.30%             | 2037-02-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM1 TRUST                                                              | MFRA TRUST MFRA 2020 NQM1 A1 144A                        | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3773853 | PA      | $3480585.02   | 0.07%             | 2065-03-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS LP                                                        | MID AMERICA APARTMENTS SR UNSECURED 03/30 2.75           | CUSIP: 59523UAR8<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2558048.91   | 0.05%             | 2030-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE TRANSMISSION LLC                                         | MID ATLANTIC INTERSTATE SR UNSECURED 144A 05/28 4.1      | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $1980037.08   | 0.04%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 07/25 1.412          | CUSIP: 606822BS2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    1900000 | PA      | $1727123.79   | 0.04%             | 2025-07-17      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 10/27 VAR            | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   11600000 | PA      | $10061329.37  | 0.21%             | 2027-10-13      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 05/26 VAR            | CUSIP: 60687YBD0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   12600000 | PA      | $11583764.51  | 0.24%             | 2026-05-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 07/24 VAR            | CUSIP: 60687YBG3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   16200000 | PA      | $16164357.89  | 0.34%             | 2024-07-10      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 07/31 VAR            | CUSIP: 60687YBH1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    1700000 | PA      | $1330685.03   | 0.03%             | 2031-07-10      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A5              | CUSIP: 59020UVM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     908399 | PA      | $799988.55    | 0.02%             | 2035-04-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                                       | MONDELEZ INTL INC                                        | CUSIP: 60920WN48<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2498420.83   | 0.05%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                                       | MONDELEZ INTL INC                                        | CUSIP: 60920WNA4<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     600000 | PA      | $599164.18    | 0.01%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3              | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3983787 | PA      | $2092441.85   | 0.04%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D             | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10872562 | PA      | $5665294.33   | 0.12%             | 2036-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                           | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2C            | CUSIP: 61749KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6121579 | PA      | $2494841.60   | 0.05%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A3              | CUSIP: 61755CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7694067 | PA      | $6749262.16   | 0.14%             | 2037-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C20                      | MORGAN STANLEY BAML TRUST MSBAM 2015 C20 ASB             | CUSIP: 61764RBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1026632 | PA      | $1000699.93   | 0.02%             | 2048-02-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C27                      | MORGAN STANLEY BAML TRUST MSBAM 2015 C27 ASB             | CUSIP: 61690AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4003683 | PA      | $3893880.46   | 0.08%             | 2047-12-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DIRECT LENDING FUND                                               | MORGAN STANLEY DIRECT SR UNSECURED 02/27 4.5             | CUSIP: 61774AAD5<br>LEI: 549300QEX22T2J8IB029 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $13873346.70  | 0.29%             | 2027-02-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A           | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1298945 | PA      | $1079301.57   | 0.02%             | 2035-07-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-5                                                          | MORTGAGEIT TRUST MHL 2005 5 A2                           | CUSIP: 61915RAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     736862 | PA      | $694444.34    | 0.01%             | 2035-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP SR UNSECURED 03/28 4                             | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $6430089.09   | 0.14%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP                                    | MPT OPER PARTNERSP/FINL COMPANY GUAR 12/23 2.55          | CUSIP: ACI1H1MY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1726380.74   | 0.04%             | 2023-12-05      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                             | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P A 144A     | CUSIP: 55375KAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17400000 | PA      | $15295562.22  | 0.32%             | 2039-09-13      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC)                | NATIONAL GRID HOLDINGS                                   | CUSIP: 63627BNQ5<br>LEI: 5Q3U0WRKWZZGRMPYFT08 | Long             | DBT              | CORP              | US        |    8300000 | PA      | $8273059.61   | 0.17%             | 2023-01-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 07/30 VAR      | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   11500000 | PA      | $9979976.81   | 0.21%             | 2030-07-18      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/28 VAR                 | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2600000 | PA      | $2327372.87   | 0.05%             | 2028-05-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 06/24 VAR                 | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2200000 | PA      | $2179973.20   | 0.05%             | 2024-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 1 M1           | CUSIP: 64352VFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10337898 | PA      | $9901639.36   | 0.21%             | 2034-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-INV1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2022 INV1 A2 144A     | CUSIP: 64831DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14128928 | PA      | $11842587.63  | 0.25%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP/THE SR UNSECURED 144A 07/30 3.95                | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $5674240.00   | 0.12%             | 2030-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NEW YORK STATE URBAN DEVELOPMENT CORPORATION                                     | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/24 FIXED 0.965  | CUSIP: 650036AS5<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    3900000 | PA      | $3737341.92   | 0.08%             | 2024-03-15      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| NEW YORK STATE URBAN DEVELOPMENT CORPORATION                                     | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/25 FIXED 1.115  | CUSIP: 650036AT3<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    2500000 | PA      | $2317442.75   | 0.05%             | 2025-03-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2006-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2006 1 M5             | CUSIP: 65106AAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6757000 | PA      | $6313896.89   | 0.13%             | 2036-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                              | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/30 2.25           | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   19000000 | PA      | $15667907.49  | 0.33%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/23 3.875    | CUSIP: 654740BL2<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7657922.14   | 0.16%             | 2023-09-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85     | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $14212771.80  | 0.30%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81             | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   16600000 | PA      | $14124353.85  | 0.30%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/30 2.679             | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    9400000 | PA      | $7537549.33   | 0.16%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2015-2R                                            | NOMURA RESECURITIZATION TRUST NMRR 2015 2R 3A2 144A      | CUSIP: 65540UAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11845321 | PA      | $7902250.85   | 0.17%             | 2036-11-26      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5               | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   21178852 | PA      | $2352636.71   | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2D                | CUSIP: 66988YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2488144 | PA      | $858827.02    | 0.02%             | 2036-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                           | NXP BV/NXP FDG/NXP USA COMPANY GUAR 06/26 3.875          | CUSIP: 62954HAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   12100000 | PA      | $11509900.91  | 0.24%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NY SOCIETY FOR RELIEF OF RUPTURED & CRIPPLED MAINTAINING HOSP SPECIAL SURGERY    | HOSPITAL SPECIAL SURGERY SECURED 10/50 2.667             | CUSIP: 44107HAF9<br>LEI: 549300U0XV0GGBTV6I72 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $1856351.19   | 0.04%             | 2050-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1              | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   26773214 | PA      | $2840732.51   | 0.06%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5            | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |      97365 | PA      | $10811.28     | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILLING NORBE VIII/IX LTD                                             | ODEBRECHT DRILL VIII/IX SR SECURED 144A 12/26 7.35       | CUSIP: 675757AC2<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |    9304189 | PA      | $5140564.42   | 0.11%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILLING NORBE VIII/IX LTD                                             | ODEBRECHT DRILL VIII/IX SR SECURED REGS 12/26 7.35       | CUSIP: G67106AC1<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |     671735 | PA      | $371133.59    | 0.01%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED                                      | ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/26 7.72      | CUSIP: G6711KAD7<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |    5246418 | PA      | $1403416.82   | 0.03%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                                              | ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000   | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    4702182 | PA      | $11520.35     | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                                              | ODEBRECHT OIL + FINANCE COMPANY GUAR REGS 12/99 0.0000   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     299000 | PA      | $732.55       | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OHIO AIR QUALITY DEVELOPMENT AUTHORITY                                           | OHIO ST AIR QUALITY DEV AUTH OHSDEV 11/39 ADJUSTABLE VAR | CUSIP: 677525WV5<br>LEI: 549300DZUU80AYOR6M80 | Long             | DBT              | MUN               | US        |    4900000 | PA      | $4892280.05   | 0.10%             | 2039-11-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER COMPANY                                                            | ALABAMA POWER CO SR UNSECURED 09/30 1.45                 | CUSIP: 010392FU7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $3749203.30   | 0.08%             | 2030-09-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HLTHCARE INVESTORS COMPANY GUAR 02/31 3.375        | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $9275994.84   | 0.20%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                               | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A      | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17300000 | PA      | $16353717.68  | 0.34%             | 2036-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                         | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A           | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14907440 | PA      | $12495120.68  | 0.26%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2           | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9591639 | PA      | $9117532.93   | 0.19%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8      | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12865903 | PA      | $12268271.85  | 0.26%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1          | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8276914 | PA      | $5048152.12   | 0.11%             | 2037-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-CP1                                          | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 CP1 1A1        | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4356275 | PA      | $3894749.16   | 0.08%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORPORATION                                       | CUSIP: 6840C3NT6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    9600000 | PA      | $9565563.74   | 0.20%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2007-1                                                                  | ALBA PLC ALBA 2007 1 A3 REGS                             | CUSIP: 995NAMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    6808230 | PA      | $7760707.60   | 0.16%             | 2039-03-17      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-6                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 6 A2B          | CUSIP: 69121TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2048699 | PA      | $1004987.44   | 0.02%             | 2037-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-6                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 6 A2D          | CUSIP: 69121TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10073885 | PA      | $4942502.69   | 0.10%             | 2037-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LOAN ASSET BACKED CERTIFICATES 2006-4                             | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 4 A2C          | CUSIP: 69121QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19650171 | PA      | $14774957.36  | 0.31%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| OZLM XVI LTD 2017-16A                                                            | OZLM LTD OZLM 2017 16A A1R 144A                          | CUSIP: 67111KAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16451426 | PA      | $16201950.61  | 0.34%             | 2030-05-16      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15           | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2232700.15   | 0.05%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5            | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2790000 | PA      | $2171084.90   | 0.05%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75           | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1460947.09   | 0.03%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95           | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1743495.12   | 0.04%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3            | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2762096.19   | 0.06%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2            | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $9844535.80   | 0.21%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25           | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1049090.04   | 0.02%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/25 3.5            | CUSIP: 694308HM2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3116534.88   | 0.07%             | 2025-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/27 5.45           | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3061910.52   | 0.06%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55           | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    8700000 | PA      | $7906036.43   | 0.17%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                              | ALEXANDRIA REAL ESTATE E COMPANY GUAR 01/26 4.3          | CUSIP: 015271AH2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    1199000 | PA      | $1169401.26   | 0.02%             | 2026-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/23 4.25           | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $995083.07    | 0.02%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/24 3.4            | CUSIP: 694308HK6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $5569222.35   | 0.12%             | 2024-08-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                              | ALEXANDRIA REAL ESTATE E COMPANY GUAR 02/33 1.875        | CUSIP: 015271AV1<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    9800000 | PA      | $7313692.96   | 0.15%             | 2033-02-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/28 4.65           | CUSIP: 694308JC2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1842591.40   | 0.04%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/40 3.3            | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $2926056.13   | 0.06%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3            | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $176831.69    | 0.00%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                              | ALEXANDRIA REAL ESTATE E COMPANY GUAR 07/29 4.5          | CUSIP: 015271AG4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4271982.98   | 0.09%             | 2029-07-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ1                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ1 M5              | CUSIP: 70069FGE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3355989 | PA      | $3228498.91   | 0.07%             | 2035-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ELECTRIC COMPANY                                                    | PENNSYLVANIA ELECTRIC CO SR UNSECURED 144A 03/28 3.25    | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1530294.30   | 0.03%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94            | CUSIP: 715638CE0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   20100000 | PA      | $4860052.15   | 0.10%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/26 8.2             | CUSIP: 715638AY8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   35600000 | PA      | $9820133.54   | 0.21%             | 2026-08-12      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/28 6.35            | CUSIP: 715638CL4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   25700000 | PA      | $6440856.26   | 0.14%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/28 6.35            | CUSIP: P78024AC3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   33500000 | PA      | $8395668.66   | 0.18%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PHYSICIANS REALTY LP                                                             | PHYSICIANS REALTY LP COMPANY GUAR 03/27 4.3              | CUSIP: 71951QAA0<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2125035.56   | 0.04%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PIPER SANDLER COMPANIES                                                          | PIPER SANDLER COS SR UNSECURED 144A 10/23 5.2            | CUSIP: 724078AE0<br>LEI: QUQDBTUSOAKFEVMRMF78 | Long             | DBT              | CORP              | US        |   11300000 | PA      | $11200560.00  | 0.24%             | 2023-10-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ALT-2 STRUCTURED TRUST                                                           | CASTLELAKE LP FIRST LIEN TERM LOAN                       | CUSIP: 937CJTII1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    9722483 | PA      | $8798847.17   | 0.19%             | 2031-05-13      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| PRIME MORTGAGE TR 2006-CL1                                                       | PRIME MORTGAGE TRUST PRIME 2006 CL1 A1                   | CUSIP: 74161QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     658066 | PA      | $649841.11    | 0.01%             | 2035-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                                    | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                  | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23840 | PA      | $23420.47     | 0.00%             | 2034-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | PROLOGIS LP COMPANY GUAR 09/28 3.875                     | CUSIP: 74340XBH3<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2463002.85   | 0.05%             | 2028-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                               | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR   | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |   35575000 | PA      | $116292.69    | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                                                   | PUBLIC STORAGE SR UNSECURED 09/27 3.094                  | CUSIP: 74460DAC3<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $11181158.28  | 0.24%             | 2027-09-15      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-SP2                                                             | RAAC SERIES RAAC 2006 SP2 M1                             | CUSIP: 74919PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32520 | PA      | $32507.42     | 0.00%             | 2036-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC                                   | READYCAP COMMERCIAL MORTGAGE T RCMT 2022 FL10 A 144A     | CUSIP: 755931AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11982963 | PA      | $11964856.36  | 0.25%             | 2039-10-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC                                    | READYCAP COMMERCIAL MORTGAGE T RCMT 2022 FL8 A 144A      | CUSIP: 75574PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14500000 | PA      | $14154855.05  | 0.30%             | 2037-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                           | REALKREDIT DANMARK COVERED REGS 10/53 1.5                | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   22613067 | PA      | $2510881.18   | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 01/31 3.25               | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3478626.72   | 0.07%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 06/29 3.25               | CUSIP: 756109AW4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     900000 | PA      | $803484.54    | 0.02%             | 2029-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 11/25 4.625              | CUSIP: 756109BE3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5839147.22   | 0.12%             | 2025-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                                               | REGENCY CENTERS LP COMPANY GUAR 09/29 2.95               | CUSIP: 75884RAZ6<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |     400000 | PA      | $336553.05    | 0.01%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AMDOCS LIMITED                                                                   | AMDOCS LTD SR UNSECURED 06/30 2.538                      | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |    6900000 | PA      | $5600924.37   | 0.12%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF2           | CUSIP: 75970HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12617230 | PA      | $4109308.04   | 0.09%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | REPUBLIC SVCS INC                                        | CUSIP: 76076GNC3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    9800000 | PA      | $9783752.98   | 0.21%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA13 2A1        | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227501 | PA      | $181781.80    | 0.00%             | 2035-12-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS13 1A10       | CUSIP: 75115DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     476419 | PA      | $367529.23    | 0.01%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA3                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA3 A1          | CUSIP: 74923XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4471219 | PA      | $3827081.46   | 0.08%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 1A1        | CUSIP: 751151AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3734768 | PA      | $1773981.44   | 0.04%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS4                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS4 M5          | CUSIP: 76112BPF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2459252 | PA      | $2442344.67   | 0.05%             | 2035-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX5                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3         | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2441745 | PA      | $2175280.42   | 0.05%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-EMX2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX2 M1         | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3139357 | PA      | $3070116.20   | 0.06%             | 2036-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A11                                  | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A11 1A1         | CUSIP: 45660LZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     921073 | PA      | $570012.88    | 0.01%             | 2035-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A11         | CUSIP: 762009AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1187236 | PA      | $884611.67    | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 16 3 A PTT PASS THRU CE 04/30 3.25          | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3029915 | PA      | $2359000.20   | 0.05%             | 2030-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5921646 | PA      | $5143828.63   | 0.11%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                          | RIPON MORTGAGES PLC RIPON 1RA A 144A                     | CUSIP: ACI23KYX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   19375773 | PA      | $22989821.64  | 0.48%             | 2056-08-28      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA BONDS REGS 05/30 3.624                           | CUSIP: ACI1MJRS7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   14000000 | PA      | $12288296.35  | 0.26%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 19 1A PTT PASS THRU CE 08/33 3.5            | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5964561 | PA      | $4536535.63   | 0.10%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                               | ROYALTY PHARMA PLC COMPANY GUAR 09/25 1.2                | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    3000000 | PA      | $2687692.89   | 0.06%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                  | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5       | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7514531.70   | 0.16%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC)                                  | S+P GLOBAL INC COMPANY GUAR 144A 05/29 4.25              | CUSIP: 78409VAZ7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    1390000 | PA      | $1329774.52   | 0.03%             | 2029-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SALES TAX SECURITIZATION CORPORATION                                             | SALES TAX SECURITIZATION CORP STSGEN 01/31 FIXED 2.857   | CUSIP: 79467BDE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5000000 | PA      | $4162071.50   | 0.09%             | 2031-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| SALES TAX SECURITIZATION CORPORATION                                             | SALES TAX SECURITIZATION CORP STSGEN 01/33 FIXED 3.007   | CUSIP: 79467BDG7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2000000 | PA      | $1612198.00   | 0.03%             | 2033-01-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                         | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375        | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2227263.47   | 0.05%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                               | SANDERS RE III LTD UNSECURED 144A 04/29 VAR              | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   10000000 | PA      | $9497500.00   | 0.20%             | 2029-04-09      | Floating      | 11.75%                | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY INC                                              | AMERICAN ELEC PWR INC                                    | CUSIP: 0255E3NK0<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    7850000 | PA      | $7829747.00   | 0.17%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                       | SANTANDER HOLDINGS USA SR UNSECURED 06/25 3.45           | CUSIP: 80282KBB1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   11900000 | PA      | $11350145.15  | 0.24%             | 2025-06-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2006-3                                              | SAXON ASSET SECURITIES TRUST SAST 2006 3 A3              | CUSIP: 80556AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5637454 | PA      | $5484310.57   | 0.12%             | 2046-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| SCENTRE MANAGEMENT LTD (SCENTRE GROUP TRUST 1/SCENTRE GROUP TRUST 2)             | SCENTRE GROUP TRUST 1/2 COMPANY GUAR 144A 01/26 3.625    | CUSIP: 80622GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   15900000 | PA      | $14973798.29  | 0.32%             | 2026-01-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                         | AMERICAN EXPRESS CO SR UNSECURED 03/27 2.55              | CUSIP: 025816CS6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2095703.51   | 0.04%             | 2027-03-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                                | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2A         | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     733952 | PA      | $555088.57    | 0.01%             | 2037-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                           | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A        | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13680000 | PA      | $12575297.59  | 0.27%             | 2038-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2C          | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2093210 | PA      | $1238222.95   | 0.03%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2003-20I                                         | SMALL BUSINESS ADMINISTRATION SBAP 2003 20I 1            | CUSIP: 83162CNF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        447 | PA      | $444.43       | 0.00%             | 2023-09-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2006-2                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2006 2 3A2            | CUSIP: 02660YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11432472 | PA      | $1971232.53   | 0.04%             | 2036-06-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| SOCIETY OF LLOYDS                                                                | SOCIETY OF LLOYD S SUBORDINATED REGS 10/24 4.75          | CUSIP: ACI09S5G4<br>LEI: 213800O2FTUPFGPH3J11 | Long             | DBT              | CORP              | GB        |    1700000 | PA      | $2019101.07   | 0.04%             | 2024-10-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO IX LTD 2015-2A                                                   | SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A              | CUSIP: 83609GBN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12600000 | PA      | $12174358.52  | 0.26%             | 2032-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XII LTD 2016-2A                                                  | SOUND POINT CLO LTD SNDPT 2016 2A AR2 144A               | CUSIP: 83610CAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9153906 | PA      | $9081493.09   | 0.19%             | 2028-10-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIV LTD 2016-3A                                                  | SOUND POINT CLO LTD SNDPT 2016 3A AR2 144A               | CUSIP: 83609NAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3804539 | PA      | $3785066.18   | 0.08%             | 2029-01-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVI LTD 2017-2A                                                  | SOUND POINT CLO LTD SNDPT 2017 2A AR 144A                | CUSIP: 83610KAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17000000 | PA      | $16745000.00  | 0.35%             | 2030-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVII 2017-3A                                                     | SOUND POINT CLO LTD SNDPT 2017 3A A1R 144A               | CUSIP: 83611GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15100000 | PA      | $14895447.85  | 0.31%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1        | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13470114 | PA      | $10518355.37  | 0.22%             | 2037-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1        | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7817251 | PA      | $2245262.24   | 0.05%             | 2037-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/26 10.5         | CUSIP: 614878II9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  926000000 | PA      | $57615466.85  | 1.21%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/26 10.5         | CUSIP: S69124FF7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  200000000 | PA      | $12443945.32  | 0.26%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 01/27 2.75              | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   13400000 | PA      | $12166184.01  | 0.26%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                                 | REPUBLIC OF KOREA SR UNSECURED 06/24 2                   | CUSIP: 50064FAR5<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |    1200000 | PA      | $1153027.88   | 0.02%             | 2024-06-19      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                                  | SOUTHERN CALIF GAS CO SR UNSECURED 04/27 2.95            | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   11300000 | PA      | $10437438.68  | 0.22%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 05/24 3.375             | CUSIP: 03027XAT7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2434076.08   | 0.05%             | 2024-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 06/23 3                 | CUSIP: 03027XAQ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1385357.99   | 0.03%             | 2023-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2D         | CUSIP: 84751NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12462304 | PA      | $7185685.71   | 0.15%             | 2037-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC | SPRINT SPECTRUM / SPEC I SR SECURED 144A 03/25 4.738     | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7762500 | PA      | $7674682.45   | 0.16%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC | SPRINT SPECTRUM / SPEC I SR SECURED 144A 09/29 5.152     | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10700000 | PA      | $10556436.82  | 0.22%             | 2029-09-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 05/25 VAR       | CUSIP: 853254BN9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   11000000 | PA      | $10620953.42  | 0.22%             | 2025-05-21      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 11/25 VAR       | CUSIP: 853254CE8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   16000000 | PA      | $14624507.68  | 0.31%             | 2025-11-23      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2019 FL1 A 144A      | CUSIP: 78485WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9548635 | PA      | $9358747.85   | 0.20%             | 2038-07-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 21-2A                                                  | STRATTON MORTGAGE FUNDING PLC STRA 2021 2A A 144A        | CUSIP: ACI1W61K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   17576098 | PA      | $21068012.63  | 0.44%             | 2060-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 7A1          | CUSIP: 863579C63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4491065 | PA      | $3193433.18   | 0.07%             | 2035-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4           | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9960000 | PA      | $9690430.61   | 0.20%             | 2035-03-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1          | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     392873 | PA      | $387758.45    | 0.01%             | 2035-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-3                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 1A1           | CUSIP: 86363GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     790102 | PA      | $677763.79    | 0.01%             | 2047-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                          | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1          | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6168 | PA      | $5872.33      | 0.00%             | 2032-09-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3          | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     591125 | PA      | $527733.64    | 0.01%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-GEL2                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 GEL2 A3 144A    | CUSIP: 86363MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3861041 | PA      | $3697481.88   | 0.08%             | 2037-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M1           | CUSIP: 03072SQ32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3033851 | PA      | $2973863.24   | 0.06%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/25 1.474        | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    2500000 | PA      | $2280210.80   | 0.05%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 09/28 1.902        | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   17000000 | PA      | $14039014.97  | 0.30%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP                                    | SUN COMMUNITIES OPER LP COMPANY GUAR 04/32 4.2           | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $14135578.40  | 0.30%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1          | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     692490 | PA      | $601437.17    | 0.01%             | 2037-02-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | SUTTER HEALTH UNSECURED 08/40 3.161                      | CUSIP: 86944BAH6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |   13100000 | PA      | $9840811.83   | 0.21%             | 2040-08-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 02/28 2.05                 | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $11186922.11  | 0.24%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC COMPANY                                                           | TAMPA ELECTRIC CO                                        | CUSIP: 87513MNC8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $9683848.72   | 0.20%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | TARGA RES CORP                                           | CUSIP: 87613LND7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $9683749.30   | 0.20%             | 2023-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMMC CLO XIV LTD 2014 14A                                                        | AMERICAN MONEY MANAGEMENT CORP AMMC 2014 14A A1R2 144A   | CUSIP: 00175LAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3118141 | PA      | $3092304.49   | 0.07%             | 2029-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| THARALDSON HOTEL PORTFOLIO TRUST 2018                                            | THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL A 144A      | CUSIP: 88327HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7938787 | PA      | $7724800.55   | 0.16%             | 2034-11-11      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                          | BANK OF NOVA SCOTIA SR UNSECURED 03/24 2.44              | CUSIP: 06418BAC2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   15000000 | PA      | $14488891.05  | 0.31%             | 2024-03-11      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER 2019-3 CLO LTD                                             | WIND RIVER CLO LTD WINDR 2019 3A AR 144A                 | CUSIP: 97314JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $3892698.32   | 0.08%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| THOMPSON PARK CLO LTD 2021-1A                                                    | THOMPSON PARK CLO, LTD TPRK 2021 1A A1 144A              | CUSIP: 884887AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $9706398.70   | 0.20%             | 2034-04-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 1 A2B            | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637487 | PA      | $530906.40    | 0.01%             | 2037-03-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1            | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4456042 | PA      | $3666048.07   | 0.08%             | 2047-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                             | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/32 FIXED 3.151  | CUSIP: 88880LAP8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    7095000 | PA      | $5694628.63   | 0.12%             | 2032-06-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | TORONTO DOMINION BANK SR UNSECURED 03/27 2.8             | CUSIP: 89114TZT2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    8000000 | PA      | $7348654.56   | 0.15%             | 2027-03-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 19-A13A                                              | TOWD POINT MORTGAGE FUNDING TPMF 2019 A13A A1 144A       | CUSIP: ACI1G4F01<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   38957440 | PA      | $46594739.87  | 0.98%             | 2045-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC                                  | TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A       | CUSIP: ACI19VH23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   16361803 | PA      | $19664249.85  | 0.41%             | 2051-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A            | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19603372 | PA      | $18294711.78  | 0.39%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                                      | TRINITY SQUARE TRINI 2021 1A A 144A                      | CUSIP: ACI1WK7V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   13104856 | PA      | $15659891.07  | 0.33%             | 2059-07-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | UBS AG SUBORDINATED REGS 05/24 5.125                     | CUSIP: BMJ6SQII2<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    1700000 | PA      | $1681543.10   | 0.04%             | 2024-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG JR SUBORDINA REGS 12/49 VAR                 | CUSIP: ACI0BSPY0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $297562.50    | 0.01%             | 2025-02-19      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 04/26 4.125               | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   10300000 | PA      | $9892416.33   | 0.21%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -103400000 | PA      | $-84160259.63 | -1.77%            | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -62700000 | PA      | $-53162170.05 | -1.12%            | 2053-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  539758963 | PA      | $474242620.65 | 10.00%            | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26000000 | PA      | $23623995.72  | 0.50%             | 2049-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  180000000 | PA      | $163656208.80 | 3.45%             | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  256700000 | PA      | $240837690.69 | 5.08%             | 2053-02-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   89000000 | PA      | $83521266.80  | 1.76%             | 2053-03-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  203400000 | PA      | $195810328.33 | 4.13%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $32522619.03  | 0.69%             | 2053-01-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15700000 | PA      | $15735659.25  | 0.33%             | 2053-02-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $2231260.20   | 0.05%             | 2053-02-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                    | UNICREDIT SPA SR UNSECURED 144A 09/26 VAR                | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    9300000 | PA      | $8244136.13   | 0.17%             | 2026-09-22      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                    | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83               | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   18700000 | PA      | $18897916.69  | 0.40%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1          | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     736170 | PA      | $665122.49    | 0.01%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/24 0.625                              | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9961926 | PA      | $9751276.09   | 0.21%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/32 0.125                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24403181 | PA      | $21393135.01  | 0.45%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO 2017-27A                                                              | APIDOS CLO APID 2017 27A A1R 144A                        | CUSIP: 03767JAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18000000 | PA      | $17807293.26  | 0.38%             | 2030-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/43 0.625                              | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1685008 | PA      | $1360958.40   | 0.03%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/44 1.375                              | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     767196 | PA      | $713213.49    | 0.02%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/45 0.75                               | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5441650 | PA      | $4405830.40   | 0.09%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/49 1                                  | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2960650 | PA      | $2477690.74   | 0.05%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/50 0.25                               | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8345592 | PA      | $5635900.87   | 0.12%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/51 0.125                              | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2976012 | PA      | $1919553.39   | 0.04%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 04/24 0.5                                | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2363140 | PA      | $2298285.68   | 0.05%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/31 0.125                              | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21681270 | PA      | $19172906.20  | 0.40%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/32 0.625                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16205270 | PA      | $14856318.21  | 0.31%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/41 1.875                              | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   79000000 | PA      | $55880156.25  | 1.18%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/44 3.625                              | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2900000 | PA      | $2662675.77   | 0.06%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/45 2.5                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9800000 | PA      | $7387324.18   | 0.16%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/50 2                                  | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47000000 | PA      | $31070488.34  | 0.66%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/41 2.25                               | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19000000 | PA      | $14293789.11  | 0.30%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/42 3                                  | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4300000 | PA      | $3619474.60   | 0.08%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/42 3.25                               | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37800000 | PA      | $33157687.50  | 0.70%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/44 3.375                              | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16300000 | PA      | $14388570.39  | 0.30%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/45 3                                  | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41000000 | PA      | $33816992.29  | 0.71%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/49 2.875                              | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31900000 | PA      | $25685730.39  | 0.54%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/41 3.75                               | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27700000 | PA      | $26290654.19  | 0.55%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/44 3.125                              | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35700000 | PA      | $30199968.75  | 0.64%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/45 2.875                              | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $8060937.50   | 0.17%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/50 1.375                              | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36100000 | PA      | $20072869.28  | 0.42%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/40 1.375                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  106200000 | PA      | $69100523.17  | 1.46%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/41 3.125                              | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20500000 | PA      | $17728496.15  | 0.37%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/42 2.75                               | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8300000 | PA      | $6660750.00   | 0.14%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/44 3                                  | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  155300000 | PA      | $128316625.00 | 2.71%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/50 1.625                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37700000 | PA      | $22445490.09  | 0.47%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| AQUEDUCT EUROPEAN CLO 1-2017 DAC                                                 | AQUEDUCT EUROPEAN CLO AQUE 2017 1A AR 144A               | CUSIP: ACI1VHTC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   12428501 | PA      | $13042191.75  | 0.27%             | 2030-07-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CALIFORNIA                                                         | UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/25 FIXED 0.883  | CUSIP: 91412HGE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6200000 | PA      | $5688735.60   | 0.12%             | 2025-05-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                         | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A     | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15100000 | PA      | $14714995.30  | 0.31%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                                    | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A3 144A      | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14404610 | PA      | $11559519.44  | 0.24%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | VENTAS REALTY LP COMPANY GUAR 10/26 3.25                 | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $3792468.72   | 0.08%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                         | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                 | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5800000 | PA      | $5718746.12   | 0.12%             | 2031-07-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                                   | VENTURE CDO LTD VENTR 2017 27A AR 144A                   | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16888119 | PA      | $16499859.46  | 0.35%             | 2030-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO IV LTD 2016-4A                                                       | VIBRANT CLO LTD VIBR 2016 4A A1RR 144A                   | CUSIP: 92557WAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17000000 | PA      | $16723668.40  | 0.35%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO VII LTD                                                              | VIBRANT CLO LTD VIBR 2017 7A A1R 144A                    | CUSIP: 92558BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16632859 | PA      | $16369318.92  | 0.35%             | 2030-09-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                                            | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                   | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   14260294 | PA      | $13626798.65  | 0.29%             | 2037-01-16      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                                               | VODAFONE GROUP PLC                                       | CUSIP: 92857MN57<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $9692537.50   | 0.20%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                                            | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                   | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13500000 | PA      | $13401409.50  | 0.28%             | 2039-06-17      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/26 3.2     | CUSIP: 928668BB7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $9006068.89   | 0.19%             | 2026-09-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/28 4.75    | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   16100000 | PA      | $15636878.99  | 0.33%             | 2028-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VTR COMUNICACIONES SPA                                                           | VTR COMUNICACIONES SPA SR SECURED 144A 01/28 5.125       | CUSIP: 918367AA1<br>LEI: 213800XDZJKMC1AEUV94 | Long             | DBT              | CORP              | CL        |     798000 | PA      | $496860.46    | 0.01%             | 2028-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                                    | VW CR INC                                                | CUSIP: 91842KNT9<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |    9800000 | PA      | $9764228.92   | 0.21%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2005-WMC1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 WMC1 M2          | CUSIP: 92977YAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5462712 | PA      | $4812295.07   | 0.10%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-A                                                  | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 A 2A1            | CUSIP: 92977TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     224542 | PA      | $211927.43    | 0.00%             | 2036-05-20      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE1                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE1 2A3         | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2686671 | PA      | $1235942.84   | 0.03%             | 2037-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE2                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE2 2A3         | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5113664 | PA      | $1984526.72   | 0.04%             | 2037-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A1         | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2145758 | PA      | $1683140.98   | 0.04%             | 2037-05-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A2         | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2278246 | PA      | $2089697.68   | 0.04%             | 2037-07-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A            | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   11766543 | PA      | $14224951.84  | 0.30%             | 2049-12-21      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A            | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2259000 | PA      | $2730949.18   | 0.06%             | 2049-12-21      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A            | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1179000 | PA      | $1425303.28   | 0.03%             | 2049-12-21      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A            | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     674000 | PA      | $814800.10    | 0.02%             | 2049-12-21      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A            | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     674000 | PA      | $814788.36    | 0.02%             | 2049-12-21      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A          | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        184 | PA      | $1743446.84   | 0.04%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A          | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        184 | PA      | $115946.35    | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1       | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105171 | PA      | $97270.49     | 0.00%             | 2045-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ARES XL CLO LTD 2016-40A                                                         | ARES CLO LTD ARES 2016 40A A1RR 144A                     | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13734183 | PA      | $13556860.61  | 0.29%             | 2029-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 1A1A        | CUSIP: 92922FH84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5066933 | PA      | $4595202.60   | 0.10%             | 2045-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 2A1A        | CUSIP: 92925CCE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     387311 | PA      | $353463.07    | 0.01%             | 2046-01-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A2        | CUSIP: 92925GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4241343 | PA      | $3648244.56   | 0.08%             | 2036-12-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3        | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153023 | PA      | $130878.85    | 0.00%             | 2036-12-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC ENERGY GROUP INC SR UNSECURED 10/27 1.375            | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4249333.50   | 0.09%             | 2027-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED REGS 05/30 VAR        | CUSIP: ACI1M15X9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $4725208.12   | 0.10%             | 2030-05-04      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC                                                                    | WELLTOWER INC SR UNSECURED 01/30 3.1                     | CUSIP: 95040QAJ3<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $5923170.96   | 0.12%             | 2030-01-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                    | ARGENT SECURITIES INC. ARSI 2006 M1 A2C                  | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16152610 | PA      | $4436062.46   | 0.09%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                                   | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A                | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5161808.40   | 0.11%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP                                 | WYNN LAS VEGAS LLC/CORP COMPANY GUAR 144A 03/25 5.5      | CUSIP: 983130AV7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18000000 | PA      | $17125307.28  | 0.36%             | 2025-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                                   | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                  | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5235429 | PA      | $2798049.79   | 0.06%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | FIXED INC CLEARING CORP.REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    4990000 | PA      | $4990000.00   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO THE BANK OF NOVA REVERSE REPO               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7197875 | PA      | $-7248490.06  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3873.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $23926.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $13519.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5600.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $139117.98    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $10530.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-35245.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-17709.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-4616077.66  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-4106.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230206                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-95661.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230109                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-230190.11   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-216485.60   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230313                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-175000.64   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS BANK PLC SNR SE ICE                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $13962.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $60912.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-11898.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-39790.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-30871.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CLP SOLD USD 20230323                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $1144111.37   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20230109                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $78851.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2915639.90  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-13235.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-79962.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20230314                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $316.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20230321                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-10606.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-75378.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY35 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-309838.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY36 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-624780.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY38 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1338866.25  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG39 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1068545.04  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20230202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $422279.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CLP SOLD USD 20230112                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $474541.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $11045.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230314                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $20020.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20230112                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-1131332.57  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20230221                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-484575.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2295.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $527874.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1103738.31   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230503                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $200572.30    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-912405.51   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230221                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-371063.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230705                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-253657.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-503316.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-148725.40   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-36247.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BRC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-225071.94   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-137799.15   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-41643.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-214164.57   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-115990.86   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP JPM                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-29745.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-14083.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-165394.64   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-36845.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT+T INC                                                 | CUSIP: 0020A3N30<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    9300000 | PA      | $9295309.73   | 0.20%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230213                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $96092.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IMM EUR FUT OPT DEC23P 96.5 EXP 12/18/2023               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1430 | NC      | $-5090242.30  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $293867.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-OAT FUTURE   MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -479 | NC      | $4862047.28   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T INC                                                                         | AT+T INC SR UNSECURED 05/35 4.5                          | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   15550000 | PA      | $14190156.70  | 0.30%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $35114.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $38907.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $43106.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $35791.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3044.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BOBL FUTURE  MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        198 | NC      | $-875406.51   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE  MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -969 | NC      | $8736638.23   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | EURO-BUXL 30Y BND MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -69 | NC      | $1797365.47   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | RXG3C 146 FEB23 146 CALL FSO                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -34 | NC      | $27265.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | RXG3P 138.5 FEB23 138.5 PUT FSO                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -34 | NC      | $-174364.70   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230503                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $53035.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-490.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-220738.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230512                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $221569.75    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $82836.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $36195.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $4124.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $25577.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM                                           | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2018 ATRM A 144A       | CUSIP: 04965KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4348039.50   | 0.09%             | 2035-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2588.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $15123.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230510                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $241495.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ATRIUM XII 12A                                                                   | ATRIUM CDO CORP ATRM 12A AR 144A                         | CUSIP: 04965CAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13383811 | PA      | $13248650.72  | 0.28%             | 2027-04-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-134231.47   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-372349.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BTP FUTURE   MAR23 XEUR 20230308                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -106 | NC      | $911488.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | 317552O02 PIMCO CDSOPT PUT EUR 3.0 20230315              | CUSIP: OP001XNK7<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -7500000 | NC      | $-1429.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX MAIN38 5Y ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-300959.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | JPN 10Y BOND(OSE) MAR23 XOSE 20230313                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |       -210 | NC      | $4264691.79   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $11180.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20230221                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $33124.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD HUF BOUGHT USD 20230103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-313008.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 08/25 4.125     | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   14600000 | PA      | $13635870.31  | 0.29%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-72653.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)                                    | PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 03/23 4.5      | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    3800000 | PA      | $3790903.94   | 0.08%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ROLLS-ROYCE PLC SNR SE ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-179961.26   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ROLLS-ROYCE PLC SNR SE ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-46868.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20230315                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-42.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230109                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-104999.31   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR OPT  DEC23C 98 EXP 12/15/2023               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -90 | NC      | $-7741.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR OPT  DEC23P 96.5 EXP 12/15/2023             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -90 | NC      | $-272997.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP BOA                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-556859.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP CBK                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-135347.79   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP DUB                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-201088.14   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-28804.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP JPM                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $181.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-893295.38   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $156092.92    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $4102.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $2653.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $3102.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230123                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1633.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230123                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $6662.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20230110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-47510.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-168848.11   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-144934.40   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BACARDI LIMITED                                                                  | BACARDI LTD COMPANY GUAR 144A 05/25 4.45                 | CUSIP: 067316AE9<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |   12600000 | PA      | $12237101.10  | 0.26%             | 2025-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U06DA3 PIMCO SWAPTION 2.973 CALL USD 202310           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7500000 | NC      | $-9113.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U06EA2 PIMCO SWAPTION 2.973 PUT USD 2023102           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7500000 | NC      | $-98210.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                  | BAE SYSTEMS PLC SR UNSECURED 144A 02/31 1.9              | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    5300000 | PA      | $4122423.63   | 0.09%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0DIA3 PIMCO SWAPTION 2.845 CALL USD 202311           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8000000 | NC      | $-10046.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0DJA2 PIMCO SWAPTION 2.845 PUT USD 2023111           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8000000 | NC      | $-109176.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0JXA3 PIMCO SWAPTION 3.65 PUT USD 20231201           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -31900000 | NC      | $-241425.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0JYA2 PIMCO SWAPTION 2.15 CALL USD 2023120           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -31900000 | NC      | $-22751.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0LEA9 PIMCO SWAPTION 3.75 PUT USD 20231207           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -54600000 | NC      | $-377275.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0LFA8 PIMCO SWAPTION 2.25 CALL USD 2023120           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -54600000 | NC      | $-45825.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1O7A0 PIMCO SWAPTION 3.62 PUT USD 20221230           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-0.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1O8A9 PIMCO SWAPTION 3.12 CALL USD 2022123           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-0.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1PBA2 PIMCO SWAPTION 2.547 CALL EUR 202303           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8700000 | NC      | $-19613.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1PCA1 PIMCO SWAPTION 2.547 PUT EUR 2023030           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8700000 | NC      | $-549503.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10600000 | NC      | $-27184.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-09

**Name of Applicant:** PIMCO Variable Insurance Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer