# EDGAR Filing Document

**Accession Number:** 0000710826
**File Stem:** 0001410368-26-020741
**Filing Date:** 2026-2
**Character Count:** 651395
**Document Hash:** a5502969d7151f73122b517b48383afe
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-020741.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001410368-26-020741

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust II
- **CENTRAL INDEX KEY:** 0000710826

**ORGANIZATION NAME:**
- **EIN:** 833164113
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03618
- **FILM NUMBER:** 26698903

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277
- **BUSINESS PHONE:** 980-949-5121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND
- **DATE OF NAME CHANGE:** 20120430

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Brighthouse/Wellington Balanced Portfolio (Series ID: S000006522)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017830 | Class A      |  |
| C000017831 | Class B      |  |
| C000017832 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust II

- **b. Investment Company Act file number:** 811-03618

- **c. CIK number of Registrant:** 0000710826

- **d. LEI of Registrant:** 549300NPPA08K2CWOV06

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Charlotte

  - **State:** NC

  - **Foreign country:** US

  - **Zip / Postal Code:** 28277

  - **Telephone number:** 980-949-5089

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

- **a. Name of Series:** Brighthouse/Wellington Balanced Portfolio

- **b. EDGAR series identifier (if any):** S000006522

- **c. LEI of Series:** NXBVDGYPUHFPZAEIGB14

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1316414370.54

**Total Liabilities:** $110607155.66

**Net Assets:** $1205807214.88

**Delayed Delivery Securities:** $1287164.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -329.22000000 | **1-Year:** -8131.52000000 | **5-Year:** -32389.73000000 | **10-Year:** -36428.53000000 | **30-Year:** -15632.14000000

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

- **3-Month:** -90.88000000 | **1-Year:** -2103.61000000 | **5-Year:** -5529.19000000 | **10-Year:** -3690.54000000 | **30-Year:** -948.25000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017830 | 2.22%                | 0.69%                | -0.21%               |
| Class ID C000017831 | 2.25%                | 0.64%                | -0.21%               |
| Class ID C000017832 | 2.23%                | 0.69%                | -0.26%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $7040762.56              | $18201672.35                               |
| Month 2  | $10211101.05             | $-4074189.64                               |
| Month 3  | $12564947.93             | $-17299489.02                              |

**Designated Index Information**

- **Index Name:** 60% S&P 500 Index  40% Bloomberg US Aggregate

- **Index Identifier:** 60%SPX 40%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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AAON Inc                                          | AAON Inc                                                                        | CUSIP: 000360206<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     47119 | NS      | $3592823.75   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| AES ANDES SA                                      | AES Andes SA                                                                    | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |    205000 | PA      | $213636.24    | 0.02%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization Equity Trust       | AASET 2020-1 Trust                                                              | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40060 | PA      | $39779.09     | 0.00%             | 2040-01-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                               | Abbott Laboratories                                                             | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |     15018 | NS      | $1881605.22   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie Inc                                        | AbbVie Inc                                                                      | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     13789 | NS      | $3150648.61   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Acadia Healthcare Co Inc                          | Acadia Healthcare Co Inc                                                        | CUSIP: 00404A109<br>LEI: 5493005CW985Y9D0NC11 | Long             | EC               | CORP              | US        |     20449 | NS      | $290171.31    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                          | Acadia Healthcare Co Inc                                                        | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57770.17     | 0.00%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                          | Acadia Healthcare Co Inc                                                        | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111100.44    | 0.01%             | 2033-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Advanced Micro Devices Inc                        | Advanced Micro Devices Inc                                                      | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |     39753 | NS      | $8513502.48   | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Master Trust                               | Affirm Master Trust                                                             | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590000 | PA      | $593990.35    | 0.05%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Agilent Technologies Inc                          | Agilent Technologies Inc                                                        | CUSIP: 00846U101<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | EC               | CORP              | US        |      9417 | NS      | $1281371.19   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                     | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    240000 | PA      | $231669.45    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                     | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    485000 | PA      | $440958.64    | 0.04%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                     | CUSIP: 00973RAQ6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    150000 | PA      | $146541.05    | 0.01%             | 2035-10-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                  | Alabama Power Co                                                                | CUSIP: 010392FL7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    225000 | PA      | $187936.70    | 0.02%             | 2044-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                  | Alabama Power Co                                                                | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    245000 | PA      | $174243.93    | 0.01%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                  | Alabama Power Co                                                                | CUSIP: 010392GC6<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51179.99     | 0.00%             | 2035-04-02      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RIO TINTO ALCAN INC                               | Rio Tinto Alcan Inc                                                             | CUSIP: 013716AU9<br>LEI: 2138007ZSQ7B17SKOX77 | Long             | DBT              | CORP              | CA        |    250000 | PA      | $273532.22    | 0.02%             | 2033-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuers LLC                  | Aligned Data Centers Issuer LLC                                                 | CUSIP: 01627AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545000 | PA      | $549012.24    | 0.05%             | 2048-08-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO                           | Allied Universal Holdco LLC                                                     | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    220000 | PA      | $231853.32    | 0.02%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5444000 | PA      | $-4399410.83  | -0.36%            | 2055-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6325000 | PA      | $-5346107.45  | -0.44%            | 2055-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030413<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -300000 | PA      | $-288574.22   | -0.02%            | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -729000 | PA      | $-644680.90   | -0.05%            | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    325000 | PA      | $300434.57    | 0.02%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1760000 | PA      | $1736827.82   | 0.14%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2190000 | PA      | $-2077049.79  | -0.17%            | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9710000 | PA      | $9713413.65   | 0.81%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042418<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -275000 | PA      | $-275096.68   | -0.02%            | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1460000 | PA      | $1425167.57   | 0.12%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5851000 | PA      | $-5711407.84  | -0.47%            | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042624<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1460000 | PA      | $-1424026.94  | -0.12%            | 2056-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2240000 | PA      | $-2233700.00  | -0.19%            | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052417<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2755000 | PA      | $2824337.07   | 0.23%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19394000 | PA      | $19665178.35  | 1.63%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8532000 | PA      | $8760038.77   | 0.73%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1030000 | PA      | $1056708.80   | 0.09%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0606C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1030000 | PA      | $-1056708.80  | -0.09%            | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F062614<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1045000 | PA      | $-1086006.41  | -0.09%            | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc                                      | Alphabet Inc                                                                    | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    146033 | NS      | $45708329.00  | 3.79%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHABET INC                                      | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    570000 | PA      | $536075.45    | 0.04%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | Alphabet Inc                                                                    | CUSIP: 02079KAZ0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    675000 | PA      | $670736.34    | 0.06%             | 2045-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | Alphabet Inc                                                                    | CUSIP: 02079KBB2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    465000 | PA      | $457676.55    | 0.04%             | 2075-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                  | Altice France SA                                                                | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $239670.48    | 0.02%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Amazon.com Inc                                    | Amazon.com Inc                                                                  | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    173047 | NS      | $39942708.54  | 3.31%             |  |  |  | No            |                  1 | On Loan: No      |
| HESS CORP                                         | Hess Corp                                                                       | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    275000 | PA      | $318259.58    | 0.03%             | 2033-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co Inc                    | American Electric Power Co Inc                                                  | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |     18618 | NS      | $2146841.58   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                             | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    350000 | PA      | $360763.61    | 0.03%             | 2031-01-30      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                             | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    435000 | PA      | $448287.44    | 0.04%             | 2031-04-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| American International Group Inc                  | American International Group Inc                                                | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |     27036 | NS      | $2312929.80   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Cencora Inc                                       | Cencora Inc                                                                     | CUSIP: 03073E105<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | EC               | CORP              | US        |      3606 | NS      | $1217926.50   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CENCORA INC                                       | Cencora Inc                                                                     | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    430000 | PA      | $439540.44    | 0.04%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                         | Amgen Inc                                                                       | CUSIP: 031162100<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | EC               | CORP              | US        |      2599 | NS      | $850678.69    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Amphenol Corp                                     | Amphenol Corp                                                                   | CUSIP: 032095101<br>LEI: 549300D3L3G0R4U4VT04 | Long             | EC               | CORP              | US        |     13300 | NS      | $1797362.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-R1                                                | CUSIP: 034651AA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     98465 | PA      | $95161.26     | 0.01%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-2                                                 | CUSIP: 03465DAA1<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    196091 | PA      | $170879.65    | 0.01%             | 2066-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-3                                                 | CUSIP: 03465EAA9<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    374255 | PA      | $325268.31    | 0.03%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-5                                                 | CUSIP: 03465HAA2<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    457278 | PA      | $398927.97    | 0.03%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-8                                                 | CUSIP: 03465MAA1<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    342351 | PA      | $308195.40    | 0.03%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                            | Anglo American Capital PLC                                                      | CUSIP: 034863AU4<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    385000 | PA      | $387199.30    | 0.03%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Elevance Health Inc                               | Elevance Health Inc                                                             | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |      5667 | NS      | $1986566.85   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Apple Inc                                         | Apple Inc                                                                       | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    165385 | NS      | $44961566.10  | 3.73%             |  |  |  | No            |                  1 | On Loan: No      |
| APPLIED MATERIALS INC                             | Applied Materials Inc                                                           | CUSIP: 038222AU9<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |    375000 | PA      | $369273.44    | 0.03%             | 2036-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2025-CRE11                                                                | CUSIP: 04002DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    325000 | PA      | $325406.58    | 0.03%             | 2043-07-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Argenx SE                                         | Argenx SE                                                                       | CUSIP: 04016X101<br>LEI: 7245009C5FZE6G9ODQ71 | Long             | EC               | CORP              | NL        |       736 | NS      | $618939.20    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ARES STRATEGIC INCOME FU                          | Ares Strategic Income Fund                                                      | CUSIP: 04020EAK3<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    320000 | PA      | $323098.46    | 0.03%             | 2030-09-09      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FU                          | Ares Strategic Income Fund                                                      | CUSIP: 04020EAR8<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    410000 | PA      | $402342.73    | 0.03%             | 2031-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Arista Networks Inc                               | Arista Networks Inc                                                             | CUSIP: 040413205<br>LEI: 635400H1WKBLOQERUU95 | Long             | EC               | CORP              | US        |     26607 | NS      | $3486315.21   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                            | Arizona Public Service Co                                                       | CUSIP: 040555DH4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    235000 | PA      | $247039.06    | 0.02%             | 2034-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2022-1                                                    | CUSIP: 042855AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461181 | PA      | $450779.18    | 0.04%             | 2056-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2019-2                                                    | CUSIP: 042858AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163372 | PA      | $159616.58    | 0.01%             | 2049-04-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                                         | CUSIP: 04316JAN9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    765000 | PA      | $773005.92    | 0.06%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Ascendis Pharma A/S                               | Ascendis Pharma A/S                                                             | CUSIP: 04351P101<br>LEI: 549300B66JN3W3J8GH73 | Long             | EC               | CORP              | DK        |      2130 | NS      | $454201.20    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ASHTEAD CAPITAL INC                               | Ashtead Capital Inc                                                             | CUSIP: 045054AP8<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    400000 | PA      | $356791.81    | 0.03%             | 2031-08-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ASURION LLC/ASURION CO                            | Asurion LLC and Asurion Co-Issuer Inc                                           | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $72632.80     | 0.01%             | 2032-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                   | AstraZeneca PLC                                                                 | CUSIP: 046353108<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |     11327 | NS      | $1041291.11   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                           | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    535000 | PA      | $473095.67    | 0.04%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                           | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42571.10     | 0.00%             | 2029-01-07      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                           | CUSIP: 04685A4C2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    315000 | PA      | $315020.24    | 0.03%             | 2029-10-08      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp                                 | Atmos Energy Corp                                                               | CUSIP: 049560105<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | EC               | CORP              | US        |     16890 | NS      | $2831270.70   | 0.23%             |  |  |  | No            |                  1 | On Loan: —       |
| Autodesk Inc                                      | Autodesk Inc                                                                    | CUSIP: 052769106<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | EC               | CORP              | US        |     16250 | NS      | $4810162.50   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                    | CUSIP: 053332BD3<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60127.91     | 0.00%             | 2033-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                    | CUSIP: 053332BH4<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     73000 | PA      | $81128.05     | 0.01%             | 2033-11-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                    | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     65000 | PA      | $67289.10     | 0.01%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                               | Avantor Funding Inc                                                             | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169076.31    | 0.01%             | 2028-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                               | Avantor Funding Inc                                                             | CUSIP: 05352TAB5<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    295000 | PA      | $282095.31    | 0.02%             | 2029-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RJL9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $175178.63    | 0.01%             | 2030-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                            | Equitable Holdings Inc                                                          | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     24000 | PA      | $24089.00     | 0.00%             | 2028-04-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2020-C7                                                    | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280000 | PA      | $49065.98     | 0.00%             | 2053-04-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                   | BAE Systems PLC                                                                 | CUSIP: 05523RAJ6<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    275000 | PA      | $282702.17    | 0.02%             | 2029-03-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    115000 | PA      | $122006.42    | 0.01%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                        | BINOM Securitization Trust 2021-INV1                                            | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212052 | PA      | $195115.83    | 0.02%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05571AAU9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    380000 | PA      | $402962.55    | 0.03%             | 2035-01-18      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                         | BPR Trust 2024-PMDW                                                             | CUSIP: 05592VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $226205.98    | 0.02%             | 2041-11-05      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                    | BSTN Commercial Mortgage Trust 2025-HUB                                         | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $225889.92    | 0.02%             | 2041-04-13      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    565000 | PA      | $579956.12    | 0.05%             | 2031-05-28      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2024-PAT                                                               | CUSIP: 05612FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86000 | PA      | $86349.10     | 0.01%             | 2041-03-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                    | BOCA Commercial Mortgage Trust 2025-BOCA                                        | CUSIP: 05619RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $550686.90    | 0.05%             | 2042-12-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2025-ARIA                                                              | CUSIP: 05619TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $332124.67    | 0.03%             | 2042-12-13      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                | Bacardi-Martini BV                                                              | CUSIP: 05634WAB8<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |    170000 | PA      | $176401.99    | 0.01%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD / MARTINI BV                          | Bacardi Ltd / Bacardi-Martini BV                                                | CUSIP: 05635JAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    167000 | PA      | $168839.05    | 0.01%             | 2033-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                          | Baltimore Gas and Electric Co                                                   | CUSIP: 059165ET3<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    240000 | PA      | $248670.94    | 0.02%             | 2035-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    285000 | PA      | $250105.87    | 0.02%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    570000 | PA      | $521267.50    | 0.04%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    475000 | PA      | $476894.98    | 0.04%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    330000 | PA      | $337993.16    | 0.03%             | 2035-10-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2023-5YR4                                                                 | CUSIP: 06211FBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    880923 | PA      | $21510.39     | 0.00%             | 2056-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBT3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     85000 | PA      | $90246.08     | 0.01%             | 2029-10-25      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBZ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    155000 | PA      | $160648.15    | 0.01%             | 2032-07-22      | Fixed         | 5.06%                 | No            |                  2 | On Loan: —       |
| Bank                                              | BANK 2019-BNK18                                                                 | CUSIP: 065402BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2810457 | PA      | $67726.11     | 0.01%             | 2062-05-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2018-BNK10                                                                 | CUSIP: 065404BB0<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1684859.46   | 0.14%             | 2061-02-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK20                                                                 | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3925740 | PA      | $100292.85    | 0.01%             | 2062-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK9                                                                  | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640273 | PA      | $8013.08      | 0.00%             | 2054-11-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK24                                                                 | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2205467 | PA      | $49025.11     | 0.00%             | 2062-11-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK22                                                                 | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4452781 | PA      | $87822.65     | 0.01%             | 2062-11-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK28                                                                 | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4806691 | PA      | $316713.82    | 0.03%             | 2063-03-15      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2023-BNK45                                                                 | CUSIP: 06541BBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1212840 | PA      | $68405.25     | 0.01%             | 2056-02-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2024-BNK48                                                                 | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3211849 | PA      | $256440.77    | 0.02%             | 2057-10-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK23                                                                 | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3578695 | PA      | $79923.71     | 0.01%             | 2052-12-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK8                                                                  | CUSIP: 06650AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6603866 | PA      | $61019.72     | 0.01%             | 2050-11-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                          | Baxter International Inc                                                        | CUSIP: 071813DD8<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    385000 | PA      | $387947.96    | 0.03%             | 2030-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS MORTGAGE TRUST 2017-C1                                                    | CUSIP: 07332VBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4203255 | PA      | $38604.37     | 0.00%             | 2050-02-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-C24                                                   | CUSIP: 07336VAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2023911 | PA      | $187312.12    | 0.02%             | 2057-02-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2025-C32                                                   | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1787630 | PA      | $146769.27    | 0.01%             | 2062-02-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| BellRing Brands Inc                               | BellRing Brands Inc                                                             | CUSIP: 07831C103<br>LEI: 549300S3BOK5CMTS8054 | Long             | EC               | CORP              | US        |     29707 | NS      | $794068.11    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B9 Mortgage Trust                                                | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $620175.91    | 0.05%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B2 Mortgage Trust                                                | CUSIP: 08161CAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795000 | PA      | $788767.44    | 0.07%             | 2051-02-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B4 Mortgage Trust                                                | CUSIP: 08161HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3679039 | PA      | $40956.17     | 0.00%             | 2051-07-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B12 Mortgage Trust                                               | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1765762 | PA      | $43865.94     | 0.00%             | 2052-08-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B1 Mortgage Trust                                                | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1553782 | PA      | $15348.42     | 0.00%             | 2051-01-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B10 Mortgage Trust                                               | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4990596 | PA      | $163017.81    | 0.01%             | 2062-03-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B18 Mortgage Trust                                               | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1073108 | PA      | $52773.96     | 0.00%             | 2053-07-15      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B22 Mortgage Trust                                               | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2320260 | PA      | $138733.70    | 0.01%             | 2054-01-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                   | Benefit Street Partners CLO XXXI Ltd                                            | CUSIP: 08183DAS2<br>LEI: 254900SVG14IYL7QTZ56 | Long             | ABS-CBDO         | CORP              | JE        |    575000 | PA      | $576634.15    | 0.05%             | 2038-04-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Inc                            | Berkshire Hathaway Inc                                                          | CUSIP: 084670702<br>LEI: 5493000C01ZX7D35SD85 | Long             | EC               | CORP              | US        |     20957 | NS      | $10534036.05  | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| Bio-Techne Corp                                   | Bio-Techne Corp                                                                 | CUSIP: 09073M104<br>LEI: 54930073RLKQ51TILZ35 | Long             | EC               | CORP              | US        |      6212 | NS      | $365327.72    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACKSTONE SECURED LEND                           | Blackstone Secured Lending Fund                                                 | CUSIP: 09261XAL6<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    690000 | PA      | $681409.04    | 0.06%             | 2031-01-31      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Blackrock Inc                                     | Blackrock Inc                                                                   | CUSIP: 09290D101<br>LEI: 529900VBK42Y5HHRMD23 | Long             | EC               | CORP              | US        |      2420 | NS      | $2590222.80   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Blue Owl Asset Leasing Trust                      | Blue Owl Asset Leasing Trust 2024-1 LLC                                         | CUSIP: 095921AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101149.70    | 0.01%             | 2030-03-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    330000 | PA      | $342642.46    | 0.03%             | 2035-11-19      | Fixed         | 5.91%                 | No            |                  2 | On Loan: —       |
| Boeing Co/The                                     | Boeing Co/The                                                                   | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |     15376 | NS      | $3338437.12   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77557.80     | 0.01%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    125000 | PA      | $118427.50    | 0.01%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21817.71     | 0.00%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    655000 | PA      | $668609.66    | 0.06%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    505000 | PA      | $518892.63    | 0.04%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                   | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $86815.48     | 0.01%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                   | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     65000 | PA      | $73856.28     | 0.01%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp                            | Boston Scientific Corp                                                          | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |      9982 | NS      | $951783.70    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM2                                       | CUSIP: 10569EAA9<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     44968 | PA      | $44013.74     | 0.00%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM1                                       | CUSIP: 10569TAA6<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |    101955 | PA      | $93958.43     | 0.01%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                      | British American Tobacco PLC                                                    | CUSIP: 110448107<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |     12430 | NS      | $703786.60    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Broadcom Inc                                      | Broadcom Inc                                                                    | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |     64736 | NS      | $22405129.60  | 1.86%             |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    140000 | PA      | $144140.82    | 0.01%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FCA7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    155000 | PA      | $155524.70    | 0.01%             | 2028-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    375000 | PA      | $384212.27    | 0.03%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FCW9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    330000 | PA      | $329749.01    | 0.03%             | 2030-10-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                               | Buckeye Partners LP                                                             | CUSIP: 118230AW1<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    250000 | PA      | $262437.75    | 0.02%             | 2030-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Builders FirstSource Inc                          | Builders FirstSource Inc                                                        | CUSIP: 12008R107<br>LEI: 549300W0SKP6L3H7DP63 | Long             | EC               | CORP              | US        |      6992 | NS      | $719406.88    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Burlington Stores Inc                             | Burlington Stores Inc                                                           | CUSIP: 122017106<br>LEI: 5299003Z37DVGKKC1W09 | Long             | EC               | CORP              | US        |      6930 | NS      | $2001730.50   | 0.17%             |  |  |  | No            |                  1 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $275655.03    | 0.02%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221463 | PA      | $186335.92    | 0.02%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237719 | PA      | $199309.75    | 0.02%             | 2060-07-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93133 | PA      | $75178.49     | 0.01%             | 2061-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140978 | PA      | $138681.15    | 0.01%             | 2062-08-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| CH Robinson Worldwide Inc                         | CH Robinson Worldwide Inc                                                       | CUSIP: 12541W209<br>LEI: 529900WNWN5L0OVDHA79 | Long             | EC               | CORP              | US        |     16422 | NS      | $2640000.72   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                          | CHS/Community Health Systems Inc                                                | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62300.00     | 0.01%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| CHS/COMMUNITY HEALTH SYS                          | CHS/Community Health Systems Inc                                                | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62361.98     | 0.01%             | 2031-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                          | CHS/Community Health Systems Inc                                                | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     54000 | PA      | $58937.76     | 0.00%             | 2032-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                                                 | CUSIP: 125523CY4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    375000 | PA      | $379879.66    | 0.03%             | 2032-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CP ATLAS BUYER INC                                | CP Atlas Buyer Inc                                                              | CUSIP: 12597YAC3<br>LEI: 2549006ZZ07G0NDDCR36 | Long             | DBT              | CORP              | US        |    110000 | PA      | $113932.45    | 0.01%             | 2030-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| CP ATLAS BUYER INC                                | CP Atlas Buyer Inc                                                              | CUSIP: 12597YAD1<br>LEI: 2549006ZZ07G0NDDCR36 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56845.24     | 0.00%             | 2031-01-15      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2012-CCRE4 Mortgage Trust                                                  | CUSIP: 12624QAS2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     68890 | PA      | $1329.08      | 0.00%             | 2045-10-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2016-C6 Commercial Mortgage Trust                                         | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    848001 | PA      | $8.48         | 0.00%             | 2049-01-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                          | CSX Corp                                                                        | CUSIP: 126408HZ9<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    765000 | PA      | $778115.38    | 0.06%             | 2035-06-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Csmc 2022-Nqm1 Trust                                                            | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    983285 | PA      | $901338.79    | 0.07%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2017-FHA1 Trust                                                            | CUSIP: 12651RAA5<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    206791 | PA      | $191051.69    | 0.02%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2022-HC Mortgage Trust                                                     | CUSIP: 12659DAA8<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    205000 | PA      | $197862.08    | 0.02%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2022-HC Mortgage Trust                                                     | CUSIP: 12659DAJ9<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $197642.38    | 0.02%             | 2039-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM8                                                                  | CUSIP: 12659FAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    388430 | PA      | $351998.03    | 0.03%             | 2066-10-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM2                                                                  | CUSIP: 12662EAA1<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    405511 | PA      | $364444.88    | 0.03%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL4 Trust                                                            | CUSIP: 12662GAC2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    218590 | PA      | $217745.48    | 0.02%             | 2060-12-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                   | CVS Health Corp                                                                 | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |     21071 | NS      | $1672194.56   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    330000 | PA      | $331092.91    | 0.03%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $97704.24     | 0.01%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $96513.53     | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    140000 | PA      | $122985.12    | 0.01%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: —       |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35826.36     | 0.00%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                | Coterra Energy Inc                                                              | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    222000 | PA      | $228737.25    | 0.02%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| Cadence Design Systems Inc                        | Cadence Design Systems Inc                                                      | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |      8184 | NS      | $2558154.72   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    410000 | PA      | $463359.81    | 0.04%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HDF9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     25000 | PA      | $26612.25     | 0.00%             | 2035-02-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    235000 | PA      | $245312.47    | 0.02%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    310000 | PA      | $309545.31    | 0.03%             | 2031-09-11      | Fixed         | 4.49%                 | No            |                  2 | On Loan: —       |
| Cardinal Health Inc                               | Cardinal Health Inc                                                             | CUSIP: 14149Y108<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | EC               | CORP              | US        |      8534 | NS      | $1753737.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| CARDINAL HEALTH INC                               | Cardinal Health Inc                                                             | CUSIP: 14149YBR8<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    445000 | PA      | $457024.11    | 0.04%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                               | Cardinal Health Inc                                                             | CUSIP: 14149YBU1<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    640000 | PA      | $646063.25    | 0.05%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Casey's General Stores Inc                        | Casey's General Stores Inc                                                      | CUSIP: 147528103<br>LEI: 549300CAFWSI86V66Q65 | Long             | EC               | CORP              | US        |      1580 | NS      | $873281.80    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Celanese Corp                                     | Celanese Corp                                                                   | CUSIP: 150870103<br>LEI: 549300FHJQTDPPN41627 | Long             | EC               | CORP              | US        |     17075 | NS      | $721931.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                        | CUSIP: 15089QAZ7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120600.00    | 0.01%             | 2030-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                        | CUSIP: 15089QBC7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20477.28     | 0.00%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                        | CUSIP: 15089QBD5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60958.22     | 0.01%             | 2034-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Celsius Holdings Inc                              | Celsius Holdings Inc                                                            | CUSIP: 15118V207<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     16127 | NS      | $737648.98    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                    | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    580000 | PA      | $500871.28    | 0.04%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    300000 | PA      | $258043.28    | 0.02%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    490000 | PA      | $505707.26    | 0.04%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    395000 | PA      | $371365.68    | 0.03%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $119418.02    | 0.01%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $234765.08    | 0.02%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $62943.19     | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $296567.04    | 0.02%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $110611.24    | 0.01%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $105175.55    | 0.01%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $24939.36     | 0.00%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                          | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    470000 | PA      | $480517.74    | 0.04%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                        | CHICAGO IL BRD OF EDU                                                           | CUSIP: 167505KH8<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    325000 | PA      | $305767.22    | 0.03%             | 2039-12-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                        | CHICAGO IL BRD OF EDU                                                           | CUSIP: 167505NG7<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    315000 | PA      | $314147.39    | 0.03%             | 2029-11-01      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                  | Cinemark USA Inc                                                                | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |    250000 | PA      | $259425.50    | 0.02%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    435000 | PA      | $444302.32    | 0.04%             | 2031-05-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    880000 | PA      | $882723.41    | 0.07%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                          | Citizens Financial Group Inc                                                    | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     85000 | PA      | $93463.56     | 0.01%             | 2035-04-25      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                          | Citizens Financial Group Inc                                                    | CUSIP: 174610BJ3<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    260000 | PA      | $267162.30    | 0.02%             | 2031-03-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| DREYFUS TREASURY & AGENCY LEX                     | DREYFUS TREASURY & AGENCY LEX                                                   | CUSIP: 261908107<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| TFDXX LEX BLACKROCK FED FUND                      | TFDXX LEX BLACKROCK FED FUND                                                    | CUSIP: 09248U700<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Clean Harbors Inc                                 | Clean Harbors Inc                                                               | CUSIP: 184496107<br>LEI: 5493000SJVZVZJKHJF48 | Long             | EC               | CORP              | US        |     25630 | NS      | $6009722.40   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| CLEARWAY ENERGY OP LLC                            | Clearway Energy Operating LLC                                                   | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    120000 | PA      | $119738.54    | 0.01%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OP LLC                            | Clearway Energy Operating LLC                                                   | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    130000 | PA      | $121405.36    | 0.01%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HOLDINGS                          | Cleco Corporate Holdings LLC                                                    | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    275000 | PA      | $258612.88    | 0.02%             | 2029-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                            | Clydesdale Acquisition Holdings Inc                                             | CUSIP: 18972EAA3<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122093.88    | 0.01%             | 2029-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                            | Clydesdale Acquisition Holdings Inc                                             | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122001.48    | 0.01%             | 2030-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: —       |
| STATE STREET INST US GOVT FUND                    | STATE STREET INST US GOVT FUND                                                  | CUSIP: 857492706<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Coca-Cola Co/The                                  | Coca-Cola Co/The                                                                | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |     65655 | NS      | $4589941.05   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Coherent Corp                                     | Coherent Corp                                                                   | CUSIP: 19247G107<br>LEI: 549300O5C25A0MMHHU33 | Long             | EC               | CORP              | US        |      4247 | NS      | $783868.79    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-1 Mortgage Loan Trust                                                 | CUSIP: 19688EAA6<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |    304530 | PA      | $265391.58    | 0.02%             | 2066-06-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-3 Mortgage Loan Trust                                                 | CUSIP: 19688FAA3<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |    573883 | PA      | $494051.22    | 0.04%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                          | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $221520.74    | 0.02%             | 2034-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: —       |
| COLUMBIA PIPELINE HOLDCO                          | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     62000 | PA      | $63046.32     | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                          | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $349968.82    | 0.03%             | 2032-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $37466.01     | 0.00%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     18000 | PA      | $13272.91     | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    135000 | PA      | $111269.22    | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    240000 | PA      | $140350.42    | 0.01%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    157000 | PA      | $84920.90     | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Commercial Equipment Finance                      | Commercial Equipment Finance 2024-1 LLC                                         | CUSIP: 20166RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185817 | PA      | $187820.00    | 0.02%             | 2029-07-16      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Commercial Equipment Finance                      | Commercial Equipment Finance 2025-1 LLC                                         | CUSIP: 20166TAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    664011 | PA      | $666736.33    | 0.06%             | 2031-05-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAF8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    860000 | PA      | $888720.65    | 0.07%             | 2042-01-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754LAF6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    405000 | PA      | $412617.60    | 0.03%             | 2041-12-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAF3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    174400 | PA      | $177204.93    | 0.01%             | 2041-10-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    274000 | PA      | $200996.81    | 0.02%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBD7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21795.80     | 0.00%             | 2062-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBE5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83839.47     | 0.01%             | 2053-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62540.22     | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBH8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    265000 | PA      | $255309.31    | 0.02%             | 2063-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBN5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    150000 | PA      | $144025.74    | 0.01%             | 2065-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                           | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    250000 | PA      | $166000.19    | 0.01%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                           | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GN7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    235000 | PA      | $227809.78    | 0.02%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                           | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GP2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199435.31    | 0.02%             | 2055-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10511000 | PA      | $9064916.38   | 0.75%             | 2055-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -275000 | PA      | $-247059.57   | -0.02%            | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1455000 | PA      | $-1323878.59  | -0.11%            | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -525000 | PA      | $-495858.40   | -0.04%            | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1790000 | PA      | $-1743292.19  | -0.14%            | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3950000 | PA      | $3940663.90   | 0.33%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8580000 | PA      | $8663195.03   | 0.72%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2743000 | PA      | $2795181.30   | 0.23%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Inc                      | Citigroup Global Markets Inc                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                          | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    190000 | PA      | $169221.32    | 0.01%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                          | CUSIP: 224044CU9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44278.08     | 0.00%             | 2034-09-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                          | CUSIP: 224044CV7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    285000 | PA      | $249492.70    | 0.02%             | 2054-09-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 225313AQ8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    455000 | PA      | $483079.16    | 0.04%             | 2035-01-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2024-3                                        | CUSIP: 22535LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $643602.82    | 0.05%             | 2034-09-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    590000 | PA      | $605704.21    | 0.05%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    505000 | PA      | $504339.54    | 0.04%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: —       |
| CROSSCOUNTRY INTER                                | CrossCountry Intermediate HoldCo LLC                                            | CUSIP: 22757VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $254999.00    | 0.02%             | 2030-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    340000 | PA      | $323955.61    | 0.03%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    530000 | PA      | $473400.81    | 0.04%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     65000 | PA      | $57365.35     | 0.00%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM5 Trust                                                            | CUSIP: 22946DAA0<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    309129 | PA      | $263748.39    | 0.02%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Cytokinetics Inc                                  | Cytokinetics Inc                                                                | CUSIP: 23282W605<br>LEI: 549300BE5DY1HW7IHA64 | Long             | EC               | CORP              | US        |     12421 | NS      | $789230.34    | 0.07%             |  |  |  | No            |                  1 | On Loan: —       |
| Deutsche Bank Commercial Mortgage Trust           | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    796097 | PA      | $33802.53     | 0.00%             | 2053-09-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                  | DT Midstream Inc                                                                | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270000 | PA      | $280204.64    | 0.02%             | 2034-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Danaher Corp                                      | Danaher Corp                                                                    | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |      6525 | NS      | $1493703.00   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| DC Commercial Mortgage Trust                      | DC Trust 2024-HLTN                                                              | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $202499.16    | 0.02%             | 2040-04-13      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                      | DC Trust 2024-HLTN                                                              | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100209.14    | 0.01%             | 2040-04-13      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2021-2                                     | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130280 | PA      | $116829.51    | 0.01%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Barclays Capital Inc                              | Barclays Capital Inc                                                            | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | RA               | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CF Secured LLC                                    | CF Secured LLC                                                                  | CUSIP: 000000000<br>LEI: 254900OXTV81I73FAT50 | Long             | RA               | CORP              | US        |   1443926 | PA      | $1443926.34   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale                                  | Societe Generale                                                                | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |     57550 | PA      | $57550.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | HSBC Bank PLC                                                                   | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | Long             | RA               | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                          | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     80000 | PA      | $80763.92     | 0.01%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                          | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143349.41    | 0.01%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                          | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66152.60     | 0.01%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                          | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     85000 | PA      | $80237.44     | 0.01%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                          | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66809.04     | 0.01%             | 2035-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| Disc Medicine Inc                                 | Disc Medicine Inc                                                               | CUSIP: 254604101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2589 | NS      | $205592.49    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DIRECTV FIN LLC/COINC                             | Directv Financing LLC / Directv Financing Co-Obligor Inc                        | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $122646.21    | 0.01%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Walt Disney Co/The                                | Walt Disney Co/The                                                              | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |     44281 | NS      | $5037849.37   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $117899.57    | 0.01%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                               | Dominion Energy Inc                                                             | CUSIP: 25746U109<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | EC               | CORP              | US        |     81533 | NS      | $4777018.47   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                             | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    305000 | PA      | $313367.68    | 0.03%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                             | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1165350.89   | 0.10%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473750 | PA      | $472361.11    | 0.04%             | 2048-07-25      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    316800 | PA      | $304939.39    | 0.03%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    505700 | PA      | $480679.99    | 0.04%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| DoorDash Inc                                      | DoorDash Inc                                                                    | CUSIP: 25809K105<br>LEI: 549300NUQ43FGGSK5051 | Long             | EC               | CORP              | US        |     15446 | NS      | $3498210.08   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-10799.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Bank NA                               | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: KB1H1DSPRFMYMCUFXT09 | N/A              | DFE              |  | XX        |         1 | NC      | $-349.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Bank NA                               | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: KB1H1DSPRFMYMCUFXT09 | N/A              | DFE              |  | XX        |         1 | NC      | $-13.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |         1 | NC      | $418.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-3307.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-979.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    485000 | PA      | $441640.07    | 0.04%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CBM6<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     90000 | PA      | $69382.75     | 0.01%             | 2041-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39867.94     | 0.00%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    125000 | PA      | $110354.05    | 0.01%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52064.63     | 0.00%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    540000 | PA      | $535469.34    | 0.04%             | 2035-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                             | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    205000 | PA      | $180169.24    | 0.01%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 26442RAB7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    320000 | PA      | $273782.64    | 0.02%             | 2044-03-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    160000 | PA      | $162685.68    | 0.01%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98639.41     | 0.01%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                           | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    145000 | PA      | $90576.03     | 0.01%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                           | Duke Energy Florida LLC                                                         | CUSIP: 26444HAJ0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    245000 | PA      | $221014.50    | 0.02%             | 2030-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                           | Duke Energy Florida LLC                                                         | CUSIP: 26444HAU5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    115000 | PA      | $114498.26    | 0.01%             | 2035-12-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| elf Beauty Inc                                    | elf Beauty Inc                                                                  | CUSIP: 26856L103<br>LEI: 549300U2K9TCON25C029 | Long             | EC               | CORP              | US        |      4109 | NS      | $312448.36    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                               | CUSIP: 26875PAW1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     85000 | PA      | $83134.70     | 0.01%             | 2054-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                               | CUSIP: 26875PAY7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    175000 | PA      | $179249.88    | 0.01%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                               | CUSIP: 26875PAZ4<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128445.39    | 0.01%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                               | CUSIP: 26875PBB6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40155.62     | 0.00%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EQT Corp                                          | EQT Corp                                                                        | CUSIP: 26884L109<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | EC               | CORP              | US        |     33412 | NS      | $1790883.20   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| ECHOSTAR CORP                                     | EchoStar Corp                                                                   | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    250000 | PA      | $256117.15    | 0.02%             | 2030-11-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| ECOPETROL SA                                      | Ecopetrol SA                                                                    | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    320000 | PA      | $329209.83    | 0.03%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                      | Ecopetrol SA                                                                    | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    465000 | PA      | $478526.85    | 0.04%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                              | Edison International                                                            | CUSIP: 281020BB2<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    139000 | PA      | $138968.28    | 0.01%             | 2032-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                              | Edison International                                                            | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    325000 | PA      | $339722.01    | 0.03%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Edwards Lifesciences Corp                         | Edwards Lifesciences Corp                                                       | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |     18090 | NS      | $1542172.50   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage Trust                | EFMT 2025-INV5                                                                  | CUSIP: 28224UAJ3<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |    317769 | PA      | $318326.90    | 0.03%             | 2070-12-01      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                          | Element Fleet Management Corp                                                   | CUSIP: 286181AR3<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    450000 | PA      | $451254.78    | 0.04%             | 2030-11-24      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 23 Ltd                                | Elmwood CLO 23 Ltd                                                              | CUSIP: 29003YAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    530000 | PA      | $530814.08    | 0.04%             | 2036-04-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    160000 | PA      | $133863.63    | 0.01%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     85000 | PA      | $56757.84     | 0.00%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    180000 | PA      | $174439.28    | 0.01%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VCK7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    475000 | PA      | $480836.06    | 0.04%             | 2031-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61076.44     | 0.01%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL                          | Equitable America Global Funding                                                | CUSIP: 29446Q2E2<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    535000 | PA      | $532273.76    | 0.04%             | 2032-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    160000 | PA      | $152310.95    | 0.01%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAT4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    175000 | PA      | $178900.79    | 0.01%             | 2030-03-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                            | Equitable Holdings Inc                                                          | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |     50632 | NS      | $2412614.80   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Eversource Energy                                 | Eversource Energy                                                               | CUSIP: 30040W108<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | EC               | CORP              | US        |     17521 | NS      | $1179688.93   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                               | CUSIP: 30040WAU2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    400000 | PA      | $403984.57    | 0.03%             | 2033-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                               | CUSIP: 30040WAX6<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    188000 | PA      | $193224.23    | 0.02%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                               | CUSIP: 30040WBB3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    355000 | PA      | $353011.99    | 0.03%             | 2030-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2025-4                                      | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245000 | PA      | $246291.17    | 0.02%             | 2030-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                       | Extended Stay America Trust 2025-ESH                                            | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $105163.96    | 0.01%             | 2042-10-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp                                  | Exxon Mobil Corp                                                                | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |     96942 | NS      | $11666000.28  | 0.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Meta Platforms Inc                                | Meta Platforms Inc                                                              | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |     10029 | NS      | $6620042.61   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     85000 | PA      | $79076.80     | 0.01%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    260000 | PA      | $241174.63    | 0.02%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    575000 | PA      | $558335.89    | 0.05%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    575000 | PA      | $548264.64    | 0.05%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120964.69    | 0.01%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    110000 | PA      | $105574.81    | 0.01%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| FS Trust                                          | FS Trust 2024-HULA                                                              | CUSIP: 30338DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100216.52    | 0.01%             | 2039-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FORVIA SE                                         | Forvia SE                                                                       | CUSIP: 31209DAC9<br>LEI: 969500F0VMZLK2IULV85 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $206515.12    | 0.02%             | 2033-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31283H3M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26153 | PA      | $26707.55     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9VL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12655 | PA      | $13216.26     | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48200 | PA      | $50380.04     | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MABU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172036 | PA      | $168627.93    | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJTR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230889 | PA      | $231877.19    | 0.02%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3975 | PA      | $3655.34      | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348966 | PA      | $317357.31    | 0.03%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347990 | PA      | $316163.73    | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112584 | PA      | $102229.46    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219149 | PA      | $198191.05    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127130 | PA      | $124278.68    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128P76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140428 | PA      | $137508.83    | 0.01%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128UGL47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2814 | PA      | $2909.73      | 0.00%             | 2041-02-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1830 | PA      | $1876.07      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31307DH58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69858 | PA      | $69159.62     | 0.01%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3131XYTF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86953 | PA      | $81780.26     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3131YBFP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127872 | PA      | $119984.03    | 0.01%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619335 | PA      | $93968.00     | 0.01%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 31325YQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1777101 | PA      | $92022.52     | 0.01%             | 2037-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 31325YRN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    836540 | PA      | $112819.83    | 0.01%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 31329QG54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323890 | PA      | $311995.36    | 0.03%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 31329QM40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207556 | PA      | $200322.05    | 0.02%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121513 | PA      | $118674.27    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132CXYW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232426 | PA      | $235520.78    | 0.02%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132D6DL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    793098 | PA      | $813964.95    | 0.07%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190419 | PA      | $161595.82    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    574137 | PA      | $472227.30    | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275592 | PA      | $266110.42    | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242947 | PA      | $217678.91    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DPCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61866 | PA      | $62474.16     | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DPDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193198 | PA      | $193914.11    | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DPKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92345 | PA      | $78876.72     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DPR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459663 | PA      | $468774.76    | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DPZS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103345 | PA      | $100090.39    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DQJD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207696 | PA      | $208796.68    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DQLJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28429 | PA      | $27715.75     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DQR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    598322 | PA      | $509622.39    | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229361 | PA      | $196031.77    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372203 | PA      | $303868.14    | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125526 | PA      | $108708.12    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345445 | PA      | $285467.39    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255969 | PA      | $208760.98    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    892706 | PA      | $727507.36    | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321682 | PA      | $274765.94    | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298369 | PA      | $298797.68    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1056196 | PA      | $1071198.84   | 0.09%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87306 | PA      | $88564.17     | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132E0N32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125441 | PA      | $122538.34    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFB22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139566 | PA      | $143690.05    | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39727 | PA      | $38143.09     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48917 | PA      | $47897.03     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62970 | PA      | $61656.28     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132HPEN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54201 | PA      | $51839.25     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132JN3G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9929 | PA      | $9830.33      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132JN7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18124 | PA      | $18156.29     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132KEUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40838 | PA      | $40331.57     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132L6NA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2624 | PA      | $2594.02      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132L83D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212109 | PA      | $199371.05    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132LQA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280196 | PA      | $267110.23    | 0.02%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132LQCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190453 | PA      | $181438.38    | 0.02%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132QVVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46480 | PA      | $45026.35     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WEDN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38543 | PA      | $36587.18     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WHL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7942 | PA      | $7207.26      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJBW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38272 | PA      | $34731.71     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJEU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40652 | PA      | $37156.41     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJEV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79116 | PA      | $72313.25     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJFD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170153 | PA      | $154547.93    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194368 | PA      | $183789.05    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y2HF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26781 | PA      | $25908.29     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31335AZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    573953 | PA      | $523003.60    | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455474 | PA      | $370902.09    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133AGCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307709 | PA      | $253001.98    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133AGLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442291 | PA      | $363678.62    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133AQUG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120709 | PA      | $103513.32    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133GDKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93385 | PA      | $86511.61     | 0.01%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KH4B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189849 | PA      | $163792.29    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KJ3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374840 | PA      | $322165.35    | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KJGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234248 | PA      | $201088.92    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KJJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    772800 | PA      | $667366.07    | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KJZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190485 | PA      | $157010.79    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KKND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408654 | PA      | $350318.67    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160026 | PA      | $136946.99    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KLTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    648509 | PA      | $527687.75    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KME92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66291 | PA      | $56632.22     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144141 | PA      | $117554.01    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239654 | PA      | $204830.23    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146987 | PA      | $120682.76    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242443 | PA      | $249978.55    | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KQGQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270519 | PA      | $280948.22    | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KQWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139460 | PA      | $145428.88    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KTMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58955 | PA      | $51078.78     | 0.00%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KTYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428973 | PA      | $372851.70    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398869 | PA      | $347489.22    | 0.03%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133USHY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358502 | PA      | $308046.45    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A5P34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13770 | PA      | $176.66       | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A6DE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2133 | PA      | $210.05       | 0.00%             | 2042-05-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A6U85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11 | PA      | $0.00         | 0.00%             | 2027-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A8CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74630 | PA      | $3515.82      | 0.00%             | 2042-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A8GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6676 | PA      | $106.21       | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A9BW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25692 | PA      | $2548.44      | 0.00%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A9GA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14548 | PA      | $315.64       | 0.00%             | 2027-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AAF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158020 | PA      | $144463.61    | 0.01%             | 2042-12-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AAKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12830 | PA      | $1123.50      | 0.00%             | 2042-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ABFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31841 | PA      | $363.06       | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AFXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12174 | PA      | $258.53       | 0.00%             | 2028-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AKT45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150112 | PA      | $25645.75     | 0.00%             | 2044-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AKXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101404 | PA      | $6049.51      | 0.00%             | 2044-08-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ALQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335386 | PA      | $9932.49      | 0.00%             | 2034-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ANHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135720 | PA      | $6199.09      | 0.00%             | 2055-04-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ANMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35421 | PA      | $1692.07      | 0.00%             | 2030-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ANV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96812 | PA      | $4814.59      | 0.00%             | 2055-06-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AP2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44262 | PA      | $3841.03      | 0.00%             | 2035-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AP2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8110 | PA      | $261.08       | 0.00%             | 2030-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AR4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124734 | PA      | $6205.39      | 0.00%             | 2046-05-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ARE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184378 | PA      | $155594.83    | 0.01%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ARFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       798 | PA      | $4.05         | 0.00%             | 2031-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ASAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212218 | PA      | $41087.75     | 0.00%             | 2043-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AT4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58862 | PA      | $11018.61     | 0.00%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B2DL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221740 | PA      | $31459.31     | 0.00%             | 2048-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B2GA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167356 | PA      | $30733.84     | 0.00%             | 2048-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B3SL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448859 | PA      | $408532.45    | 0.03%             | 2058-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B5PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213871 | PA      | $196052.01    | 0.02%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B6WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1765259 | PA      | $57202.50     | 0.00%             | 2029-05-25      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B6XE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3609621 | PA      | $204926.13    | 0.02%             | 2034-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B75H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1619769 | PA      | $13547.10     | 0.00%             | 2030-01-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B75Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    953861 | PA      | $200486.48    | 0.02%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B9W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497257 | PA      | $100068.59    | 0.01%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B9YL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275487 | PA      | $23375.31     | 0.00%             | 2039-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BBVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580262 | PA      | $117928.86    | 0.01%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BCVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500294 | PA      | $102617.00    | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669267 | PA      | $113385.00    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BLGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303219 | PA      | $263330.96    | 0.02%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BS6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1209061 | PA      | $65146.96     | 0.01%             | 2054-10-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BTWR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313001 | PA      | $317111.58    | 0.03%             | 2052-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BURE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350946 | PA      | $358541.60    | 0.03%             | 2052-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BUSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367157 | PA      | $372012.28    | 0.03%             | 2052-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BVBZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824340 | PA      | $45112.07     | 0.00%             | 2055-03-25      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BVC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377968 | PA      | $378852.36    | 0.03%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 3136FGRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101169 | PA      | $91450.67     | 0.01%             | 2039-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371G2B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6387 | PA      | $6480.07      | 0.00%             | 2028-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10344 | PA      | $10600.62     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31374CSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363138 | PA      | $335800.66    | 0.03%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31374CSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439787 | PA      | $418758.22    | 0.03%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AFB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2126 | PA      | $18.06        | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AJUU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259090 | PA      | $252603.92    | 0.02%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AQ6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64458 | PA      | $60876.54     | 0.01%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137ARZH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2197 | PA      | $25.76        | 0.00%             | 2027-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AWF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107802 | PA      | $94967.23     | 0.01%             | 2042-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AYCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7352 | PA      | $66.98        | 0.00%             | 2041-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B05Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39786 | PA      | $2660.53      | 0.00%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B0Q64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1259 | PA      | $4.77         | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B16D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27115 | PA      | $580.57       | 0.00%             | 2028-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B2AV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14321 | PA      | $313.70       | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B2JF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1777 | PA      | $12.64        | 0.00%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BHAD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177825 | PA      | $32247.31     | 0.00%             | 2039-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BJQK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32180 | PA      | $1601.84      | 0.00%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BLP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101646 | PA      | $96687.50     | 0.01%             | 2045-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BPXD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46470 | PA      | $48484.95     | 0.00%             | 2046-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55163 | PA      | $6971.11      | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3781734 | PA      | $20503.05     | 0.00%             | 2027-03-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2240338 | PA      | $17431.85     | 0.00%             | 2027-06-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    941372 | PA      | $32953.78     | 0.00%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1618022 | PA      | $63042.02     | 0.01%             | 2030-10-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137F9DQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383321 | PA      | $337392.13    | 0.03%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FHJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89213 | PA      | $17427.93     | 0.00%             | 2048-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    986078 | PA      | $3298.53      | 0.00%             | 2026-10-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2378548 | PA      | $88760.75     | 0.01%             | 2030-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FRGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $453798.75    | 0.04%             | 2040-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FT6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228593 | PA      | $34081.72     | 0.00%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FUSU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    657628 | PA      | $102859.45    | 0.01%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1456122 | PA      | $83566.27     | 0.01%             | 2030-05-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FUZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2317555 | PA      | $120684.84    | 0.01%             | 2030-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000889 | PA      | $125974.33    | 0.01%             | 2030-06-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H2T20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656364 | PA      | $109770.72    | 0.01%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110152 | PA      | $97974.08     | 0.01%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H4GG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    581999 | PA      | $92203.04     | 0.01%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H54D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476229 | PA      | $78040.18     | 0.01%             | 2045-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H6KN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364331 | PA      | $329518.24    | 0.03%             | 2052-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HBP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1465414 | PA      | $41047.05     | 0.00%             | 2033-12-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HHTT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367616 | PA      | $371318.78    | 0.03%             | 2051-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HLB68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1272893 | PA      | $76317.07     | 0.01%             | 2055-05-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6545 | PA      | $6768.59      | 0.00%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A9CW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72883 | PA      | $71324.97     | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ABBJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2447 | PA      | $2530.23      | 0.00%             | 2041-03-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ABXV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       173 | PA      | $172.96       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13023 | PA      | $13392.09     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19070 | PA      | $19190.14     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5345 | PA      | $5491.26      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119354 | PA      | $126949.55    | 0.01%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EHJ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13582 | PA      | $14069.12     | 0.00%             | 2041-06-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EHZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15507 | PA      | $16233.10     | 0.00%             | 2041-09-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       562 | PA      | $561.85       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EKQQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261600 | PA      | $241930.08    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ELE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41428 | PA      | $38301.91     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ELLB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19630 | PA      | $18728.65     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EQFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81191 | PA      | $81742.51     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EQFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65708 | PA      | $66215.27     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EQKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2376 | PA      | $2371.63      | 0.00%             | 2029-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19489 | PA      | $19620.04     | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138M5VP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41412 | PA      | $40492.13     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138M8VW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75868 | PA      | $74198.48     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W7G81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10630 | PA      | $10194.52     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W7GC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129215 | PA      | $119499.26    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W9EE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11867 | PA      | $11227.82     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W9PN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42250 | PA      | $42276.97     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W9T42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11634 | PA      | $11656.22     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W9TW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36920 | PA      | $36958.30     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WMWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162920 | PA      | $150678.73    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WQAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414981 | PA      | $383667.48    | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213121 | PA      | $197039.56    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WUUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14025 | PA      | $14018.46     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WVCS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14282 | PA      | $14099.77     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WVQ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23922 | PA      | $22109.44     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WXEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16442 | PA      | $15697.65     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WXGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19290 | PA      | $18386.52     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X0BV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83850 | PA      | $80103.73     | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X0Z76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112145 | PA      | $110947.65    | 0.01%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X4PM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3297 | PA      | $3270.19      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X4PR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13537 | PA      | $13392.52     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X4QC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16040 | PA      | $15865.18     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X53X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47068 | PA      | $46589.08     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X54P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25820 | PA      | $25493.55     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24057 | PA      | $23762.15     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31008 | PA      | $30647.56     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X55F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16254 | PA      | $16082.05     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X5NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51652 | PA      | $51251.63     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X8NY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5415 | PA      | $5398.52      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138XHA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49136 | PA      | $49288.90     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138XHAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32075 | PA      | $31696.75     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31615 | PA      | $31638.38     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51350 | PA      | $51487.78     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138Y3XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99269 | PA      | $94441.45     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138YR6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62689 | PA      | $60793.62     | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31394DEV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130069 | PA      | $134675.58    | 0.01%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31394GXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12778 | PA      | $13279.97     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31394VV56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5991 | PA      | $5208.71      | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 31395QCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2597 | PA      | $19.30        | 0.00%             | 2027-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28616 | PA      | $29783.27     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31396ULP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32135 | PA      | $33524.58     | 0.00%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31396VGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34884 | PA      | $36228.53     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397CNW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5922 | PA      | $5013.20      | 0.00%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31397UKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67155 | PA      | $51405.46     | 0.00%             | 2041-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31398EX82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136886 | PA      | $139188.93    | 0.01%             | 2039-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31398SBC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185821 | PA      | $20833.50     | 0.00%             | 2040-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42740 | PA      | $44573.97     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23323 | PA      | $24293.90     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190489 | PA      | $197723.20    | 0.02%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140A4WZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21536 | PA      | $22179.45     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140A4Z20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419337 | PA      | $430924.07    | 0.04%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140EWKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24773 | PA      | $23980.03     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140F4UB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16789 | PA      | $16232.39     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140F5SH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72016 | PA      | $67714.16     | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140F5Z63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28279 | PA      | $27316.29     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140F8BQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23781 | PA      | $22992.28     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FFLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98699 | PA      | $93421.29     | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FHLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73780 | PA      | $69684.62     | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FJB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71849 | PA      | $68036.13     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472655 | PA      | $402280.72    | 0.03%             | 2057-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800404 | PA      | $734310.49    | 0.06%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497104 | PA      | $486052.49    | 0.04%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXHP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228845 | PA      | $225653.87    | 0.02%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455346 | PA      | $417744.83    | 0.03%             | 2058-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140GPSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78176 | PA      | $75704.65     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140GT7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72078 | PA      | $68170.98     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140H23B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45708 | PA      | $43317.67     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140H6C80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44456 | PA      | $41864.90     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140HGL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228801 | PA      | $202562.00    | 0.02%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318624 | PA      | $308059.42    | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140J9R86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569862 | PA      | $540181.59    | 0.04%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JGWZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100153 | PA      | $96754.12     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JLA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282657 | PA      | $273111.56    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KELG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191002 | PA      | $155843.97    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84054 | PA      | $72567.11     | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KP7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1213755 | PA      | $988427.30    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KTS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527963 | PA      | $433535.89    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KXXW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283231 | PA      | $234547.19    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662699 | PA      | $537753.73    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353469 | PA      | $287727.53    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200057 | PA      | $175708.34    | 0.01%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LKFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95000 | PA      | $96438.27     | 0.01%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M2CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192650 | PA      | $165464.92    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M2FC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200766 | PA      | $170214.66    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214633 | PA      | $191586.59    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M9X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351712 | PA      | $301863.60    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MHUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209218 | PA      | $187212.73    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140N56C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    983586 | PA      | $984998.75    | 0.08%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140N5N91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    876720 | PA      | $878717.76    | 0.07%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140N6ZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18294 | PA      | $18367.31     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NGW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    983119 | PA      | $982300.86    | 0.08%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NUBN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490000 | PA      | $504702.76    | 0.04%             | 2028-12-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NUVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649470 | PA      | $658042.83    | 0.05%             | 2029-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q04E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360218 | PA      | $356816.35    | 0.03%             | 2030-11-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q05E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524000 | PA      | $529889.89    | 0.04%             | 2030-11-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q05L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360000 | PA      | $356318.07    | 0.03%             | 2030-10-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q06L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286000 | PA      | $290445.32    | 0.02%             | 2030-10-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q0ZK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571400 | PA      | $570224.48    | 0.05%             | 2030-11-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q1TU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240000 | PA      | $240589.56    | 0.02%             | 2031-01-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q7QD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250745 | PA      | $235967.19    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q8FN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189474 | PA      | $177570.79    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159644 | PA      | $149785.38    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162302 | PA      | $146705.82    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QD2M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514091 | PA      | $468113.02    | 0.04%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QDDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208299 | PA      | $178231.34    | 0.01%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39009 | PA      | $33269.83     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129248 | PA      | $114769.27    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298969 | PA      | $265430.50    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536704 | PA      | $463835.54    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QFFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223670 | PA      | $198509.78    | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336713 | PA      | $276375.51    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QGGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76572 | PA      | $67692.10     | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QHM77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1723905 | PA      | $1400606.05   | 0.12%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120318 | PA      | $107107.21    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427666 | PA      | $366521.64    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1482580 | PA      | $1271834.35   | 0.11%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81092 | PA      | $70709.54     | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKVB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735902 | PA      | $635494.16    | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QLD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359389 | PA      | $294214.13    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QLHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306596 | PA      | $262380.38    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1244502 | PA      | $1067213.34   | 0.09%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QMV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153985 | PA      | $136646.56    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQ2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219266 | PA      | $219829.71    | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQ3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    937974 | PA      | $956246.78    | 0.08%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273227 | PA      | $278803.65    | 0.02%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310727 | PA      | $317427.68    | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQVF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367820 | PA      | $374967.97    | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QSF22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468790 | PA      | $477752.15    | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140W1FP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364582 | PA      | $373848.43    | 0.03%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140W27D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780455 | PA      | $801018.54    | 0.07%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X4TQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103320 | PA      | $102406.41    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X63P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233505 | PA      | $200420.23    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232032 | PA      | $219719.48    | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6MR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86454 | PA      | $84485.89     | 0.01%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6QS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49106 | PA      | $46185.21     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6WG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118325 | PA      | $112329.63    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87212 | PA      | $82818.71     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X7GK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420848 | PA      | $401527.08    | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X7K40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149634 | PA      | $141787.22    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X8W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321432 | PA      | $285324.79    | 0.02%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273396 | PA      | $236035.03    | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XAUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    841003 | PA      | $721452.02    | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XBVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141475 | PA      | $130959.91    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCEW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159203 | PA      | $137904.78    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCH43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1740858 | PA      | $1344274.80   | 0.11%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296645 | PA      | $274592.04    | 0.02%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581382 | PA      | $560677.12    | 0.05%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XDDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111428 | PA      | $96989.27     | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99210 | PA      | $88940.67     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XDRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335809 | PA      | $1149160.57   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XF3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202060 | PA      | $176517.64    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289314 | PA      | $262345.37    | 0.02%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752479 | PA      | $652351.22    | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282427 | PA      | $252654.90    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130730 | PA      | $118072.95    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351253 | PA      | $303273.41    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193002 | PA      | $165870.90    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711829 | PA      | $635202.53    | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465196 | PA      | $450173.48    | 0.04%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112024 | PA      | $91258.97     | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XH3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308851 | PA      | $276573.41    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251476 | PA      | $214614.75    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHC62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25991 | PA      | $25258.21     | 0.00%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHDR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148775 | PA      | $133822.54    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690659 | PA      | $662413.45    | 0.05%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307115 | PA      | $294339.14    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498332 | PA      | $465457.98    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61527 | PA      | $59792.51     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99184 | PA      | $85577.59     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJNJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366943 | PA      | $315824.00    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138658 | PA      | $141391.69    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272489 | PA      | $231195.49    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XKAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456749 | PA      | $390087.08    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XKFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196304 | PA      | $197793.95    | 0.02%             | 2037-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XLEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295200 | PA      | $307019.43    | 0.03%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XMDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77867 | PA      | $75816.84     | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XMW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76317 | PA      | $74495.71     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XQ6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313543 | PA      | $322580.49    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15418 | PA      | $16307.51     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4983 | PA      | $5254.57      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7050 | PA      | $7456.61      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17413 | PA      | $18416.85     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6743 | PA      | $7131.66      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64121 | PA      | $65892.36     | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417FU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129106 | PA      | $119351.34    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417FVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18463 | PA      | $17056.15     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417FY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47144 | PA      | $43572.24     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123851 | PA      | $114467.20    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24836 | PA      | $22949.24     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GFP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86093 | PA      | $79588.32     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GMF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25902 | PA      | $24691.19     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70133 | PA      | $64826.88     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4424 | PA      | $4076.83      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77103 | PA      | $71285.45     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59792 | PA      | $58544.52     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99886 | PA      | $94872.87     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418BPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9181 | PA      | $8893.49      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418BYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27028 | PA      | $26551.48     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221124 | PA      | $210852.54    | 0.02%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204444 | PA      | $177952.21    | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95122 | PA      | $84598.04     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375632 | PA      | $321008.98    | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786797 | PA      | $692135.95    | 0.06%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519072 | PA      | $423773.15    | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181351 | PA      | $147866.76    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619134 | PA      | $504561.89    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2431858 | PA      | $1981082.27   | 0.16%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261786 | PA      | $230924.06    | 0.02%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722484 | PA      | $588111.79    | 0.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418E2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    732349 | PA      | $752858.22    | 0.06%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506634 | PA      | $507414.16    | 0.04%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244943 | PA      | $249032.59    | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419A3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157239 | PA      | $158477.95    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419AU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11489 | PA      | $11270.15     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28031 | PA      | $27443.52     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68944 | PA      | $67498.57     | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419FVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220343 | PA      | $215724.52    | 0.02%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 31422M2A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    783102 | PA      | $98482.57     | 0.01%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 31423YVK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    706522 | PA      | $110372.02    | 0.01%             | 2052-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 31424UPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    678965 | PA      | $102725.71    | 0.01%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 3142G5QB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    735125 | PA      | $113577.89    | 0.01%             | 2052-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3142GSB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1002403 | PA      | $1033148.17   | 0.09%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3142GSP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    946025 | PA      | $973716.29    | 0.08%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3142GU2B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    595318 | PA      | $607806.56    | 0.05%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3142J6BT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2068219 | PA      | $2097599.76   | 0.17%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3142J6CN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4723431 | PA      | $4790533.37   | 0.40%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ferguson Enterprises Inc                          | Ferguson Enterprises Inc                                                        | CUSIP: 31488V107<br>LEI: 2138003JYQMRP3SLX189 | Long             | EC               | CORP              | US        |     12065 | NS      | $2686030.95   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| F5 Inc                                            | F5 Inc                                                                          | CUSIP: 315616102<br>LEI: 54930015FPK9KT966303 | Long             | EC               | CORP              | US        |      7234 | NS      | $1846550.84   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142756 | PA      | $121518.97    | 0.01%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2022-1                                       | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443405 | PA      | $389691.27    | 0.03%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Figma Inc                                         | Figma Inc                                                                       | CUSIP: 316841105<br>LEI: 254900273Q0J4Z65HU28 | Long             | EC               | CORP              | US        |     26462 | NS      | $988884.94    | 0.08%             |  |  |  | No            |                  1 | On Loan: —       |
| firstkey homes 2020-sfr1 trust                    | FirstKey Homes 2022-SFR2 Trust                                                  | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    992464 | PA      | $992077.06    | 0.08%             | 2039-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                    | FirstKey Homes 2022-SFR1 Trust                                                  | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278595 | PA      | $278075.41    | 0.02%             | 2039-05-19      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                             | Foundry JV Holdco LLC                                                           | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    900000 | PA      | $953719.33    | 0.08%             | 2032-01-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                             | Foundry JV Holdco LLC                                                           | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206438.91    | 0.02%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                             | Foundry JV Holdco LLC                                                           | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    225000 | PA      | $235428.11    | 0.02%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                   | CUSIP: 35563PFJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348265 | PA      | $336356.56    | 0.03%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                   | CUSIP: 35563PKJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190091 | PA      | $181182.15    | 0.02%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    523623 | PA      | $470667.19    | 0.04%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190895 | PA      | $183110.79    | 0.02%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-1                   | CUSIP: 35563PNN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396727 | PA      | $327446.09    | 0.03%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2023-HQA2                                         | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1030837.10   | 0.09%             | 2043-06-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-HQA2                                         | CUSIP: 35564KB32<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | USGSE             | US        |    380000 | PA      | $396982.20    | 0.03%             | 2042-07-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-HQA3                                         | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |    155000 | PA      | $161199.21    | 0.01%             | 2042-08-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA6                                         | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | USGSE             | US        |    425000 | PA      | $443330.25    | 0.04%             | 2042-09-25      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLU1<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |   1115000 | PA      | $1134611.51   | 0.09%             | 2041-10-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA7                                         | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |    426000 | PA      | $435685.83    | 0.04%             | 2041-11-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |    969000 | PA      | $993126.65    | 0.08%             | 2042-04-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    495000 | PA      | $510780.60    | 0.04%             | 2042-05-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2023-HQA1                                         | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | USGSE             | US        |    945000 | PA      | $989801.60    | 0.08%             | 2043-05-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA5                                         | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $631141.80    | 0.05%             | 2042-06-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                             | Freedom Mortgage Holdings LLC                                                   | CUSIP: 35641AAA6<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    110000 | PA      | $115373.28    | 0.01%             | 2029-02-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                             | Freedom Mortgage Holdings LLC                                                   | CUSIP: 35641AAD0<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124267.50    | 0.01%             | 2033-04-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Freshpet Inc                                      | Freshpet Inc                                                                    | CUSIP: 358039105<br>LEI: 549300S4ZK8ZQ6HNPN59 | Long             | EC               | CORP              | US        |     17092 | NS      | $1041415.56   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| FRONERI LUX FINCO SARL                            | Froneri Lux FinCo SARL                                                          | CUSIP: 35901MAA5<br>LEI: 9845005YBZ75E5AA3B94 | Long             | DBT              | CORP              | LU        |    250000 | PA      | $253412.30    | 0.02%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                           | GA Global Funding Trust                                                         | CUSIP: 36143L2V6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    355000 | PA      | $350759.75    | 0.03%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM3 Trust                                                            | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357818 | PA      | $315465.83    | 0.03%             | 2066-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM7 Trust                                                            | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236108 | PA      | $220662.90    | 0.02%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM5 Trust                                                            | CUSIP: 36168KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765466 | PA      | $651001.63    | 0.05%             | 2066-07-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2022-CM1 Trust                                                             | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733203 | PA      | $689404.55    | 0.06%             | 2066-12-27      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220197 | PA      | $206650.69    | 0.02%             | 2044-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218053 | PA      | $210055.23    | 0.02%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28069 | PA      | $27960.24     | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253744 | PA      | $236348.14    | 0.02%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60097 | PA      | $55598.94     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65198 | PA      | $60674.49     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292788 | PA      | $272347.41    | 0.02%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    582693 | PA      | $559715.29    | 0.05%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52719 | PA      | $49146.47     | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59184 | PA      | $55110.02     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75210 | PA      | $69777.02     | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179U6T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415830 | PA      | $361112.26    | 0.03%             | 2049-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227952 | PA      | $210784.18    | 0.02%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216554 | PA      | $199960.02    | 0.02%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179V4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61103 | PA      | $56273.55     | 0.00%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    554192 | PA      | $459292.61    | 0.04%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    922033 | PA      | $763850.72    | 0.06%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175127 | PA      | $160818.11    | 0.01%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    724186 | PA      | $599946.03    | 0.05%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46530 | PA      | $45695.11     | 0.00%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509097 | PA      | $468129.86    | 0.04%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331487 | PA      | $286090.64    | 0.02%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1582019 | PA      | $1365412.57   | 0.11%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1532725 | PA      | $1379304.15   | 0.11%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    442828 | PA      | $382174.74    | 0.03%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156015 | PA      | $140366.68    | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1483264 | PA      | $1280103.59   | 0.11%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1413865 | PA      | $1272052.49   | 0.11%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2137417 | PA      | $1770726.37   | 0.15%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    346497 | PA      | $311743.27    | 0.03%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596963 | PA      | $567870.15    | 0.05%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206236 | PA      | $202470.53    | 0.02%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189911 | PA      | $186385.05    | 0.02%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    852786 | PA      | $836820.39    | 0.07%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1393631 | PA      | $1278256.36   | 0.11%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    621610 | PA      | $571762.43    | 0.05%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179Y7L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418931 | PA      | $347491.58    | 0.03%             | 2054-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617BVST5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67496 | PA      | $64025.97     | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617G1SM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54087 | PA      | $51352.63     | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617GCKE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15779 | PA      | $15176.31     | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617GGRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63843 | PA      | $60654.94     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617GGRM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39299 | PA      | $37312.47     | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36183RD91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146164 | PA      | $132139.53    | 0.01%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36186NMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6228 | PA      | $5630.22      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1180338 | PA      | $1150926.77   | 0.10%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3618N5C49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1157375 | PA      | $1128536.15   | 0.09%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246606 | PA      | $251770.33    | 0.02%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1057492 | PA      | $1079664.66   | 0.09%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2011-GC5                                           | CUSIP: 36191YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52894 | PA      | $37.73        | 0.00%             | 2044-08-10      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2012-BWTR                                     | CUSIP: 36192RAA0<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |   1139172 | PA      | $1000250.10   | 0.08%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2013-GC13                                          | CUSIP: 36198EAG0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    173149 | PA      | $1.73         | 0.00%             | 2046-07-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4821 | PA      | $4978.25      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184236 | PA      | $189455.55    | 0.02%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146935 | PA      | $151545.40    | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57830 | PA      | $59502.82     | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14776 | PA      | $15198.34     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3620ALXM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15372 | PA      | $13896.46     | 0.00%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297465 | PA      | $296210.98    | 0.02%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116458 | PA      | $121876.52    | 0.01%             | 2040-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3622A2EW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219515 | PA      | $212873.60    | 0.02%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3622AAN26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163535 | PA      | $157325.51    | 0.01%             | 2042-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAXY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207674 | PA      | $210631.03    | 0.02%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36241K4Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    224149 | PA      | $230581.16    | 0.02%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11064 | PA      | $11369.92     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36241LUN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147015 | PA      | $147030.28    | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC20                                          | CUSIP: 36252WAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421315 | PA      | $331162.31    | 0.03%             | 2047-04-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                            | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    535000 | PA      | $555831.72    | 0.05%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                            | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAE7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54878.32     | 0.00%             | 2035-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                  | CUSIP: 36269JAE8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $624290.44    | 0.05%             | 2041-03-10      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2024-4                                        | CUSIP: 36270YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $382395.33    | 0.03%             | 2029-04-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                 | GLS Auto Select Receivables Trust 2025-3                                        | CUSIP: 36272GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    981000 | PA      | $992008.19    | 0.08%             | 2031-09-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    316229 | PA      | $268999.30    | 0.02%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61252.55     | 0.01%             | 2042-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                | CUSIP: 373334KY6<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66040.43     | 0.01%             | 2030-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    635000 | PA      | $651506.02    | 0.05%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    265000 | PA      | $271985.29    | 0.02%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| Gilead Sciences Inc                               | Gilead Sciences Inc                                                             | CUSIP: 375558103<br>LEI: 549300WTZWR07K8MNV44 | Long             | EC               | CORP              | US        |      7908 | NS      | $970627.92    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                             | Gildan Activewear Inc                                                           | CUSIP: 375916AG8<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |    560000 | PA      | $558395.40    | 0.05%             | 2035-10-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GSK PLC                                           | GSK PLC                                                                         | CUSIP: 37733W204<br>LEI: 5493000HZTVUYLO1D793 | Long             | EC               | CORP              | GB        |     37871 | NS      | $1857193.84   | 0.15%             |  |  |  | No            |                  1 | On Loan: —       |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    355000 | PA      | $382046.94    | 0.03%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272BQ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    160000 | PA      | $176710.49    | 0.01%             | 2033-10-06      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    260000 | PA      | $268326.25    | 0.02%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114927.09    | 0.01%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs Group Inc/The                       | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     16266 | NS      | $14297814.00  | 1.19%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    215000 | PA      | $220291.95    | 0.02%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    365000 | PA      | $369979.99    | 0.03%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    145000 | PA      | $149762.88    | 0.01%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    260000 | PA      | $237071.37    | 0.02%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co/The                     | Goodyear Tire & Rubber Co/The                                                   | CUSIP: 382550101<br>LEI: 5493002BI0S2ZQUY3437 | Long             | EC               | CORP              | US        |     89399 | NS      | $783135.24    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375C5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460855 | PA      | $96159.06     | 0.01%             | 2042-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375GLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16832 | PA      | $1347.02      | 0.00%             | 2042-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38376VPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169279 | PA      | $33207.61     | 0.00%             | 2040-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378BM71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    604280 | PA      | $9004.49      | 0.00%             | 2053-02-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378EAS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5691 | PA      | $38.05        | 0.00%             | 2040-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378GRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66691 | PA      | $11206.05     | 0.00%             | 2041-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378H3E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244759 | PA      | $34226.69     | 0.00%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378JAS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44977 | PA      | $5886.13      | 0.00%             | 2043-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378MSZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6846 | PA      | $24.51        | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378P4B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20861 | PA      | $4011.48      | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379AMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149979 | PA      | $137384.99    | 0.01%             | 2041-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379BCS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64262 | PA      | $61543.78     | 0.01%             | 2039-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379FK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75575 | PA      | $11637.46     | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379GUD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130391 | PA      | $5898.96      | 0.00%             | 2029-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379PN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281750 | PA      | $39245.69     | 0.00%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379QFZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       292 | PA      | $0.00         | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379QGG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1209 | PA      | $4.30         | 0.00%             | 2027-02-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379V5S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110115 | PA      | $12873.33     | 0.00%             | 2046-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379VRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39290 | PA      | $1013.50      | 0.00%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379XH52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10645 | PA      | $288.07       | 0.00%             | 2029-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380BAQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8585 | PA      | $47.94        | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380CEN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90952 | PA      | $6163.18      | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380CF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95173 | PA      | $12465.28     | 0.00%             | 2047-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380CG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65289 | PA      | $9395.22      | 0.00%             | 2047-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380CNU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37490 | PA      | $7108.02      | 0.00%             | 2047-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380CP80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123433 | PA      | $19465.35     | 0.00%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380KPS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199172 | PA      | $39544.72     | 0.00%             | 2043-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380TE93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138792 | PA      | $22510.92     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380WH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272392 | PA      | $51133.20     | 0.00%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38381TR23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231104 | PA      | $34370.28     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38382E5F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278034 | PA      | $12271.19     | 0.00%             | 2035-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38383DY69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540988 | PA      | $487089.09    | 0.04%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38383F2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299619 | PA      | $278936.81    | 0.02%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WW Grainger Inc                                   | WW Grainger Inc                                                                 | CUSIP: 384802104<br>LEI: 549300TWZSP6O1IH2V34 | Long             | EC               | CORP              | US        |      2001 | NS      | $2019109.05   | 0.17%             |  |  |  | No            |                  1 | On Loan: —       |
| GREAT CAN GAMING/RAPTOR                           | Great Canadian Gaming Corp/Raptor LLC                                           | CUSIP: 389925AA6<br>LEI: 549300FU60SSFLTE0M84 | Long             | DBT              | CORP              | XX        |    120000 | PA      | $121217.93    | 0.01%             | 2029-11-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                          | Greensaif Pipelines Bidco Sarl                                                  | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    625000 | PA      | $653011.25    | 0.05%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2025-2                                   | CUSIP: 39571VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101459.70    | 0.01%             | 2060-06-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2025-2                                   | CUSIP: 39571VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $181823.24    | 0.02%             | 2060-06-25      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare Inc                                | HCA Healthcare Inc                                                              | CUSIP: 40412C101<br>LEI: 529900PH4ZGUH2MNEU89 | Long             | EC               | CORP              | US        |      2470 | NS      | $1153144.20   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $186945.92    | 0.02%             | 2031-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    340000 | PA      | $348447.25    | 0.03%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $618166.07    | 0.05%             | 2031-05-13      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $200616.73    | 0.02%             | 2031-11-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                     | HTL Commercial Mortgage Trust 2024-T53                                          | CUSIP: 404300AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $284139.13    | 0.02%             | 2039-05-10      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                     | HTL Commercial Mortgage Trust 2024-T53                                          | CUSIP: 404300AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $152343.56    | 0.01%             | 2039-05-10      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                          | HPS Corporate Lending Fund                                                      | CUSIP: 40440VAN5<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    260000 | PA      | $263098.58    | 0.02%             | 2030-06-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                          | HPS Corporate Lending Fund                                                      | CUSIP: 40440VAS4<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    355000 | PA      | $353957.96    | 0.03%             | 2030-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| HIH Trust                                         | HIH Trust 2024-61P                                                              | CUSIP: 40444VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192124 | PA      | $192602.36    | 0.02%             | 2041-10-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Haleon PLC                                        | Haleon PLC                                                                      | CUSIP: 405552100<br>LEI: 549300PSB3WWEODCUP19 | Long             | EC               | CORP              | GB        |    306928 | NS      | $3103042.08   | 0.26%             |  |  |  | No            |                  1 | On Loan: —       |
| Hertz Vehicle Financing LLC                       | Hertz Vehicle Financing III LLC 2025-2                                          | CUSIP: 42806MCX5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $314875.96    | 0.03%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                          | Hess Midstream Operations LP                                                    | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    675000 | PA      | $660207.92    | 0.05%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| HESS MIDSTREAM OPERATION                          | Hess Midstream Operations LP                                                    | CUSIP: 428102AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $299483.00    | 0.02%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                  | Hewlett Packard Enterprise Co                                                   | CUSIP: 42824CBW8<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    430000 | PA      | $398394.54    | 0.03%             | 2054-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AQ4<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98408.75     | 0.01%             | 2026-10-01      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AT8<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    260000 | PA      | $242850.29    | 0.02%             | 2029-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AU5<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91801.47     | 0.01%             | 2030-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AV3<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89898.74     | 0.01%             | 2031-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AY7<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    115000 | PA      | $90187.50     | 0.01%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| HOWDEN UK REFINANCE / US                          | Howden UK Refinance PLC / Howden UK Refinance 2 PLC / Howden US Refinance LLC   | CUSIP: 44287GAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    230000 | PA      | $236854.94    | 0.02%             | 2031-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                          | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    130000 | PA      | $120167.45    | 0.01%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| HUDSON PACIFIC PROPERTIE                          | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    120000 | PA      | $118199.13    | 0.01%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                      | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    330000 | PA      | $341181.95    | 0.03%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                      | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    360000 | PA      | $367542.19    | 0.03%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| Hyatt Hotels Corp                                 | Hyatt Hotels Corp                                                               | CUSIP: 448579102<br>LEI: T27JQIMTYSH41TCD5186 | Long             | EC               | CORP              | US        |     32762 | NS      | $5252403.84   | 0.44%             |  |  |  | No            |                  1 | On Loan: —       |
| INT Commercial Mortgage Trust 2025-PLAZA          | INT Commercial Mortgage Trust 2025-PLAZA                                        | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $240683.81    | 0.02%             | 2037-11-05      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust 2025-PLAZA          | INT Commercial Mortgage Trust 2025-PLAZA                                        | CUSIP: 44989YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99946.26     | 0.01%             | 2037-11-05      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| IDEX Corp                                         | IDEX Corp                                                                       | CUSIP: 45167R104<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | EC               | CORP              | US        |     10351 | NS      | $1841856.94   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| IMOLA MERGER CORP                                 | Imola Merger Corp                                                               | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $246754.94    | 0.02%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM1                                          | CUSIP: 452766AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1164388 | PA      | $1073455.69   | 0.09%             | 2067-02-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2021-NQM4                                          | CUSIP: 45276JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321004 | PA      | $282994.43    | 0.02%             | 2057-01-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM2                                          | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    954933 | PA      | $910889.19    | 0.08%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Incyte Corp                                       | Incyte Corp                                                                     | CUSIP: 45337C102<br>LEI: 549300Z4WN6JVZ3T4680 | Long             | EC               | CORP              | US        |      1420 | NS      | $140253.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Ingersoll Rand Inc                                | Ingersoll Rand Inc                                                              | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Long             | EC               | CORP              | US        |      9119 | NS      | $722407.18    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Ingevity Corp                                     | Ingevity Corp                                                                   | CUSIP: 45688C107<br>LEI: 5493009UTFC4B5IMGF87 | Long             | EC               | CORP              | US        |      4501 | NS      | $266369.18    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140AY6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    165000 | PA      | $124728.10    | 0.01%             | 2047-05-11      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    685000 | PA      | $487441.45    | 0.04%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    377000 | PA      | $240843.37    | 0.02%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     95000 | PA      | $53075.56     | 0.00%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     35000 | PA      | $28563.52     | 0.00%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140CA6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    125000 | PA      | $120530.83    | 0.01%             | 2032-08-05      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                          | International Business Machines Corp                                            | CUSIP: 459200LG4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    375000 | PA      | $383541.95    | 0.03%             | 2030-02-10      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| INTERSTATE POWER & LIGHT                          | Interstate Power and Light Co                                                   | CUSIP: 461070AX2<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    170000 | PA      | $176921.03    | 0.01%             | 2035-06-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Intuit Inc                                        | Intuit Inc                                                                      | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |      6101 | NS      | $4041424.42   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuitive Surgical Inc                            | Intuitive Surgical Inc                                                          | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |      6736 | NS      | $3815000.96   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Ionis Pharmaceuticals Inc                         | Ionis Pharmaceuticals Inc                                                       | CUSIP: 462222100<br>LEI: 549300SI4ZGLG0BLUZ92 | Long             | EC               | CORP              | US        |      2954 | NS      | $233690.94    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                            | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $186116.82    | 0.02%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                            | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    440000 | PA      | $455100.35    | 0.04%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    130000 | PA      | $135812.69    | 0.01%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JH NORTH AMERICA HOLDING                          | JH North America Holdings Inc                                                   | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |    250000 | PA      | $256639.25    | 0.02%             | 2032-07-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9                   | CUSIP: 46639EAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $105946.10    | 0.01%             | 2047-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C23                             | CUSIP: 46643ABG7<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |    179858 | PA      | $1.80         | 0.00%             | 2047-09-15      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    305000 | PA      | $302105.74    | 0.03%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89913.26     | 0.01%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    110000 | PA      | $100545.71    | 0.01%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    145000 | PA      | $130847.55    | 0.01%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    375000 | PA      | $386456.42    | 0.03%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    345000 | PA      | $357564.49    | 0.03%             | 2035-01-23      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    245000 | PA      | $255590.67    | 0.02%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    395000 | PA      | $405521.36    | 0.03%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    385000 | PA      | $388773.15    | 0.03%             | 2028-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     65000 | PA      | $65640.78     | 0.01%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    125000 | PA      | $129199.20    | 0.01%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    425000 | PA      | $438802.49    | 0.04%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    415000 | PA      | $429296.29    | 0.04%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PFD3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    510000 | PA      | $508452.85    | 0.04%             | 2031-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                   | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $274500.00    | 0.02%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                             | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                        | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $126178.63    | 0.01%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $304847.31    | 0.03%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $54740.48     | 0.00%             | 2056-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    720000 | PA      | $716887.08    | 0.06%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    140000 | PA      | $154672.03    | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 47214BAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    120000 | PA      | $134330.76    | 0.01%             | 2053-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75842.39     | 0.01%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| JETBLUE AIRWAYS/LOYALTY                           | JetBlue Airways Corp / JetBlue Loyalty LP                                       | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    120000 | PA      | $120895.35    | 0.01%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| Johnson & Johnson                                 | Johnson & Johnson                                                               | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |     10881 | NS      | $2251822.95   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| KBR Inc                                           | KBR Inc                                                                         | CUSIP: 48242W106<br>LEI: 254900OFQDXZRKRCV808 | Long             | EC               | CORP              | US        |     36262 | NS      | $1457732.40   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| KKR + CO INC  A                                   | KKR + CO INC  A                                                                 | CUSIP: 48251W104<br>LEI: 54930013V5I303TF9571 | Long             | EC               | CORP              | US        |     86350 | NS      | $11007898.00  | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| KAISER ALUMINUM CORP                              | Kaiser Aluminum Corp                                                            | CUSIP: 483007AL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $120765.51    | 0.01%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                              | Kaiser Aluminum Corp                                                            | CUSIP: 483007AM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $120376.44    | 0.01%             | 2034-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                        | Kenvue Inc                                                                      | CUSIP: 49177JAS1<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306772.97    | 0.03%             | 2032-05-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     28000 | PA      | $26597.83     | 0.00%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VAN0<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    446000 | PA      | $397854.17    | 0.03%             | 2031-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VAP5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    155000 | PA      | $153234.79    | 0.01%             | 2029-04-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VAQ3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    220000 | PA      | $211463.40    | 0.02%             | 2032-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VAR1<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    340000 | PA      | $274786.16    | 0.02%             | 2052-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VAU4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    154000 | PA      | $158248.19    | 0.01%             | 2031-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VAV2<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    127000 | PA      | $129499.98    | 0.01%             | 2034-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VBA7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     26000 | PA      | $26134.33     | 0.00%             | 2030-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VBB5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    175000 | PA      | $175341.05    | 0.01%             | 2035-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                           | KeyCorp                                                                         | CUSIP: 493267108<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | EC               | CORP              | US        |    197972 | NS      | $4086142.08   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Knight-Swift Transportation Holdings Inc          | Knight-Swift Transportation Holdings Inc                                        | CUSIP: 499049104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    118854 | NS      | $6213687.12   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Knollwood CDO Ltd                                 | Knollwood CDO Ltd                                                               | CUSIP: 499169AD2<br>LEI: 549300E24U6UCPJEUI87 | Long             | ABS-CBDO         | CORP              | KY        |   1079718 | PA      | $107.97       | 0.00%             | 2039-01-10      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| Kymera Therapeutics Inc                           | Kymera Therapeutics Inc                                                         | CUSIP: 501575104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2177 | NS      | $169392.37    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| LYB INT FINANCE III                               | LYB International Finance III LLC                                               | CUSIP: 50249AAQ6<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |    465000 | PA      | $466725.23    | 0.04%             | 2031-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Labcorp Holdings Inc                              | Labcorp Holdings Inc                                                            | CUSIP: 504922105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5262 | NS      | $1320130.56   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205059.03    | 0.02%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    305000 | PA      | $319611.20    | 0.03%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS3                                            | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287374 | PA      | $287391.16    | 0.02%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS4                                            | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140358 | PA      | $140465.81    | 0.01%             | 2060-11-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS2                                            | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210195 | PA      | $210267.36    | 0.02%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                             | Level 3 Financing Inc                                                           | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    120000 | PA      | $123668.64    | 0.01%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                             | Level 3 Financing Inc                                                           | CUSIP: 527298CQ4<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46079.22     | 0.00%             | 2036-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co                                    | Eli Lilly & Co                                                                  | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     12074 | NS      | $12975686.32  | 1.08%             |  |  |  | No            |                  1 | On Loan: No      |
| LINCOLN FIN GLBL FUNDING                          | Lincoln Financial Global Funding                                                | CUSIP: 53359KAB7<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |    280000 | PA      | $282658.87    | 0.02%             | 2028-05-28      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Loar Holdings Inc                                 | Loar Holdings Inc                                                               | CUSIP: 53947R105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12065 | NS      | $820420.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Lowe's Cos Inc                                    | Lowe's Cos Inc                                                                  | CUSIP: 548661107<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | EC               | CORP              | US        |     16415 | NS      | $3958641.40   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Lululemon Athletica Inc                           | Lululemon Athletica Inc                                                         | CUSIP: 550021109<br>LEI: 549300D9GZ4BMLDW5T40 | Long             | EC               | CORP              | US        |     10947 | NS      | $2274896.07   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-NQM1 Trust                                                             | CUSIP: 55283FAA6<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    116417 | PA      | $110156.03    | 0.01%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-NQM2 Trust                                                             | CUSIP: 55283WAA9<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    196305 | PA      | $174134.86    | 0.01%             | 2064-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL8 Ltd                                                                | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    685000 | PA      | $682498.52    | 0.06%             | 2037-02-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MKS Inc                                           | MKS Inc                                                                         | CUSIP: 55306N104<br>LEI: 549300KEQATBHAGVF505 | Long             | EC               | CORP              | US        |     12744 | NS      | $2036491.20   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                         | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    560000 | PA      | $571307.00    | 0.05%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                         | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    375000 | PA      | $378937.76    | 0.03%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                         | CUSIP: 55336VCB4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    465000 | PA      | $466657.61    | 0.04%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                         | CUSIP: 55336VCC2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    175000 | PA      | $176301.95    | 0.01%             | 2035-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| Madison Avenue Trust                              | MAD Commercial Mortgage Trust 2025-11MD                                         | CUSIP: 55616AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $630250.36    | 0.05%             | 2042-10-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                 | Magnetite XXXI Ltd                                                              | CUSIP: 55952FAQ1<br>LEI: 549300J3BCFSIZAJJW77 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $430000.00    | 0.04%             | 2034-07-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                           | Marathon Petroleum Corp                                                         | CUSIP: 56585A102<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | EC               | CORP              | US        |     16720 | NS      | $2719173.60   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    155000 | PA      | $157123.56    | 0.01%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    760000 | PA      | $783365.61    | 0.06%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    305000 | PA      | $313488.04    | 0.03%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1033215.43   | 0.09%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676BD6<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120417.07    | 0.01%             | 2065-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos Inc                          | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748102<br>LEI: 549300XMP3KDCKJXIU47 | Long             | EC               | CORP              | US        |     30273 | NS      | $5616246.96   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Marriott International Inc/MD                     | Marriott International Inc/MD                                                   | CUSIP: 571903202<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | EC               | CORP              | US        |     14631 | NS      | $4539121.44   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                          | CUSIP: 573874AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $163719.87    | 0.01%             | 2028-04-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                          | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $245438.52    | 0.02%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Mastercard Inc                                    | Mastercard Inc                                                                  | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |     33106 | NS      | $18899553.28  | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| MATADOR RESOURCES CO                              | Matador Resources Co                                                            | CUSIP: 576485AG1<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    250000 | PA      | $253541.23    | 0.02%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                            | Mauser Packaging Solutions Holding Co                                           | CUSIP: 57763RAF4<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    250000 | PA      | $240000.00    | 0.02%             | 2030-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| MCAFEE CORP                                       | McAfee Corp                                                                     | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |    250000 | PA      | $218019.39    | 0.02%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| McCormick & Co Inc/MD                             | McCormick & Co Inc/MD                                                           | CUSIP: 579780206<br>LEI: 549300JQQA6MQ4OJP259 | Long             | EC               | CORP              | US        |     11267 | NS      | $767395.37    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Merck & Co Inc                                    | Merck & Co Inc                                                                  | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     67881 | NS      | $7145154.06   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216805 | PA      | $212286.22    | 0.02%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                   | CUSIP: 59261A2P1<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     55000 | PA      | $50780.44     | 0.00%             | 2049-11-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                    | Microsoft Corp                                                                  | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |     96020 | NS      | $46437192.40  | 3.85%             |  |  |  | No            |                  1 | On Loan: No      |
| MICRON TECHNOLOGY INC                             | Micron Technology Inc                                                           | CUSIP: 595112CG6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    345000 | PA      | $362644.54    | 0.03%             | 2032-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Middleby Corp/The                                 | Middleby Corp/The                                                               | CUSIP: 596278101<br>LEI: JDFO86U9VQRBKW5KYA35 | Long             | EC               | CORP              | US        |      9578 | NS      | $1423961.26   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Mirum Pharmaceuticals Inc                         | Mirum Pharmaceuticals Inc                                                       | CUSIP: 604749101<br>LEI: 254900YZKR40F7F27K81 | Long             | EC               | CORP              | US        |      2764 | NS      | $218328.36    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Modine Manufacturing Co                           | Modine Manufacturing Co                                                         | CUSIP: 607828100<br>LEI: Z35SZFYJR8GZZRSIUU09 | Long             | EC               | CORP              | US        |     12246 | NS      | $1634963.46   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| MONONGAHELA POWER CO                              | Monongahela Power Co                                                            | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $36988.60     | 0.00%             | 2034-02-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| Monster Beverage Corp                             | Monster Beverage Corp                                                           | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |     22852 | NS      | $1752062.84   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2017-H1                                          | CUSIP: 61691JAW4<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   1318321 | PA      | $16473.08     | 0.00%             | 2050-06-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50277.01     | 0.00%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    225000 | PA      | $197606.41    | 0.02%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    280000 | PA      | $245660.13    | 0.02%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2006-TOP21                                       | CUSIP: 617451CX5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     13627 | PA      | $4066.34      | 0.00%             | 2052-10-12      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61350.57     | 0.01%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118674.14    | 0.01%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     75000 | PA      | $79493.15     | 0.01%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    235000 | PA      | $244829.05    | 0.02%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $126512.20    | 0.01%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     90000 | PA      | $92833.85     | 0.01%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2011-C3                                          | CUSIP: 61760RAS1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $252931.05    | 0.02%             | 2049-07-15      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2014-150E                                        | CUSIP: 61764BAA1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1028465.93   | 0.09%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust    | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1                        | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    898293 | PA      | $879232.91    | 0.07%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                               | NCL Corp Ltd                                                                    | CUSIP: 62886HBP5<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    120000 | PA      | $121837.68    | 0.01%             | 2030-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                  | NMEF Funding 2025-B LLC                                                         | CUSIP: 62919WAB5<br>LEI: 549300LKWL3P0UPHKL72 | Long             | ABS-O            | CORP              | US        |    102000 | PA      | $102392.51    | 0.01%             | 2033-01-18      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                  | NMEF Funding 2025-B LLC                                                         | CUSIP: 62919WAC3<br>LEI: 549300LKWL3P0UPHKL72 | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $372544.08    | 0.03%             | 2033-01-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                        | NMLT 2021-INV1 Trust                                                            | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559733 | PA      | $495037.79    | 0.04%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc                                    | NRG Energy Inc                                                                  | CUSIP: 629377508<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | EC               | CORP              | US        |     15975 | NS      | $2543859.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    275000 | PA      | $280063.48    | 0.02%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   1355000 | PA      | $1390275.49   | 0.12%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Natera Inc                                        | Natera Inc                                                                      | CUSIP: 632307104<br>LEI: 529900CQ3OZ0A0VYVU59 | Long             | EC               | CORP              | US        |      2860 | NS      | $655197.40    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Natixis Commercial Mortgage Securities            | Natixis Commercial Mortgage Securities Trust 2018-SOX                           | CUSIP: 63874NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165000 | PA      | $161027.63    | 0.01%             | 2038-06-17      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Navan Inc                                         | Navan Inc                                                                       | CUSIP: 639193101<br>LEI: 254900RHRK35UPHTGY05 | Long             | EC               | CORP              | US        |     37367 | NS      | $638228.36    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2021-F                                | CUSIP: 63942GAA1<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    317950 | PA      | $283458.96    | 0.02%             | 2070-02-18      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                       | Netflix Inc                                                                     | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |     38399 | NS      | $3600290.24   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-NQM4                                   | CUSIP: 64828EAA3<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     43877 | PA      | $42338.61     | 0.00%             | 2059-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-4                                      | CUSIP: 64828FCQ3<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    199418 | PA      | $195953.90    | 0.02%             | 2048-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2016-2                                      | CUSIP: 64829GAA7<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    179847 | PA      | $175157.10    | 0.01%             | 2035-11-26      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KBV1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    353494 | PA      | $344261.56    | 0.03%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-1                                      | CUSIP: 64830CAA3<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    278298 | PA      | $264465.41    | 0.02%             | 2057-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-5                                      | CUSIP: 64830MAG8<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    190785 | PA      | $181089.16    | 0.02%             | 2059-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-NQM2R                                  | CUSIP: 64831EAA8<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     80719 | PA      | $77579.20     | 0.01%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2025-NQM7                                   | CUSIP: 64831YAE6<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    456000 | PA      | $456359.78    | 0.04%             | 2065-10-26      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2025-NQM7                                   | CUSIP: 64831YAG1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $540869.28    | 0.04%             | 2065-10-26      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| New York Times Co/The                             | New York Times Co/The                                                           | CUSIP: 650111107<br>LEI: 529900J1WEMMIW7BOH57 | Long             | EC               | CORP              | US        |     30908 | NS      | $2145633.36   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Transportation Development Corp          | NEW YORK TRANSPRTN DEV CORP LEASE REVENUE                                       | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    720000 | PA      | $711366.48    | 0.06%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                            | XPLR Infrastructure Operating Partners LP                                       | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |    250000 | PA      | $256152.75    | 0.02%             | 2029-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                      | NiSource Inc                                                                    | CUSIP: 65473PAP0<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155552.56    | 0.01%             | 2033-06-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                      | NiSource Inc                                                                    | CUSIP: 65473PAX3<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    425000 | PA      | $434517.39    | 0.04%             | 2035-07-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NORTHRIVER MIDSTREAM FIN                          | Northriver Midstream Finance LP                                                 | CUSIP: 66679NAB6<br>LEI: 549300SOLNLY3BL6GF18 | Long             | DBT              | CORP              | CA        |    250000 | PA      | $254763.38    | 0.02%             | 2032-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                             | Northrop Grumman Corp                                                           | CUSIP: 666807102<br>LEI: RIMU48P07456QXSO0R61 | Long             | EC               | CORP              | US        |      5913 | NS      | $3371651.73   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| NRTH PARK Mortgage Trust                          | NRTH Commercial Mortgage Trust 2025-PARK                                        | CUSIP: 669985AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $75023.43     | 0.01%             | 2040-10-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Novanta Inc                                       | Novanta Inc                                                                     | CUSIP: 67000B104<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |      3664 | NS      | $435979.36    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| NSTAR ELECTRIC CO                                 | NSTAR Electric Co                                                               | CUSIP: 67021CAV9<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    180000 | PA      | $186435.86    | 0.02%             | 2034-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                 | NSTAR Electric Co                                                               | CUSIP: 67021CAW7<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    125000 | PA      | $127593.41    | 0.01%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Nucor Corp                                        | Nucor Corp                                                                      | CUSIP: 670346105<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | EC               | CORP              | US        |     13596 | NS      | $2217643.56   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA Corp                                       | NVIDIA Corp                                                                     | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |    348953 | NS      | $65079734.50  | 5.40%             |  |  |  | No            |                  1 | On Loan: No      |
| O'Reilly Automotive Inc                           | O'Reilly Automotive Inc                                                         | CUSIP: 67103H107<br>LEI: 549300K2RLMQL149Q332 | Long             | EC               | CORP              | US        |     45337 | NS      | $4135187.77   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM1 Trust                                                             | CUSIP: 67114BAA5<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    360445 | PA      | $317404.33    | 0.03%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909            | NYC Commercial Mortgage Trust 2025-3BP                                          | CUSIP: 67120UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $838432.22    | 0.07%             | 2042-02-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                                    | Ohio Edison Co                                                                  | CUSIP: 677347CH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $98942.00     | 0.01%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                          | Olympus Water US Holding Corp                                                   | CUSIP: 681639AB6<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194616.51    | 0.02%             | 2029-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16469.74     | 0.00%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    105000 | PA      | $112359.20    | 0.01%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $170204.73    | 0.01%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31418.83     | 0.00%             | 2053-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    350000 | PA      | $351859.70    | 0.03%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    480000 | PA      | $475713.78    | 0.04%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680DC4<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    195000 | PA      | $197025.00    | 0.02%             | 2035-10-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                       | OLIT 2025-HB2                                                                   | CUSIP: 68278FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125769 | PA      | $122773.62    | 0.01%             | 2038-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                       | OLIT 2025-HB2                                                                   | CUSIP: 68278FAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $287852.05    | 0.02%             | 2038-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                  | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    340000 | PA      | $322670.27    | 0.03%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                     | CUSIP: 68389X105<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | EC               | CORP              | US        |     13815 | NS      | $2692681.65   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    270000 | PA      | $168185.91    | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    395000 | PA      | $241364.11    | 0.02%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     49000 | PA      | $35746.46     | 0.00%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    260000 | PA      | $171069.48    | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     35000 | PA      | $22545.00     | 0.00%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48119.67     | 0.00%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCQ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    167000 | PA      | $138589.88    | 0.01%             | 2053-02-06      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCT0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    295000 | PA      | $273548.84    | 0.02%             | 2034-09-27      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    183000 | PA      | $148005.70    | 0.01%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCV5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    115000 | PA      | $91776.26     | 0.01%             | 2064-09-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    205000 | PA      | $180766.62    | 0.01%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $999211.80    | 0.08%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC/C                          | Outfront Media Capital LLC / Outfront Media Capital Corp                        | CUSIP: 69007TAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    220000 | PA      | $232861.20    | 0.02%             | 2031-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PG&E Corp                                         | PG&E Corp                                                                       | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |    188498 | NS      | $3029162.86   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| PPG Industries Inc                                | PPG Industries Inc                                                              | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |     26715 | NS      | $2737218.90   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| PTC Therapeutics Inc                              | PTC Therapeutics Inc                                                            | CUSIP: 69366J200<br>LEI: 549300UJLWOIWFDGB318 | Long             | EC               | CORP              | US        |      2692 | NS      | $204484.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| PACCAR Inc                                        | PACCAR Inc                                                                      | CUSIP: 693718108<br>LEI: KDTEY8BWE486IKZ3CC07 | Long             | EC               | CORP              | US        |      8645 | NS      | $946713.95    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-RPL3 Trust                                                            | CUSIP: 69382RAA1<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |    625031 | PA      | $611952.19    | 0.05%             | 2065-04-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2025-7 LLC                                                                 | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415263 | PA      | $416290.78    | 0.03%             | 2030-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pret 2025-NPL11 LLC                                                             | CUSIP: 69383AAA7<br>LEI: 254900OU85YCZAPWVR73 | Long             | ABS-O            | CORP              | US        |   1375207 | PA      | $1377624.59   | 0.11%             | 2055-10-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-NPL8 LLC                                                              | CUSIP: 69392EAA8<br>LEI: 254900EZKI569P0YE486 | Long             | ABS-O            | CORP              | US        |    654155 | PA      | $655657.16    | 0.05%             | 2055-08-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2025-RPL2 LLC                                                              | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    906129 | PA      | $885625.68    | 0.07%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2025-5 LLC                                                                 | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235317 | PA      | $235505.65    | 0.02%             | 2030-07-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-NPL14 LLC                                                             | CUSIP: 69393CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    540000 | PA      | $539999.62    | 0.04%             | 2055-12-25      | Variable      | 5.26%                 | No            |                  3 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-NPL14 LLC                                                             | CUSIP: 69393CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    395000 | PA      | $394999.05    | 0.03%             | 2055-12-25      | Variable      | 6.78%                 | No            |                  3 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2025-6 LLC                                                                 | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    582244 | PA      | $583181.61    | 0.05%             | 2028-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     45000 | PA      | $37554.46     | 0.00%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     85000 | PA      | $71782.31     | 0.01%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    107000 | PA      | $84875.83     | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    685000 | PA      | $616473.08    | 0.05%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     85000 | PA      | $64340.96     | 0.01%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     90000 | PA      | $60687.10     | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224033.37    | 0.02%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     53000 | PA      | $44797.30     | 0.00%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    180000 | PA      | $188451.99    | 0.02%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    380000 | PA      | $404140.03    | 0.03%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    236000 | PA      | $250418.50    | 0.02%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52760.91     | 0.00%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    305000 | PA      | $318988.79    | 0.03%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    309000 | PA      | $343643.70    | 0.03%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    670000 | PA      | $695840.16    | 0.06%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    337000 | PA      | $322982.59    | 0.03%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    195000 | PA      | $196087.63    | 0.02%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                      | CUSIP: 695114CD8<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91208.00     | 0.01%             | 2037-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                      | CUSIP: 695114CG1<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     23000 | PA      | $24006.86     | 0.00%             | 2037-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                      | CUSIP: 695114CT3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     65000 | PA      | $48447.70     | 0.00%             | 2049-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                      | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    150000 | PA      | $131514.58    | 0.01%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                      | CUSIP: 695114DA3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    256000 | PA      | $228777.87    | 0.02%             | 2054-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                      | CUSIP: 695114DE5<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13997.69     | 0.00%             | 2055-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Packaging Corp of America                         | Packaging Corp of America                                                       | CUSIP: 695156109<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | EC               | CORP              | US        |      7047 | NS      | $1453302.81   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Palantir Technologies Inc                         | Palantir Technologies Inc                                                       | CUSIP: 69608A108<br>LEI: 549300UVN46B3BBDHO85 | Long             | EC               | CORP              | US        |     25114 | NS      | $4464013.50   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Panama Government International Bonds             | Panama Government International Bonds                                           | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    240000 | PA      | $198264.00    | 0.02%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                            | Penn Entertainment Inc                                                          | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $120399.85    | 0.01%             | 2029-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PepsiCo Inc                                       | PepsiCo Inc                                                                     | CUSIP: 713448108<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | EC               | CORP              | US        |      7136 | NS      | $1024158.72   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Performance Food Group Co                         | Performance Food Group Co                                                       | CUSIP: 71377A103<br>LEI: 549300EUK8GR9IT1YK57 | Long             | EC               | CORP              | US        |     16231 | NS      | $1459491.52   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Peru Government International Bonds               | Peru Government International Bonds                                             | CUSIP: 715638EC2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    235000 | PA      | $232544.25    | 0.02%             | 2054-08-08      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Philadelphia Authority for Industrial Development | PHILADELPHIA PA AUTH FOR INDL DEV PENSION FUNDING                               | CUSIP: 71781LBH1<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |   1235000 | PA      | $1313135.98   | 0.11%             | 2028-10-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                   | Philip Morris International Inc                                                 | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |     26523 | NS      | $4254289.20   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     90000 | PA      | $94615.05     | 0.01%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    385000 | PA      | $397965.17    | 0.03%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    115000 | PA      | $120254.12    | 0.01%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DE6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    130000 | PA      | $137889.64    | 0.01%             | 2033-09-07      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    410000 | PA      | $424843.27    | 0.04%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DM8<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    185000 | PA      | $186622.81    | 0.02%             | 2027-11-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DP1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    185000 | PA      | $188894.49    | 0.02%             | 2031-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                    | Phillips 66 Co                                                                  | CUSIP: 718547AZ5<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    215000 | PA      | $212699.66    | 0.02%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                              | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAJ7<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    245000 | PA      | $239185.60    | 0.02%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                             | Pinnacle West Capital Corp                                                      | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    293000 | PA      | $298261.02    | 0.02%             | 2028-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                             | Pinnacle West Capital Corp                                                      | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    257000 | PA      | $264816.02    | 0.02%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                          | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $232660.12    | 0.02%             | 2036-01-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Pool Corp                                         | Pool Corp                                                                       | CUSIP: 73278L105<br>LEI: 5493005VZK1KMN6CO617 | Long             | EC               | CORP              | US        |     13931 | NS      | $3186716.25   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Post Road Equipment Finance                       | Post Road Equipment Finance 2025-1 LLC                                          | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152012 | PA      | $153195.08    | 0.01%             | 2031-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance                       | Post Road Equipment Finance 2025-1 LLC                                          | CUSIP: 73747LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $142166.23    | 0.01%             | 2031-05-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pret 2025-NPL7 LLC                                                              | CUSIP: 740934AA2<br>LEI: 2549001J36X6SUZ41Q96 | Long             | ABS-O            | CORP              | US        |    704016 | PA      | $705842.16    | 0.06%             | 2055-07-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-NPL6 LLC                                                              | CUSIP: 740936AA7<br>LEI: 2549004EWBYQ3J21FL07 | Long             | ABS-O            | CORP              | US        |   1062999 | PA      | $1067121.25   | 0.09%             | 2055-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-NPL9 LLC                                                              | CUSIP: 740937AA5<br>LEI: 254900IWII23Q41Y2V47 | Long             | ABS-O            | CORP              | US        |    872219 | PA      | $874455.40    | 0.07%             | 2055-08-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2024-NPL7 LLC                                                              | CUSIP: 74136TAA6<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |    146929 | PA      | $147019.23    | 0.01%             | 2054-10-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-RPL6 Trust                                                            | CUSIP: 74143YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900302 | PA      | $901199.31    | 0.07%             | 2069-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-RPL6 Trust                                                            | CUSIP: 74143YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $132352.23    | 0.01%             | 2069-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR3 Trust                                            | CUSIP: 74331UAA6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    266459 | PA      | $262816.38    | 0.02%             | 2039-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR4 Trust                                            | CUSIP: 74332XAA9<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    751553 | PA      | $750014.02    | 0.06%             | 2041-05-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR5 Trust                                            | CUSIP: 74332YAA7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    203197 | PA      | $203093.27    | 0.02%             | 2039-06-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR7 Trust                                            | CUSIP: 74333CAA4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    341703 | PA      | $342391.98    | 0.03%             | 2039-10-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAA7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    789021 | PA      | $776801.36    | 0.06%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US                              | Prologis Targeted US Logistics Fund LP                                          | CUSIP: 74350LAD6<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              |  | US        |    140000 | PA      | $138965.50    | 0.01%             | 2031-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| PROLOGIS TARGETED US                              | Prologis Targeted US Logistics Fund LP                                          | CUSIP: 74350LAE4<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              |  | US        |    405000 | PA      | $395583.02    | 0.03%             | 2036-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Protagonist Therapeutics Inc                      | Protagonist Therapeutics Inc                                                    | CUSIP: 74366E102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2669 | NS      | $233110.46    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2024-6 LLC                                                                 | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132906 | PA      | $132958.39    | 0.01%             | 2029-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2024-7 LLC                                                                 | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419786 | PA      | $420002.49    | 0.03%             | 2029-11-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2025-3                                                                     | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117002 | PA      | $117223.16    | 0.01%             | 2030-05-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                           | Public Service Co of Oklahoma                                                   | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    460000 | PA      | $464973.83    | 0.04%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                             | CUSIP: 744573AX4<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    110000 | PA      | $118365.70    | 0.01%             | 2033-10-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                             | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36157.14     | 0.00%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                             | CUSIP: 744573BA3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    425000 | PA      | $434585.00    | 0.04%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     78000 | PA      | $76383.16     | 0.01%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     42000 | PA      | $40270.64     | 0.00%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    810000 | PA      | $831186.50    | 0.07%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                         | Qorvo Inc                                                                       | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    425000 | PA      | $393186.20    | 0.03%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                      | QUALCOMM Inc                                                                    | CUSIP: 747525BV4<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    170000 | PA      | $173644.46    | 0.01%             | 2032-05-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                  | RCO VIII Mortgage LLC 2025-3                                                    | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77952 | PA      | $78122.40     | 0.01%             | 2030-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| RFNA LP                                           | Rfna LP                                                                         | CUSIP: 74984AAA0<br>LEI: 2549002A4GSOTYKKHR45 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203409.68    | 0.02%             | 2030-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| RFR Trust                                         | RFR Trust 2025-SGRM                                                             | CUSIP: 74984NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $746856.28    | 0.06%             | 2041-03-11      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 26 Ltd                                                                       | CUSIP: 74989MAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $520225.16    | 0.04%             | 2038-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 23 Ltd                                                                       | CUSIP: 75000GBK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1110000 | PA      | $1112844.93   | 0.09%             | 2037-07-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Rad CLO 12 Ltd                                    | Rad CLO 12 Ltd                                                                  | CUSIP: 75009PAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    875000 | PA      | $877765.00    | 0.07%             | 2040-07-30      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals Inc                     | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886F107<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | EC               | CORP              | US        |      1358 | NS      | $1048199.46   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC         | Retained Vantage Data Centers Issuer LLC                                        | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |    845000 | PA      | $842364.61    | 0.07%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Revolution Medicines Inc                          | Revolution Medicines Inc                                                        | CUSIP: 76155X100<br>LEI: 549300JU3X0LBCQ65892 | Long             | EC               | CORP              | US        |      6368 | NS      | $507211.20    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| RIO TINTO FIN USA PLC                             | RIO TINTO FIN USA PLC                                                           | CUSIP: 76720AAT3<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |     70000 | PA      | $72278.42     | 0.01%             | 2032-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROCKET SOFTWARE INC                               | Rocket Software Inc                                                             | CUSIP: 77314EAA6<br>LEI: 549300PVG26ISP5X1556 | Long             | DBT              | CORP              | US        |    174000 | PA      | $170516.12    | 0.01%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | ROCKIES EXPRESS PIPELINE                                                        | CUSIP: 77340RAU1<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    120000 | PA      | $126638.42    | 0.01%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                          | CUSIP: 77586RAU4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    276000 | PA      | $287048.31    | 0.02%             | 2034-01-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                          | CUSIP: 77586RAV2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     54000 | PA      | $53503.42     | 0.00%             | 2035-03-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | Royal Bank of Canada                                                            | CUSIP: 78017DAC2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    365000 | PA      | $375771.55    | 0.03%             | 2031-02-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| Shell PLC                                         | Shell PLC                                                                       | CUSIP: 780259305<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |     84238 | NS      | $6189808.24   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| ROYALTY PHARMA PLC                                | Royalty Pharma PLC                                                              | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    900000 | PA      | $904551.67    | 0.08%             | 2035-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust           | SG Commercial Mortgage Securities Trust 2020-COVE                               | CUSIP: 78397FAA1<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |   1230000 | PA      | $1177740.25   | 0.10%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust         | SFS Auto Receivables Securitization Trust 2023-1                                | CUSIP: 78398AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245000 | PA      | $250894.11    | 0.02%             | 2030-01-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                         | SHR Trust 2024-LXRY                                                             | CUSIP: 784234AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1445000 | PA      | $1448574.35   | 0.12%             | 2041-10-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464626 | PA      | $436896.07    | 0.04%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Leasing 2025-1 LLC                                                | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365000 | PA      | $372590.14    | 0.03%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                      | SM Energy Co                                                                    | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251835.56    | 0.02%             | 2029-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Sabey Data Center Issuer LLC                      | Sabey Data Center Issuer LLC                                                    | CUSIP: 78520EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $136480.22    | 0.01%             | 2049-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Samsara Inc                                       | Samsara Inc                                                                     | CUSIP: 79589L106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     37771 | NS      | $1338981.95   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| SAN DIEGO G & E                                   | San Diego Gas & Electric Co                                                     | CUSIP: 797440CG7<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    330000 | PA      | $341571.12    | 0.03%             | 2035-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SAP SE                                            | SAP SE                                                                          | CUSIP: 803054204<br>LEI: 529900D6BF99LW9R2E68 | Long             | EC               | CORP              | DE        |      6464 | NS      | $1570170.24   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Scholar Rock Holding Corp                         | Scholar Rock Holding Corp                                                       | CUSIP: 80706P103<br>LEI: 549300Z1FLPGL4OWJ459 | Long             | EC               | CORP              | US        |      4059 | NS      | $178798.95    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SCRIPPS ESCROW II INC                             | Scripps Escrow II Inc                                                           | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $230034.70    | 0.02%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Securitized Term Auto Receivables Trust           | Securitized Term Auto Receivables Trust 2025-B                                  | CUSIP: 81378WAB9<br>LEI: 254900DVX7EZK9JMUP63 | Long             | ABS-O            | CORP              | CA        |    373765 | PA      | $376979.92    | 0.03%             | 2032-12-29      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Sempra                                            | Sempra                                                                          | CUSIP: 816851109<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | EC               | CORP              | US        |     55487 | NS      | $4898947.23   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| ServiceNow Inc                                    | ServiceNow Inc                                                                  | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |      6470 | NS      | $991139.30    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| SHERWIN-WILLIAMS CO                               | Sherwin-Williams Co/The                                                         | CUSIP: 824348BW5<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    470000 | PA      | $478274.70    | 0.04%             | 2035-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                | Siemens Funding BV                                                              | CUSIP: 82622RAC0<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    455000 | PA      | $464327.12    | 0.04%             | 2030-05-28      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Champion Homes Inc                                | Champion Homes Inc                                                              | CUSIP: 830830105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10865 | NS      | $918092.50    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Snowflake Inc                                     | Snowflake Inc                                                                   | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Long             | EC               | CORP              | US        |     17344 | NS      | $3804579.84   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Soleno Therapeutics Inc                           | Soleno Therapeutics Inc                                                         | CUSIP: 834203309<br>LEI: 5493003LCY77N7FXK844 | Long             | EC               | CORP              | US        |      3725 | NS      | $172467.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400ES8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     90000 | PA      | $94443.32     | 0.01%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400FW8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     40000 | PA      | $30749.14     | 0.00%             | 2043-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    233000 | PA      | $174725.88    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    309000 | PA      | $234526.73    | 0.02%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     50000 | PA      | $34961.85     | 0.00%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    110000 | PA      | $99779.20     | 0.01%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400HR7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    179000 | PA      | $160807.06    | 0.01%             | 2052-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    165000 | PA      | $174549.87    | 0.01%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    170000 | PA      | $157770.69    | 0.01%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    315000 | PA      | $301610.69    | 0.03%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    144000 | PA      | $144621.08    | 0.01%             | 2034-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400JG9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    235000 | PA      | $238259.94    | 0.02%             | 2035-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     76000 | PA      | $73372.05     | 0.01%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                             | Southern California Gas Co                                                      | CUSIP: 842434DA7<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58724.48     | 0.00%             | 2054-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                             | Southern California Gas Co                                                      | CUSIP: 842434DD1<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    435000 | PA      | $446630.53    | 0.04%             | 2055-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    335000 | PA      | $337566.49    | 0.03%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| SOUTHERN POWER CO                                 | Southern Power Co                                                               | CUSIP: 843646AY6<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    265000 | PA      | $262144.42    | 0.02%             | 2035-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                           | Southwestern Electric Power Co                                                  | CUSIP: 845437BU5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25686.21     | 0.00%             | 2033-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SPECIALTY BUILDING PRODU                          | Specialty Building Products Holdings LLC / SBP Finance Corp                     | CUSIP: 84749AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $156108.80    | 0.01%             | 2029-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                   | Stack Infrastructure Issuer LLC                                                 | CUSIP: 85236KAH5<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $482415.31    | 0.04%             | 2048-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                   | Stack Infrastructure Issuer LLC                                                 | CUSIP: 85236KAM4<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $268291.75    | 0.02%             | 2049-03-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                          | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $228921.63    | 0.02%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| StandardAero Inc                                  | StandardAero Inc                                                                | CUSIP: 85423L103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     83705 | NS      | $2400659.40   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| STAPLES INC                                       | Staples Inc                                                                     | CUSIP: 855030AQ5<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |    143000 | PA      | $142167.84    | 0.01%             | 2029-09-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| STAR PARENT INC                                   | Star Parent Inc                                                                 | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |    220000 | PA      | $234785.78    | 0.02%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp                                    | Starbucks Corp                                                                  | CUSIP: 855244109<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | EC               | CORP              | US        |     24552 | NS      | $2067523.92   | 0.17%             |  |  |  | No            |                  1 | On Loan: —       |
| Starwood Residential Mortgage Trust               | STAR 2021-1 Trust                                                               | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213812 | PA      | $201741.29    | 0.02%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-2                                      | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60985 | PA      | $57986.64     | 0.00%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-6                                      | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572960 | PA      | $508831.75    | 0.04%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                    | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  15640833 | PA      | $15640833.21  | 1.30%             |  |  |  | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUST                   | Stream Innovations 2025-1 Issuer Trust                                          | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288208 | PA      | $291017.75    | 0.02%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Stryker Corp                                      | Stryker Corp                                                                    | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |      2575 | NS      | $905035.25    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Structure Therapeutics Inc                        | Structure Therapeutics Inc                                                      | CUSIP: 86366E106<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     12155 | NS      | $845380.25    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Synopsys Inc                                      | Synopsys Inc                                                                    | CUSIP: 871607107<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | EC               | CORP              | US        |      9681 | NS      | $4547359.32   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNCHRONY FINANCIAL                               | Synchrony Financial                                                             | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    190000 | PA      | $170460.43    | 0.01%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                               | Synchrony Financial                                                             | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    325000 | PA      | $333222.60    | 0.03%             | 2031-03-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| SYNCHRONY FINANCIAL                               | Synchrony Financial                                                             | CUSIP: 87165BAY9<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    415000 | PA      | $425972.99    | 0.04%             | 2036-07-29      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                  | Symphony CLO 36 Ltd                                                             | CUSIP: 87170MAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $260000.00    | 0.02%             | 2036-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Inc                                   | T-Mobile US Inc                                                                 | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |     27167 | NS      | $5515987.68   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    380000 | PA      | $363302.88    | 0.03%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    405000 | PA      | $370001.33    | 0.03%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    105000 | PA      | $107147.41    | 0.01%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ADC6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    115000 | PA      | $121832.87    | 0.01%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ADM4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88423.75     | 0.01%             | 2035-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118343.28    | 0.01%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                            | Taco Bell Funding LLC                                                           | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1889348 | PA      | $1761323.42   | 0.15%             | 2051-08-25      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                      | Tapestry Inc                                                                    | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    175000 | PA      | $179655.96    | 0.01%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                      | Tapestry Inc                                                                    | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    105000 | PA      | $107349.47    | 0.01%             | 2035-03-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| TARGA RESOURCES PARTNERS                          | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $295800.40    | 0.02%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp                              | Targa Resources Corp                                                            | CUSIP: 87612G101<br>LEI: 5493003QENHHS261UR94 | Long             | EC               | CORP              | US        |     19799 | NS      | $3652915.50   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10696.77     | 0.00%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAF8<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     45000 | PA      | $49112.44     | 0.00%             | 2034-03-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    385000 | PA      | $394051.55    | 0.03%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    115000 | PA      | $117171.74    | 0.01%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    215000 | PA      | $220846.85    | 0.02%             | 2036-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAS0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    325000 | PA      | $325373.89    | 0.03%             | 2036-07-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| 10X Genomics Inc                                  | 10X Genomics Inc                                                                | CUSIP: 88025U109<br>LEI: 5493003Z6741WNLG7H43 | Long             | EC               | CORP              | US        |     11166 | NS      | $182117.46    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Tesla Inc                                         | Tesla Inc                                                                       | CUSIP: 88160R101<br>LEI: 54930043XZGB27CTOV49 | Long             | EC               | CORP              | US        |     32536 | NS      | $14632089.92  | 1.21%             |  |  |  | No            |                  1 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                           | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $209901.63    | 0.02%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| TEXAS Commercial Mortgage Trust                   | TEXAS Commercial Mortgage Trust 2025-TWR                                        | CUSIP: 88231WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $144638.66    | 0.01%             | 2042-04-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Texas Debt Capital CLO, Ltd                       | Texas Debt Capital CLO 2023-I Ltd                                               | CUSIP: 88238CAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    635000 | PA      | $637757.81    | 0.05%             | 2038-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                             | Texas Instruments Inc                                                           | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |      9806 | NS      | $1701242.94   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Thermo Fisher Scientific Inc                      | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |      6780 | NS      | $3928671.00   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                          | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556DD1<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    820000 | PA      | $822613.44    | 0.07%             | 2032-10-07      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                             | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    200000 | PA      | $153804.57    | 0.01%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                          | TotalEnergies Capital SA                                                        | CUSIP: 89157XAC5<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    350000 | PA      | $338040.96    | 0.03%             | 2064-04-05      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                          | TotalEnergies Capital SA                                                        | CUSIP: 89157XAF8<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    105000 | PA      | $98270.35     | 0.01%             | 2064-09-10      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2021-R1                                               | CUSIP: 89179TAA2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1089466 | PA      | $989491.01    | 0.08%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                          | Trans-Allegheny Interstate Line Co                                              | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $287633.86    | 0.02%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Trex Co Inc                                       | Trex Co Inc                                                                     | CUSIP: 89531P105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     49117 | NS      | $1723024.36   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2025-SFR1 Trust                                              | CUSIP: 895974AA1<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    476749 | PA      | $477127.29    | 0.04%             | 2042-03-17      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| TRIMAS CORP                                       | TriMas Corp                                                                     | CUSIP: 896215AH3<br>LEI: 75G1WUQ8QK4P5MZOYD78 | Long             | DBT              | CORP              | US        |    155000 | PA      | $150735.00    | 0.01%             | 2029-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                        | Tronox Inc                                                                      | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |    150000 | PA      | $105008.47    | 0.01%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| 280 Park Avenue Mortgage Trust                    | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $454514.13    | 0.04%             | 2034-09-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C2                                           | CUSIP: 90276CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    608958 | PA      | $6802.67      | 0.00%             | 2050-08-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                             | Uber Technologies Inc                                                           | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    645000 | PA      | $641593.79    | 0.05%             | 2035-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| Unilever PLC                                      | Unilever PLC                                                                    | CUSIP: 904767803<br>LEI: 549300MKFYEKVRWML317 | Long             | EC               | CORP              | GB        |     54922 | NS      | $3591898.80   | 0.30%             |  |  |  | No            |                  1 | On Loan: —       |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $172900.00    | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    505000 | PA      | $538835.00    | 0.04%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    465000 | PA      | $500805.00    | 0.04%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                            | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    450000 | PA      | $469575.00    | 0.04%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                            | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1460000 | PA      | $1446860.00   | 0.12%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                            | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $197200.00    | 0.02%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| US Foods Holding Corp                             | US Foods Holding Corp                                                           | CUSIP: 912008109<br>LEI: 549300UGOZSO64CFPR97 | Long             | EC               | CORP              | US        |     66803 | NS      | $5031601.96   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4790860 | PA      | $3728041.96   | 0.31%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    658486 | PA      | $489823.74    | 0.04%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3785000 | PA      | $3267223.81   | 0.27%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3701997 | PA      | $3098405.49   | 0.26%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1685000 | PA      | $1193322.26   | 0.10%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1914915 | PA      | $1395546.00   | 0.12%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19040000 | PA      | $14281487.40  | 1.18%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    879405 | PA      | $662697.06    | 0.05%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    910000 | PA      | $598858.21    | 0.05%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $886125.00    | 0.07%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6040000 | PA      | $4547223.42   | 0.38%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6365000 | PA      | $4834167.79   | 0.40%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3805000 | PA      | $3010557.63   | 0.25%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1385000 | PA      | $889592.00    | 0.07%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3001297 | PA      | $1726693.68   | 0.14%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9605000 | PA      | $4597643.41   | 0.38%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3460000 | PA      | $1816500.00   | 0.15%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2540000 | PA      | $1819175.79   | 0.15%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2385000 | PA      | $2015325.00   | 0.17%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1650000 | PA      | $1334759.76   | 0.11%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1595000 | PA      | $1411948.84   | 0.12%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6295000 | PA      | $5937463.64   | 0.49%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2365000 | PA      | $2278067.78   | 0.19%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2050000 | PA      | $2069859.38   | 0.17%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1410000 | PA      | $1336195.31   | 0.11%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1510000 | PA      | $1454790.63   | 0.12%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11045000 | PA      | $11071318.14  | 0.92%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3825000 | PA      | $3949461.90   | 0.33%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                           | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6148482 | PA      | $6113227.87   | 0.51%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9150000 | PA      | $9121406.25   | 0.76%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4045000 | PA      | $4210276.19   | 0.35%             | 2031-05-31      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9190000 | PA      | $9286566.77   | 0.77%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3960000 | PA      | $4019554.68   | 0.33%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3755000 | PA      | $3745172.45   | 0.31%             | 2032-08-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1730000 | PA      | $1705131.25   | 0.14%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| United Therapeutics Corp                          | United Therapeutics Corp                                                        | CUSIP: 91307C102<br>LEI: 5299005C4HZL4UWROC14 | Long             | EC               | CORP              | US        |      2668 | NS      | $1299983.00   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| UnitedHealth Group Inc                            | UnitedHealth Group Inc                                                          | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |     13382 | NS      | $4417532.02   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $49959.85     | 0.00%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     90000 | PA      | $66823.65     | 0.01%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    345000 | PA      | $258013.91    | 0.02%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $51945.64     | 0.00%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36489.62     | 0.00%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66387.52     | 0.01%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PFC1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    270000 | PA      | $254758.02    | 0.02%             | 2054-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PFM9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     85000 | PA      | $82986.12     | 0.01%             | 2064-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124244.69    | 0.01%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| USA COM PART/USA COM FIN                          | USA Compression Partners LP / USA Compression Finance Corp                      | CUSIP: 91740PAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $121438.80    | 0.01%             | 2033-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                  | VB-S1 Issuer LLC - VBTEL                                                        | CUSIP: 91823ABC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $554403.63    | 0.05%             | 2054-05-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| VSP OPTICAL GROUP INC                             | VSP Optical Group Inc                                                           | CUSIP: 91836LAA0<br>LEI: 549300PHX8USLM2BT742 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60399.49     | 0.01%             | 2035-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                             | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    210000 | PA      | $226905.21    | 0.02%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                             | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    375000 | PA      | $381879.16    | 0.03%             | 2030-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 42 CLO Ltd                                                              | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1300575.90   | 0.11%             | 2034-04-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                      | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    130000 | PA      | $128440.18    | 0.01%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Vertex Pharmaceuticals Inc                        | Vertex Pharmaceuticals Inc                                                      | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |      4980 | NS      | $2257732.80   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Vertiv Holdings Co                                | Vertiv Holdings Co                                                              | CUSIP: 92537N108<br>LEI: 549300KTTIRAOGXCRV69 | Long             | EC               | CORP              | US        |     11206 | NS      | $1815484.06   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-R2                                              | CUSIP: 92538DAA7<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    126664 | PA      | $119351.74    | 0.01%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-2                                               | CUSIP: 92538FAA2<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    133921 | PA      | $122693.63    | 0.01%             | 2066-02-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-8                                               | CUSIP: 92538GAA0<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    379479 | PA      | $352004.98    | 0.03%             | 2066-11-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-4                                               | CUSIP: 92538HAA8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    256360 | PA      | $217180.50    | 0.02%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-7                                               | CUSIP: 92538QAA8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    949859 | PA      | $872553.34    | 0.07%             | 2066-10-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-3                                               | CUSIP: 92538UAA9<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    139418 | PA      | $134223.58    | 0.01%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-3                                               | CUSIP: 92539LAA8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |   1103424 | PA      | $973453.02    | 0.08%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    471000 | PA      | $327607.58    | 0.03%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    160000 | PA      | $131731.08    | 0.01%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    250000 | PA      | $188716.88    | 0.02%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    105000 | PA      | $100970.65    | 0.01%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                | CUSIP: 92556HAC1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    185000 | PA      | $129551.86    | 0.01%             | 2050-05-19      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9035.09      | 0.00%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                       | Viatris Inc                                                                     | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    315000 | PA      | $241807.71    | 0.02%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                       | Viatris Inc                                                                     | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    160000 | PA      | $106554.09    | 0.01%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804FT6<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16572.48     | 0.00%             | 2045-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GD0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     91000 | PA      | $52283.37     | 0.00%             | 2050-12-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GK4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    285000 | PA      | $291846.59    | 0.02%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GP3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    285000 | PA      | $288405.42    | 0.02%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GQ1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     65000 | PA      | $60937.84     | 0.01%             | 2054-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GR9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101249.85    | 0.01%             | 2034-08-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    255000 | PA      | $259452.72    | 0.02%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78327.42     | 0.01%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GV0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    245000 | PA      | $243839.41    | 0.02%             | 2035-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Vita Coco Co Inc/The                              | Vita Coco Co Inc/The                                                            | CUSIP: 92846Q107<br>LEI: 54930020WXOAWHR85Y25 | Long             | EC               | CORP              | US        |     16100 | NS      | $853461.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2011-C4                                         | CUSIP: 92936CBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $91350.00     | 0.01%             | 2044-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Walmart Inc                                       | Walmart Inc                                                                     | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |     49420 | NS      | $5505882.20   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Waste Connections Inc                             | Waste Connections Inc                                                           | CUSIP: 94106B101<br>LEI: 549300HDLRTPBQU69P29 | Long             | EC               | CORP              | CA        |      8481 | NS      | $1487228.16   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Paragon Offshore Finance Company                  | Paragon Offshore Finance Company Term Loan B                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |        40 | PA      | $0.00         | 0.00%             | 2026-07-18      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| WAYFAIR LLC                                       | Wayfair LLC                                                                     | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    250000 | PA      | $260917.50    | 0.02%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                  | Wells Fargo & Co                                                                | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |    203226 | NS      | $18940663.20  | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    120000 | PA      | $119122.49    | 0.01%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-NXS1                                 | CUSIP: 94989HBM1<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $74481.60     | 0.01%             | 2048-05-15      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2016-LC24                                 | CUSIP: 95000HBF8<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $882306.04    | 0.07%             | 2049-10-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    435000 | PA      | $441766.36    | 0.04%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    170000 | PA      | $176099.07    | 0.01%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     95000 | PA      | $105159.68    | 0.01%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     85000 | PA      | $88019.19     | 0.01%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206440.63    | 0.02%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| Welltower Inc                                     | Welltower Inc                                                                   | CUSIP: 95040Q104<br>LEI: 254900F33BIAR82QTA19 | Long             | EC               |  | US        |     33127 | NS      | $6148702.47   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                             | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    400080 | PA      | $393239.36    | 0.03%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                             | CUSIP: 95058XAL2<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1351314 | PA      | $1204978.97   | 0.10%             | 2051-06-15      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| WESCO International Inc                           | WESCO International Inc                                                         | CUSIP: 95082P105<br>LEI: 529900TXOGREY3WNJ434 | Long             | EC               | CORP              | US        |      8467 | NS      | $2071366.88   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                            | Westinghouse Air Brake Technologies Corp                                        | CUSIP: 960386AS9<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    290000 | PA      | $296721.76    | 0.02%             | 2030-05-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                             | Whistler Pipeline LLC                                                           | CUSIP: 96337RAB8<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |    205000 | PA      | $212749.97    | 0.02%             | 2031-09-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                             | Whistler Pipeline LLC                                                           | CUSIP: 96337RAC6<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118918.59    | 0.01%             | 2034-09-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Williams-Sonoma Inc                               | Williams-Sonoma Inc                                                             | CUSIP: 969904101<br>LEI: 549300IARG6YWVTZ1I92 | Long             | EC               | CORP              | US        |     13217 | NS      | $2360424.03   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Wingstop Funding LLC                              | Wingstop Funding LLC                                                            | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315200 | PA      | $305381.30    | 0.03%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| WINGSTOP FUNDING LLC                              | Wingstop Funding LLC                                                            | CUSIP: 974153AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $241459.94    | 0.02%             | 2054-12-05      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT                           | Wisconsin Power and Light Co                                                    | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    210000 | PA      | $216494.56    | 0.02%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WULF COMPUTE LLC                                  | WULF Compute LLC                                                                | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $133932.30    | 0.01%             | 2030-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                 | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    185000 | PA      | $183986.60    | 0.02%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                 | CUSIP: 98389BBD1<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    245000 | PA      | $248175.67    | 0.02%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                 | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    180000 | PA      | $186402.05    | 0.02%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Xenon Pharmaceuticals Inc                         | Xenon Pharmaceuticals Inc                                                       | CUSIP: 98420N105<br>LEI: 549300XV44Q9Z1MIPQ03 | Long             | EC               | CORP              | CA        |     17339 | NS      | $777133.98    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Zayo Issuer LLC                                   | Zayo Issuer LLC                                                                 | CUSIP: 98919WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630000 | PA      | $640759.46    | 0.05%             | 2055-03-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/03/15/2053/P:USD 2.88000 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1610000 | OU      | $342691.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/03/15/2053/P:USD 2.97000 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2325000 | OU      | $460594.59    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/06/21/2053/P:USD 3.25000 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    860000 | OU      | $131454.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/09/20/2053/P:USD 3.59000 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2955000 | OU      | $286859.58    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/05/31/2029/P:USD 3.70361 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3275000 | OU      | $-35398.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/03/19/2045/P:USD 4.16000 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8460000 | OU      | $-6769.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | State of Israel                                                                 | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $134666.01    | 0.01%             | 2060-05-13      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| NORTH MACEDONIA                                   | North Macedonia Government International Bond                                   | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |    515000 | PA      | $605542.71    | 0.05%             | 2026-06-03      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    635000 | PA      | $491502.20    | 0.04%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                           | Energean Israel Finance Ltd                                                     | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    515000 | PA      | $498109.93    | 0.04%             | 2031-03-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1310000 | PA      | $1019146.76   | 0.08%             | 2041-04-14      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| MBANK SA                                          | mBank SA                                                                        | CUSIP: 000000000<br>LEI: 259400DZXF7UJKK2AY35 | Long             | DBT              | CORP              | PL        |    400000 | PA      | $461995.21    | 0.04%             | 2027-09-21      | Fixed         | 0.97%                 | Yes           |                  2 | On Loan: No      |
| BANCA TRANSILVANIA                                | Banca Transilvania SA                                                           | CUSIP: 000000000<br>LEI: 549300RG3H390KEL8896 | Long             | DBT              | CORP              | RO        |    305000 | PA      | $365480.09    | 0.03%             | 2027-04-27      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| BANCA COMERCIALA ROMANA                           | Banca Comerciala Romana SA                                                      | CUSIP: 000000000<br>LEI: 549300ORLU6LN5YD8X90 | Long             | DBT              | CORP              | RO        |    200000 | PA      | $239145.89    | 0.02%             | 2027-05-19      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                           | Energean Israel Finance Ltd                                                     | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    295000 | PA      | $315065.19    | 0.03%             | 2033-09-30      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| METRO BANK HOLDINGS PLC                           | Metro Bank Holdings PLC                                                         | CUSIP: 000000000<br>LEI: 984500CDDEAD6C2EDQ64 | Long             | DBT              | CORP              | GB        |    150000 | PA      | $230507.54    | 0.02%             | 2029-04-30      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| CD&R FIREFLY BIDCO LTD                            | CD&R Firefly Bidco PLC                                                          | CUSIP: 000000000<br>LEI: 213800OAU5VX61DYZ558 | Long             | DBT              | CORP              | GB        |    170000 | PA      | $239759.73    | 0.02%             | 2029-04-30      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                 | Iliad Holding SAS                                                               | CUSIP: 000000000<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $250717.37    | 0.02%             | 2031-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PL                          | Bellis Acquisition Co PLC                                                       | CUSIP: 000000000<br>LEI: 259400CYE2267UB4A481 | Long             | DBT              | CORP              | GB        |    150000 | PA      | $188054.91    | 0.02%             | 2030-05-14      | Fixed         | 8.12%                 | Yes           |                  2 | On Loan: No      |
| BERTRAND FRANCHISE                                | Bertrand Franchise Finance SAS                                                  | CUSIP: 000000000<br>LEI: 969500HGPPEHSTNJFW57 | Long             | DBT              | CORP              | FR        |    210000 | PA      | $245330.98    | 0.02%             | 2030-07-18      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| UNITED GROUP BV                                   | United Group BV                                                                 | CUSIP: 000000000<br>LEI: 213800PC85O8BJ7DU398 | Long             | DBT              | CORP              | NL        |    100000 | PA      | $119953.64    | 0.01%             | 2031-10-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ITELYUM REGENERATION SPA                          | Itelyum Regeneration Spa                                                        | CUSIP: 000000000<br>LEI: 815600051FBC23AA8A45 | Long             | DBT              | CORP              | IT        |    300000 | PA      | $351407.68    | 0.03%             | 2030-04-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN                          | Clarios Global LP / Clarios US Finance Co                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    240000 | PA      | $286064.14    | 0.02%             | 2031-06-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| CREDIABANK SA                                     | CrediaBank SA                                                                   | CUSIP: 000000000<br>LEI: 213800FFWYE3BQ1CU978 | Long             | DBT              | CORP              | GR        |    100000 | PA      | $125735.72    | 0.01%             | 2031-01-31      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR26                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -95 | NC      | $88642.22     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND MAR26                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         9 | NC      | $-19703.97    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -28 | NC      | $44690.94     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -142 | NC      | $109677.04    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        66 | NC      | $-175385.69   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       292 | NC      | $-9799.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        84 | NC      | $-10606.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        75 | NC      | $-59856.47    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE MAR26                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       -67 | NC      | $-19732.98    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       258 | NC      | $80035.34     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE OF ISRAEL                                   | State of Israel                                                                 | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $134666.01    | 0.01%             | 2060-05-13      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                              | Colombia Government International Bond                                          | CUSIP: 195325EG6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    320000 | PA      | $333440.00    | 0.03%             | 2034-02-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                            | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $198200.00    | 0.02%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Arch Capital Group Ltd                            | Arch Capital Group Ltd                                                          | CUSIP: 000000000<br>LEI: 549300AYR4P8AFKDCE43 | Long             | EC               | CORP              | BM        |     21176 | NS      | $2031201.92   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Everest Group Ltd                                 | Everest Group Ltd                                                               | CUSIP: 000000000<br>LEI: 549300N24XF2VV0B3570 | Long             | EC               | CORP              | BM        |      5271 | NS      | $1788713.85   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| James Hardie Industries PLC                       | James Hardie Industries PLC                                                     | CUSIP: 000000000<br>LEI: 635400NSGXKTVOO7JU45 | Long             | EC               | CORP              | IE        |    217404 | NS      | $4511133.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Hamilton Insurance Group Ltd                      | Hamilton Insurance Group Ltd                                                    | CUSIP: 000000000<br>LEI: 549300W92BN1FIEXG871 | Long             | EC               | CORP              | BM        |     35365 | NS      | $986683.50    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ICON PLC                                          | ICON PLC                                                                        | CUSIP: 000000000<br>LEI: 6354008SRQGEMC4XFI67 | Long             | EC               | CORP              | IE        |      2633 | NS      | $479785.26    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Johnson Controls International plc                | Johnson Controls International plc                                              | CUSIP: 000000000<br>LEI: 549300XQ6S1GYKGBL205 | Long             | EC               | CORP              | IE        |     14215 | NS      | $1702246.25   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Linde PLC                                         | Linde PLC                                                                       | CUSIP: 000000000<br>LEI: 5299003QR1WT0EF88V51 | Long             | EC               | CORP              | IE        |     11290 | NS      | $4813943.10   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| LivaNova PLC                                      | LivaNova PLC                                                                    | CUSIP: 000000000<br>LEI: 2138001K2FX6SHK2B339 | Long             | EC               | CORP              | GB        |      6284 | NS      | $386654.52    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Medtronic PLC                                     | Medtronic PLC                                                                   | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |     22149 | NS      | $2127632.94   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| STERIS PLC                                        | STERIS PLC                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |      4281 | NS      | $1085319.12   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Chubb Ltd                                         | Chubb Ltd                                                                       | CUSIP: 000000000<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |     11417 | NS      | $3563474.04   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Oddity Tech Ltd                                   | Oddity Tech Ltd                                                                 | CUSIP: 000000000<br>LEI: 254900QH12XZS53G0V57 | Long             | EC               | CORP              | IL        |      7889 | NS      | $316980.02    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Magnum Ice Cream Co NV/The                        | Magnum Ice Cream Co NV/The                                                      | CUSIP: 000000000<br>LEI: 25490052LLF3XH6G9847 | Long             | EC               | CORP              | NL        |     12530 | NS      | $198600.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Newamsterdam Pharma Co NV                         | Newamsterdam Pharma Co NV                                                       | CUSIP: 000000000<br>LEI: 984500B6549TF6E14D36 | Long             | EC               | CORP              | NL        |     24800 | NS      | $869984.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: —       |
| NXP Semiconductors NV                             | NXP Semiconductors NV                                                           | CUSIP: 000000000<br>LEI: 724500M9BY5293JDF951 | Long             | EC               | CORP              | NL        |     12851 | NS      | $2789438.06   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Royal Caribbean Cruises Ltd                       | Royal Caribbean Cruises Ltd                                                     | CUSIP: 000000000<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | EC               | CORP              | LR        |     10183 | NS      | $2840242.36   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Flex Ltd                                          | Flex Ltd                                                                        | CUSIP: 000000000<br>LEI: 549300EAQH74YHD07T53 | Long             | EC               | CORP              | SG        |     28813 | NS      | $1740881.46   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-15

**Name of Applicant:** Brighthouse Funds Trust II

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer