# EDGAR Filing Document

**Accession Number:** 0001120924
**File Stem:** 0001099263-25-005060
**Filing Date:** 2025-12
**Character Count:** 576993
**Document Hash:** b3b703c679f356d524b1f654255793b5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-005060.hdr.sgml**: 20251222

**ACCESSION NUMBER**: 0001099263-25-005060

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251222

**DATE AS OF CHANGE**: 20251222

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price QM U.S. Bond Index Fund, Inc.
- **CENTRAL INDEX KEY:** 0001120924

**ORGANIZATION NAME:**
- **EIN:** 522273334
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10093
- **FILM NUMBER:** 251591458

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** T. Rowe Price U.S. Bond Enhanced Index Fund, Inc.
- **DATE OF NAME CHANGE:** 20110509

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** T. Rowe Price U.S. Bond Index Fund, Inc.
- **DATE OF NAME CHANGE:** 20051028

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** T ROWE PRICE US BOND INDEX FUND INC
- **DATE OF NAME CHANGE:** 20000802

## Series and Classes Contracts Data

### T. Rowe Price QM U.S. Bond Index Fund (Series ID: S000002166)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000005563 | T. Rowe Price QM U.S. Bond Index Fund         | PBDIX           |
| C000222342 | T. Rowe Price QM U.S. Bond Index Fund-Z Class | TSBZX           |
| C000222343 | T. Rowe Price QM U.S. Bond Index Fund-I Class | TSBLX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE QM U.S. BOND INDEX FUND, INC.

- **b. Investment Company Act file number:** 811-10093

- **c. CIK number of Registrant:** 0001120924

- **d. LEI of Registrant:** 549300527OEH1B08TY97

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

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

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

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

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

- **a. Name of Series:** T. Rowe Price QM U.S. Bond Index Fund

- **b. EDGAR series identifier (if any):** S000002166

- **c. LEI of Series:** 6CAOB2FK4HV4SJGM1O42

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**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:** $2073353502.86

**Total Liabilities:** $70020325.87

**Net Assets:** $2003333176.99

**Delayed Delivery Securities:** $4330205.91

**Stand-by Commitments:** $49414312.96

**Cash Not Reported:** $599.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1491.122600 | **1-Year:** -58676.384711 | **5-Year:** -239669.532933 | **10-Year:** -265348.898629 | **30-Year:** -68205.418810

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

- **3-Month:** 0.000000 | **1-Year:** -315.384561 | **5-Year:** -403.760831 | **10-Year:** 0.000000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000005563 | 1.21%                | 0.96%                | 0.69%                |
| Class ID C000222342 | 1.23%                | 0.98%                | 0.71%                |
| Class ID C000222343 | 1.22%                | 1.07%                | 0.70%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $92712.68                | $15534792.87                               |
| Month 2  | $358190.78               | $12840766.95                               |
| Month 3  | $-2275113.02             | $7735844.39                                |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                     | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABBVIE INC                               | ABBVIE INC                                                                      | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224190.68    | 0.01%             | 2026-05-14      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                               | ABBVIE INC                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1345206.87   | 0.07%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                               | ABBVIE INC                                                                      | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1210922.44   | 0.06%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                             | AES CORP/THE                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2350774.80   | 0.12%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AFRMT 2025-2A A 144A                     | AFFIRM MASTER TRUST                                                             | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3215000 | PA      | $3224790.00   | 0.16%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| AGL 2021-13A A1R 144A                    | AGL CLO 13 LTD                                                                  | CUSIP: 00120JAL7<br>LEI: 254900DIJ0G5TXNJMM06 | Long             | ABS-CBDO         | CORP              | KY        |   4600000 | PA      | $4598812.65   | 0.23%             | 2034-10-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                 | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1480669.35   | 0.07%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                 | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AJ8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9969.75      | 0.00%             | 2027-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                    | ALIBABA GROUP HOLDING LTD                                                       | CUSIP: 01609WAU6<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |   2300000 | PA      | $2154824.97   | 0.11%             | 2037-12-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                            | ALLSTATE CORP/THE                                                               | CUSIP: 020002AP6<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    150000 | PA      | $162792.90    | 0.01%             | 2032-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ABCLN 2024-B B 144A                      | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                | CUSIP: 02007G4C4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239844 | PA      | $241453.24    | 0.01%             | 2032-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ABCLN 2025-A A2 144A                     | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A                                | CUSIP: 02007G5D1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1643416 | PA      | $1647290.55   | 0.08%             | 2033-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ABCLN 2025-B A2 144A                     | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-B                                | CUSIP: 02007G6N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1885000 | PA      | $1885000.00   | 0.09%             | 2033-09-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                       | ALLY FINANCIAL INC                                                              | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1404140.92   | 0.07%             | 2028-11-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                              | AMEREN CORP                                                                     | CUSIP: 023608AP7<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1845736.62   | 0.09%             | 2026-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL SA DE CV                   | AMERICA MOVIL SAB DE CV                                                         | CUSIP: 02364WAJ4<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    300000 | PA      | $333165.07    | 0.02%             | 2035-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1AA PTT                  | AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                            | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24555 | PA      | $22984.90     | 0.00%             | 2032-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                  | AMERICAN ELECTRIC POWER CO INC                                                  | CUSIP: 025537AY7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   2595000 | PA      | $2675476.14   | 0.13%             | 2029-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                      | AMERICAN EXPRESS CO                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    550000 | PA      | $558732.90    | 0.03%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                      | AMERICAN EXPRESS CO                                                             | CUSIP: 025816DC0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   3385000 | PA      | $3390321.22   | 0.17%             | 2026-02-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                   | AMERICAN HONDA FINANCE CORP                                                     | CUSIP: 02665WFD8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   2790000 | PA      | $2821222.89   | 0.14%             | 2027-03-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                   | AMERICAN HONDA FINANCE CORP                                                     | CUSIP: 02665WGD7<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1657659.92   | 0.08%             | 2027-07-09      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                      | AMERICAN INTERNATIONAL GROUP INC                                                | CUSIP: 026874DC8<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    425000 | PA      | $396231.33    | 0.02%             | 2035-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERN MUN PWR OH BABS HYDROELEC SER B    | AMERICAN MUNICIPAL POWER INC                                                    | CUSIP: 02765UCY8<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   2005000 | PA      | $2156668.02   | 0.11%             | 2044-02-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                | AMGEN INC                                                                       | CUSIP: 031162CY4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1239000 | PA      | $748528.22    | 0.04%             | 2053-09-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                | AMGEN INC                                                                       | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1260908.70   | 0.06%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                | AMGEN INC                                                                       | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1651198.61   | 0.08%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                            | AMPHENOL CORP                                                                   | CUSIP: 032095AM3<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    310000 | PA      | $310570.40    | 0.02%             | 2026-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                            | AMPHENOL CORP                                                                   | CUSIP: 032095AP6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    925000 | PA      | $952627.90    | 0.05%             | 2029-04-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AOMT 2020-6 A2 144A                      | ANGEL OAK MORTGAGE TRUST 2020-6                                                 | CUSIP: 03465AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252369 | PA      | $232872.24    | 0.01%             | 2065-05-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| AOMT 2021-1 A1 144A                      | ANGEL OAK MORTGAGE TRUST 2021-1                                                 | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    844244 | PA      | $737608.78    | 0.04%             | 2066-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                 | ANHEUSER-BUSCH INBEV WORLDWIDE INC                                              | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31039.53     | 0.00%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                 | AON CORP / AON GLOBAL HOLDINGS PLC                                              | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3075000 | PA      | $3157772.85   | 0.16%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AON PLC                                  | AON GLOBAL LTD                                                                  | CUSIP: 00185AAK0<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |    405000 | PA      | $404512.38    | 0.02%             | 2025-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD 144A              | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    475000 | PA      | $482963.85    | 0.02%             | 2034-09-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ARES 2019-51A A1R2 144A                  | ARES LI CLO LTD                                                                 | CUSIP: 04019LAU8<br>LEI: 5493003FNA8PT0CMDE92 | Long             | ABS-CBDO         | CORP              | KY        |   1420000 | PA      | $1423319.76   | 0.07%             | 2037-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| ARES 2025-ALF9A A1 144A                  | ARES LOAN FUNDING IX LTD                                                        | CUSIP: 03990HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1225000 | PA      | $1223085.10   | 0.06%             | 2038-03-31      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ARRW 2019-2 A2 144A                      | ARROYO MORTGAGE TRUST 2019-2                                                    | CUSIP: 042858AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180933 | PA      | $176082.67    | 0.01%             | 2049-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                  | ARTHUR J GALLAGHER & CO                                                         | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    445000 | PA      | $454263.12    | 0.02%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                  | ASTRAZENECA FINANCE LLC                                                         | CUSIP: 04636NAF0<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2349502.90   | 0.12%             | 2028-03-03      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                 | AT&T INC                                                                        | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3011405.10   | 0.15%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                 | AT&T INC                                                                        | CUSIP: 00206RMT6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2490920.36   | 0.12%             | 2034-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                 | AT&T INC                                                                        | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1020587.52   | 0.05%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                 | AT&T INC                                                                        | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1271659.13   | 0.06%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING 144A               | ATHENE GLOBAL FUNDING                                                           | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    990000 | PA      | $1001090.97   | 0.05%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING 144A               | ATHENE GLOBAL FUNDING                                                           | CUSIP: 04685A4A6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   3330000 | PA      | $3342797.19   | 0.17%             | 2026-08-27      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| ATLASSIAN CORPORATION                    | ATLASSIAN CORP                                                                  | CUSIP: 049468AA9<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |    760000 | PA      | $781153.08    | 0.04%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AUTORIDAD CANAL DE PANAM 144A            | AUTORIDAD DEL CANAL DE PANAMA                                                   | CUSIP: 05330GAA2<br>LEI: 549300W1ISP1PW2J2P64 | Long             | DBT              | CORP              | PA        |    295000 | PA      | $284860.64    | 0.01%             | 2035-07-29      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                             | AUTOZONE INC                                                                    | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1738192.00   | 0.09%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                             | AUTOZONE INC                                                                    | CUSIP: 053332AV4<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19878.68     | 0.00%             | 2027-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                             | AUTOZONE INC                                                                    | CUSIP: 053332BE1<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1398210.73   | 0.07%             | 2026-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                             | AUTOZONE INC                                                                    | CUSIP: 053332AT9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    445000 | PA      | $442775.00    | 0.02%             | 2026-04-21      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| XCAP 2024-1A A2 144A                     | AUXILIOR TERM FUNDING 2024-1 LLC                                                | CUSIP: 05335FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78722 | PA      | $79001.08     | 0.00%             | 2027-03-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| AESOP 2025-3A A 144A                     | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RKW3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    510000 | PA      | $508628.00    | 0.03%             | 2030-02-20      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD 144A            | AVOLON HOLDINGS FUNDING LTD                                                     | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1560000 | PA      | $1629672.72   | 0.08%             | 2028-05-04      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                       | BANCO SANTANDER SA                                                              | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $576945.60    | 0.03%             | 2030-05-28      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| BANK 2024-BNK47 A5                       | BANK 2024-BNK47                                                                 | CUSIP: 06540GAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1475000 | PA      | $1572180.23   | 0.08%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $598507.20    | 0.03%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH & CO                       | BANK OF AMERICA CORP                                                            | CUSIP: 59023VAA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    150000 | PA      | $183024.60    | 0.01%             | 2038-05-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1875000 | PA      | $1738723.13   | 0.09%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GGM5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42133.41     | 0.00%             | 2038-04-24      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1169489.48   | 0.06%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2039502.00   | 0.10%             | 2035-08-15      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2271577.68   | 0.11%             | 2028-01-20      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                       | BANK OF AMERICA NA                                                              | CUSIP: 06050TJZ6<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |    300000 | PA      | $325113.00    | 0.02%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                   | BANK OF NEW YORK MELLON CORP/THE                                                | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1603908.00   | 0.08%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR12 A3                      | BANK5 2024-5YR12                                                                | CUSIP: 06644XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2490000 | PA      | $2621621.15   | 0.13%             | 2057-12-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR8 AS                       | BANK5 2024-5YR8                                                                 | CUSIP: 065923BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1045000 | PA      | $1097131.50   | 0.05%             | 2057-08-15      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14 A3                      | BANK5 2025-5YR14                                                                | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3310000 | PA      | $3465120.83   | 0.17%             | 2058-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                            | BANNER HEALTH                                                                   | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    850000 | PA      | $758391.25    | 0.04%             | 2031-01-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL 144A              | BANQUE FEDERATIVE DU CREDIT MUTUEL SA                                           | CUSIP: 06675FAZ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   3570000 | PA      | $3574715.97   | 0.18%             | 2026-01-26      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BARC 2021-NQM1 A3 144A                   | BARCLAYS MORTGAGE LOAN TRUST 2021-NQM1                                          | CUSIP: 06744UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    727457 | PA      | $657203.96    | 0.03%             | 2051-09-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                             | BARCLAYS PLC                                                                    | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1045000 | PA      | $1064556.13   | 0.05%             | 2028-03-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                             | BARCLAYS PLC                                                                    | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2840000 | PA      | $2950089.76   | 0.15%             | 2030-03-12      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| BABSN 2021-3A B1R 144A                   | BARINGS CLO LTD 2021-III                                                        | CUSIP: 06762TAN1<br>LEI: 549300V1VT2NXKFG0H98 | Long             | ABS-CBDO         | CORP              | KY        |   2275000 | PA      | $2277538.67   | 0.11%             | 2035-01-18      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                         | BAT CAPITAL CORP                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   3395000 | PA      | $3105759.58   | 0.16%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                         | BAT CAPITAL CORP                                                                | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    845000 | PA      | $891998.90    | 0.04%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TOLL BRDG SUB SR S10 TXBLE   | BAY AREA TOLL AUTHORITY                                                         | CUSIP: 072024YC0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |   1275000 | PA      | $1043307.26   | 0.05%             | 2041-04-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TOLL BRDG BABS SER S1 SUB    | BAY AREA TOLL AUTHORITY                                                         | CUSIP: 072024NU2<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    350000 | PA      | $402456.60    | 0.02%             | 2040-04-01      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCING TRUST 2024-2F A PP     | BAYVIEW FINANCING TRUST 2024-2F A                                               | CUSIP: 07336XAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1661302 | PA      | $1669525.05   | 0.08%             | 2029-11-01      | Variable      | 7.11%                 | Yes           |                  3 | On Loan: No      |
| BVCLN 2024-CAR1 A 144A                   | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAA0<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    152946 | PA      | $153343.51    | 0.01%             | 2031-12-26      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BVCLN 2025-EDU1 A 144A                   | BAYVIEW OPPORTUNITY MASTER FUND VII 2025-EDU1 LLC                               | CUSIP: 07337GAA1<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |   1712757 | PA      | $1706603.98   | 0.09%             | 2048-07-27      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY D 144A                   | BBCMS 2019-BWAY MORTGAGE TRUST                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545000 | PA      | $6812.50      | 0.00%             | 2034-11-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| BBCMS 2024-5C27 A3                       | BBCMS MORTGAGE TRUST 2024-5C27                                                  | CUSIP: 05555FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $431086.67    | 0.02%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| BBCMS 2025-C35 A5                        | BBCMS MORTGAGE TRUST 2025-C35                                                   | CUSIP: 07337DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3025000 | PA      | $3194145.60   | 0.16%             | 2058-07-15      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA/MEXICO                  | BBVA MEXICO SA INSTITUCION DE BANCA MULTIPLE GRUPO FINANCIERO BBVA MEXICO/TX    | CUSIP: YV5671248<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   1865000 | PA      | $1925146.25   | 0.10%             | 2029-09-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                    | BECTON DICKINSON & CO                                                           | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1545531.16   | 0.08%             | 2029-06-07      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| BMARK 2023-B39 A5                        | BENCHMARK 2023-B39 MORTGAGE TRUST                                               | CUSIP: 081925AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220000 | PA      | $1296320.76   | 0.06%             | 2056-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BMARK 2024-V8 AM                         | BENCHMARK 2024-V8 MORTGAGE TRUST                                                | CUSIP: 08190AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3465000 | PA      | $3673465.14   | 0.18%             | 2057-07-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| BMARK 2025-B41 A5                        | BENCHMARK 2025-B41 MORTGAGE TRUST                                               | CUSIP: 081935AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720000 | PA      | $752570.78    | 0.04%             | 2068-07-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| MIDAMER ENERGY HLDGS                     | BERKSHIRE HATHAWAY ENERGY CO                                                    | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    170000 | PA      | $184514.77    | 0.01%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BMO 2025-C12 A5                          | BMO 2025-C12 MORTGAGE TRUST                                                     | CUSIP: 05615DAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1365325.31   | 0.07%             | 2058-06-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| BMO 2025-C13 A5                          | BMO 2025-C13 MORTGAGE TRUST                                                     | CUSIP: 05592YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1955000 | PA      | $2023780.42   | 0.10%             | 2058-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS 144A                         | BNP PARIBAS SA                                                                  | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2750000 | PA      | $2839820.50   | 0.14%             | 2030-05-20      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                   | BOARDWALK PIPELINES LP                                                          | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |   2130000 | PA      | $1996397.88   | 0.10%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                | BOEING CO/THE                                                                   | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1814436.00   | 0.09%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                            | BOEING CO/THE                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1715000 | PA      | $1902257.42   | 0.09%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                   | BP CAPITAL MARKETS AMERICA INC                                                  | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1276725.76   | 0.06%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                   | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    495000 | PA      | $493039.31    | 0.02%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                   | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    760000 | PA      | $748223.04    | 0.04%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                   | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAP8<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    440000 | PA      | $438835.32    | 0.02%             | 2033-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                             | BROADCOM INC                                                                    | CUSIP: 11135FCE9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3290000 | PA      | $3349328.57   | 0.17%             | 2028-04-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| BROADCOM INC                             | BROADCOM INC                                                                    | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1129386.85   | 0.06%             | 2030-07-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTH SANTA FE                | BURLINGTON NORTHERN SANTA FE LLC                                                | CUSIP: 12189TAZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $111180.00    | 0.01%             | 2037-05-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| BX 2024-SLCT A 144A                      | BX COMMERCIAL MORTGAGE TRUST 2024-SLCT                                          | CUSIP: 12433JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3185000 | PA      | $3183009.38   | 0.16%             | 2042-01-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BX 2025-ROIC A 144A                      | BX TRUST 2025-ROIC                                                              | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4089052 | PA      | $4080107.28   | 0.20%             | 2030-03-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                   | CADENCE DESIGN SYSTEMS INC                                                      | CUSIP: 127387AN8<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1095430.38   | 0.05%             | 2029-09-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC 144A                     | CAMERON LNG LLC                                                                 | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    430000 | PA      | $370005.97    | 0.02%             | 2039-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC 144A                     | CAMERON LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    520000 | PA      | $476808.28    | 0.02%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RAILWAY                    | CANADIAN NATIONAL RAILWAY CO                                                    | CUSIP: 136375DH2<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |    920000 | PA      | $1002305.04   | 0.05%             | 2033-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RAILWAYS                   | CANADIAN NATIONAL RAILWAY CO                                                    | CUSIP: 136375BL5<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $105598.77    | 0.01%             | 2034-08-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                  | CANADIAN NATURAL RESOURCES LTD                                                  | CUSIP: 136385BA8<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   1520000 | PA      | $1422207.76   | 0.07%             | 2030-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| CANADIAN PACIFIC RAILWAY                 | CANADIAN PACIFIC RAILWAY CO                                                     | CUSIP: 13645RBE3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    845000 | PA      | $826569.71    | 0.04%             | 2026-12-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                 | CANADIAN PACIFIC RAILWAY CO                                                     | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    720000 | PA      | $646357.68    | 0.03%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                 | CANADIAN PACIFIC RAILWAY CO                                                     | CUSIP: 13648TAG2<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   1155000 | PA      | $850838.84    | 0.04%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                 | CANADIAN PACIFIC RAILWAY CO                                                     | CUSIP: 13648TAC1<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   1140000 | PA      | $1085786.16   | 0.05%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                 | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3213586.90   | 0.16%             | 2032-07-29      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                 | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HDF9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    365000 | PA      | $386439.37    | 0.02%             | 2035-02-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                 | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1419649.66   | 0.07%             | 2027-05-11      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                            | CAPITAL ONE NA                                                                  | CUSIP: 25466AAR2<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1872980.00   | 0.09%             | 2030-02-06      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CARMX 2023-3 B                           | CARMAX AUTO OWNER TRUST 2023-3                                                  | CUSIP: 14319BAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $219047.38    | 0.01%             | 2029-02-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-4 A4                          | CARMAX AUTO OWNER TRUST 2025-4                                                  | CUSIP: 14320HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $757866.53    | 0.04%             | 2031-06-16      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-4 A3                          | CARMAX AUTO OWNER TRUST 2025-4                                                  | CUSIP: 14320HAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $757679.26    | 0.04%             | 2030-12-16      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| CRVNA 2021-P4 C                          | CARVANA AUTO RECEIVABLES TRUST 2021-P4                                          | CUSIP: 14687KAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1860000 | PA      | $1800700.41   | 0.09%             | 2028-02-10      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N1 B 144A                     | CARVANA AUTO RECEIVABLES TRUST 2024-N1                                          | CUSIP: 14687QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635000 | PA      | $640776.40    | 0.03%             | 2030-05-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-P4 A4                         | CARVANA AUTO RECEIVABLES TRUST 2024-P4                                          | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $628938.35    | 0.03%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-P4 A3                         | CARVANA AUTO RECEIVABLES TRUST 2024-P4                                          | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365000 | PA      | $366529.42    | 0.02%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P2 A4                         | CARVANA AUTO RECEIVABLES TRUST 2025-P2                                          | CUSIP: 14688YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1465000 | PA      | $1489224.36   | 0.07%             | 2031-06-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                 | CATERPILLAR FINANCIAL SERVICES CORP                                             | CUSIP: 14913UAL4<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   4225000 | PA      | $4297112.30   | 0.21%             | 2027-05-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                        | CBRE SERVICES INC                                                               | CUSIP: 12505BAH3<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    580000 | PA      | $601204.80    | 0.03%             | 2029-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CELULOSA ARAUCO CONSTITU                 | CELULOSA ARAUCO Y CONSTITUCION SA                                               | CUSIP: 151191BB8<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |    570000 | PA      | $565517.06    | 0.03%             | 2027-11-02      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CENT 2025-CITY A 144A                    | CENT 2025-CITY                                                                  | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3715000 | PA      | $3762350.28   | 0.19%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                             | CENTENE CORP                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3095000 | PA      | $2828217.19   | 0.14%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON               | CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                         | CUSIP: 15189XAD0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    100000 | PA      | $114100.50    | 0.01%             | 2033-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CENTRA HEALTH INC                        | CENTRA HEALTH INC                                                               | CUSIP: 15236AAA9<br>LEI: 549300Q8RNBDU210L043 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20575.05     | 0.00%             | 2048-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| TX ST TRNPRTN COMM 1ST TR SR C           | CENTRAL TEXAS TURNPIKE SYSTEM                                                   | CUSIP: 88283KBL1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     40000 | PA      | $31375.55     | 0.00%             | 2041-08-15      | Fixed         | 3.03%                 | 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        |   1795000 | PA      | $1173526.13   | 0.06%             | 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: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    690000 | PA      | $720038.46    | 0.04%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                 | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2365000 | PA      | $2121282.02   | 0.11%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CHAOT 2025-1A A3 144A                    | CHASE AUTO OWNER TRUST 2025-1                                                   | CUSIP: 16145NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $905945.49    | 0.05%             | 2030-06-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| CHPRK 2018-1A A2R 144A                   | CHENANGO PARK CLO LTD                                                           | CUSIP: 16409TAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    965000 | PA      | $965147.09    | 0.05%             | 2030-04-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                 | CHENIERE ENERGY PARTNERS LP                                                     | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   1865000 | PA      | $1933462.29   | 0.10%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                          | CHEVRON USA INC                                                                 | CUSIP: 166756BJ4<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |   2275000 | PA      | $2290210.65   | 0.11%             | 2030-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| CHICAGO IL INTL ARPT BLD AMERICA         | CHICAGO O'HARE INTERNATIONAL AIRPORT                                            | CUSIP: 167593AN2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1350000 | PA      | $1515091.50   | 0.08%             | 2040-01-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| CHILE                                    | CHILE GOVERNMENT INTERNATIONAL BOND                                             | CUSIP: 168863EE4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   3740000 | PA      | $3968888.00   | 0.20%             | 2037-01-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CIFC 2018-1A A1R 144A                    | CIFC FUNDING 2018-I LTD                                                         | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    935000 | PA      | $938656.60    | 0.05%             | 2038-01-18      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                          | CIGNA GROUP/THE                                                                 | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    380000 | PA      | $381929.26    | 0.02%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                          | CIGNA GROUP/THE                                                                 | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1870106.70   | 0.09%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                            | CITIGROUP INC                                                                   | CUSIP: 172967FX4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    450000 | PA      | $476303.85    | 0.02%             | 2042-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                            | CITIGROUP INC                                                                   | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $2042562.60   | 0.10%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                            | CITIGROUP INC                                                                   | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1920000 | PA      | $1915165.44   | 0.10%             | 2029-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| CMLTI 2020-EXP2 A3 144A                  | CITIGROUP MORTGAGE LOAN TRUST INC                                               | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    912338 | PA      | $788834.66    | 0.04%             | 2050-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| L A CA DEPT ARPTS BAB TXB SUB SR C       | CITY OF LOS ANGELES DEPARTMENT OF AIRPORTS                                      | CUSIP: 544435Q52<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    700000 | PA      | $817928.72    | 0.04%             | 2040-05-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                          | CMS ENERGY CORP                                                                 | CUSIP: 125896BN9<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    635000 | PA      | $577762.37    | 0.03%             | 2044-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING 144A                  | CNO GLOBAL FUNDING                                                              | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    515000 | PA      | $523818.35    | 0.03%             | 2029-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COLT 2020-3 A1 144A                      | COLT 2020-3 MORTGAGE LOAN TRUST                                                 | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55811 | PA      | $55136.73     | 0.00%             | 2065-04-27      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| COLT 2025-8 A1 144A                      | COLT 2025-8 MORTGAGE LOAN TRUST                                                 | CUSIP: 19689DAA7<br>LEI: 2138009IZ4NQZAKAEN75 | Long             | ABS-MBS          | CORP              | US        |   1995366 | PA      | $2013210.42   | 0.10%             | 2070-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                             | COMCAST CORP                                                                    | CUSIP: 20030NEG2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2490000 | PA      | $2294609.70   | 0.11%             | 2064-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                             | COMCAST CORP                                                                    | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9381.17      | 0.00%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                             | COMCAST CORP                                                                    | CUSIP: 20030NBT7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     80000 | PA      | $67668.80     | 0.00%             | 2036-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                      | COMMONSPIRIT HEALTH                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    980000 | PA      | $909654.62    | 0.05%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                      | COMMONSPIRIT HEALTH                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     40000 | PA      | $30256.36     | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| CONE 2024-DFW1 A 144A                    | CONE TRUST 2024-DFW1                                                            | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685000 | PA      | $684143.75    | 0.03%             | 2041-08-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CAS 2023-R04 1M1 144A                    | CONNECTICUT AVENUE SECURITIES TRUST 2023-R04                                    | CUSIP: 20754QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1554116 | PA      | $1587690.68   | 0.08%             | 2043-05-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| BESTFOODS                                | CONOPCO INC                                                                     | CUSIP: 08658EAA5<br>LEI: 549300DWD4D3B5EZJC04 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5287.86      | 0.00%             | 2028-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING 144A             | COREBRIDGE GLOBAL FUNDING                                                       | CUSIP: 00138CBG2<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    885000 | PA      | $886127.49    | 0.04%             | 2028-08-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING 144A             | COREBRIDGE GLOBAL FUNDING                                                       | CUSIP: 00138CBB3<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1085476.95   | 0.05%             | 2027-08-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CODELCO INC 144A                         | CORP NACIONAL DEL COBRE DE CHILE                                                | CUSIP: 21987BBC1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    570000 | PA      | $547574.66    | 0.03%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FULTON CNTY GA BABS                      | COUNTY OF FULTON GA                                                             | CUSIP: 360046Q90<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2660000 | PA      | $2717110.73   | 0.14%             | 2039-07-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC 144A             | CRH AMERICA FINANCE INC                                                         | CUSIP: 12636YAC6<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1692441.80   | 0.08%             | 2028-04-04      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTL CORP                   | CROWN CASTLE INC                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2017100.00   | 0.10%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTL CORP                   | CROWN CASTLE INC                                                                | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    700000 | PA      | $697002.60    | 0.03%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTL CORP                   | CROWN CASTLE INC                                                                | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1665000 | PA      | $1478606.58   | 0.07%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                          | CVS HEALTH CORP                                                                 | CUSIP: 126650EA4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2705000 | PA      | $2690390.30   | 0.13%             | 2063-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                          | CVS HEALTH CORP                                                                 | CUSIP: 126650EB2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1406664.32   | 0.07%             | 2029-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                          | CVS HEALTH CORP                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    925000 | PA      | $837299.83    | 0.04%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                          | CVS HEALTH CORP                                                                 | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    420000 | PA      | $426864.06    | 0.02%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| CVS HEALTH CORP                          | CVS HEALTH CORP                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $987109.50    | 0.05%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CYRUS 2024-2A A2 144A                    | CYRUSONE DATA CENTERS ISSUER I LLC                                              | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2490000 | PA      | $2450708.30   | 0.12%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA 144A              | DAIMLER TRUCK FINANCE NORTH AMERICA LLC                                         | CUSIP: 233853AW0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    560000 | PA      | $571968.88    | 0.03%             | 2034-01-18      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DALLAS FT WORTH TX ARPT TXBL SER A       | DALLAS FORT WORTH INTERNATIONAL AIRPORT                                         | CUSIP: 2350364W7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     15000 | PA      | $13127.58     | 0.00%             | 2038-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| DALLAS FT WORTH TX ARPT TXBL SER C       | DALLAS FORT WORTH INTERNATIONAL AIRPORT                                         | CUSIP: 2350366Z8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3945000 | PA      | $3259490.37   | 0.16%             | 2040-11-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S 144A                     | DANSKE BANK A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    470000 | PA      | $488284.88    | 0.02%             | 2030-03-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC A 144A                      | DBC 2025-DBC MORTGAGE TRUST                                                     | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $725906.25    | 0.04%             | 2038-06-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-1 C 144A                       | DELL EQUIPMENT FINANCE TRUST 2024-1                                             | CUSIP: 24702GAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101512.90    | 0.01%             | 2030-03-22      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-2 A3 144A                      | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $628571.75    | 0.03%             | 2030-08-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| DETROIT MI CITY SD QSCB                  | DETROIT CITY SCHOOL DISTRICT                                                    | CUSIP: 251130EC0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1255000 | PA      | $1341508.53   | 0.07%             | 2029-05-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                   | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XAY5<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    550000 | PA      | $563880.90    | 0.03%             | 2030-01-30      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HONK 2021-1A A2 144A                     | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1596890 | PA      | $1504941.05   | 0.08%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| HONK 2020-1A A2 144A                     | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26209XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    739514 | PA      | $726341.09    | 0.04%             | 2050-07-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                            | DTE ENERGY CO                                                                   | CUSIP: 233331BL0<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    390000 | PA      | $413341.89    | 0.02%             | 2034-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                            | DTE ENERGY CO                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   2645000 | PA      | $2710664.77   | 0.14%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                         | DUKE ENERGY CORP                                                                | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1034499.84   | 0.05%             | 2035-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                         | DUKE ENERGY CORP                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    355000 | PA      | $350570.67    | 0.02%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER CORP                       | DUKE ENERGY FLORIDA LLC                                                         | CUSIP: 341099CH0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    170000 | PA      | $189554.93    | 0.01%             | 2037-09-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PROGRESS ENERGY CAR                      | DUKE ENERGY PROGRESS LLC                                                        | CUSIP: 144141CY2<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    100000 | PA      | $111860.00    | 0.01%             | 2038-04-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL 144A            | EAGLE FUNDING LUXCO SARL                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   2720000 | PA      | $2766648.00   | 0.14%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1 A1 144A                   | EFMT 2025-INV1                                                                  | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |    458087 | PA      | $461343.46    | 0.02%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM5 A1 144A                   | EFMT 2025-NQM5                                                                  | CUSIP: 28225KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $399992.60    | 0.02%             | 2070-11-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| EHGVT 2023-A B 144A                      | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255292 | PA      | $262682.75    | 0.01%             | 2038-02-25      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| EHGVT 2023-A A 144A                      | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318094 | PA      | $328576.83    | 0.02%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| ANTHEM INC                               | ELEVANCE HEALTH INC                                                             | CUSIP: 036752AH6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $968988.09    | 0.05%             | 2048-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ANTHEM INC                               | ELEVANCE HEALTH INC                                                             | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    485000 | PA      | $435000.87    | 0.02%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| EFMT 2019-2 A3 144A                      | ELLINGTON FINANCIAL MORTGAGE TRUST 2019-2                                       | CUSIP: 31573TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80048 | PA      | $77618.12     | 0.00%             | 2059-11-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| EFMT 2020-2 A1 144A                      | ELLINGTON FINANCIAL MORTGAGE TRUST 2020-2                                       | CUSIP: 31573WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461827 | PA      | $436801.41    | 0.02%             | 2065-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| ELM20 2022-7A AR 144A                    | ELMWOOD CLO 20 LTD                                                              | CUSIP: 29002AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1160000 | PA      | $1164323.58   | 0.06%             | 2037-01-17      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| ENACT HOLDINGS INC                       | ENACT HOLDINGS INC                                                              | CUSIP: 29249EAA7<br>LEI: 9845003CA5664B741N19 | Long             | DBT              | CORP              | US        |    505000 | PA      | $528661.78    | 0.03%             | 2029-05-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERGY PARTNERS                 | ENBRIDGE ENERGY PARTNERS LP                                                     | CUSIP: 29250RAT3<br>LEI: CZ6VG2MNE1J6YDI02G48 | Long             | DBT              | CORP              | US        |    170000 | PA      | $167564.75    | 0.01%             | 2040-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    795000 | PA      | $829000.56    | 0.04%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NCH6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    340000 | PA      | $342553.74    | 0.02%             | 2028-06-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NAM7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    555000 | PA      | $551255.42    | 0.03%             | 2046-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NBZ7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    610000 | PA      | $679945.04    | 0.03%             | 2053-11-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    355000 | PA      | $355000.00    | 0.02%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV 144A                | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1815000 | PA      | $1803187.98   | 0.09%             | 2030-09-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                       | ENERGY TRANSFER LP                                                              | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1546474.79   | 0.08%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ENGIE SA 144A                            | ENGIE SA                                                                        | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |    660000 | PA      | $689704.62    | 0.03%             | 2034-04-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| ENI SPA 144A                             | ENI SPA                                                                         | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    930000 | PA      | $924541.83    | 0.05%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENI SPA 144A                             | ENI SPA                                                                         | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    845000 | PA      | $869082.50    | 0.04%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EFF 2024-3 A4 144A                       | ENTERPRISE FLEET FINANCING 2024-3 LLC                                           | CUSIP: 29375QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $117370.85    | 0.01%             | 2031-03-20      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| EFF 2024-3 A3 144A                       | ENTERPRISE FLEET FINANCING 2024-3 LLC                                           | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $167067.76    | 0.01%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| EFF 2024-4 A2 144A                       | ENTERPRISE FLEET FINANCING 2024-4 LLC                                           | CUSIP: 29374MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    441832 | PA      | $443099.75    | 0.02%             | 2027-07-20      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| EFF 2024-4 A4 144A                       | ENTERPRISE FLEET FINANCING 2024-4 LLC                                           | CUSIP: 29374MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    790000 | PA      | $801503.51    | 0.04%             | 2031-06-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EFF 2025-3 A3 144A                       | ENTERPRISE FLEET FINANCING 2025-3 LLC                                           | CUSIP: 29375UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1775000 | PA      | $1792448.78   | 0.09%             | 2029-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                 | ENTERPRISE PRODUCTS OPERATING LLC                                               | CUSIP: 29379VCJ0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1152338.31   | 0.06%             | 2028-06-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                 | ENTERPRISE PRODUCTS OPERATING LLC                                               | CUSIP: 29379VCE1<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2845000 | PA      | $2863555.09   | 0.14%             | 2027-01-11      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                        | EOG RESOURCES INC                                                               | CUSIP: 26875PAX9<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1306753.42   | 0.07%             | 2028-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL 144A            | EQUITABLE AMERICA GLOBAL FUNDING                                                | CUSIP: 29446Q2A0<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |   1915000 | PA      | $1936459.49   | 0.10%             | 2028-06-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL 144A            | EQUITABLE AMERICA GLOBAL FUNDING                                                | CUSIP: 29446Q2E2<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    400000 | PA      | $398576.80    | 0.02%             | 2032-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC 144A                | ERAC USA FINANCE LLC                                                            | CUSIP: 26884TAW2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1616082.71   | 0.08%             | 2033-05-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC 144A                | ERAC USA FINANCE LLC                                                            | CUSIP: 26884TAN2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    260000 | PA      | $230620.78    | 0.01%             | 2045-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                       | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    660000 | PA      | $589156.26    | 0.03%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                       | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PAS6<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1266011.51   | 0.06%             | 2048-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                              | EXELON CORP                                                                     | CUSIP: 30161NAU5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1815000 | PA      | $1807899.72   | 0.09%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| EART 2025-4A B                           | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4                                      | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1335000 | PA      | $1336418.70   | 0.07%             | 2030-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ESART 2025-2 A3                          | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                               | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1155000 | PA      | $1160004.38   | 0.06%             | 2030-08-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| ESA 2025-ESH A 144A                      | EXTENDED STAY AMERICA TRUST 2025-ESH                                            | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $936753.13    | 0.05%             | 2042-10-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                   | EXTRA SPACE STORAGE LP                                                          | CUSIP: 30225VAV9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    755000 | PA      | $759934.68    | 0.04%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                   | EXTRA SPACE STORAGE LP                                                          | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14862.62     | 0.00%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA NOV                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 000000000<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1390000 | PA      | $1404312.36   | 0.07%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA NOV                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0506B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16365000 | PA      | $16281325.43  | 0.81%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA NOV                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0426B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4880000 | PA      | $4756152.77   | 0.24%             | 2033-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA NOV                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0406B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2720000 | PA      | $2580484.35   | 0.13%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606524 | PA      | $496724.89    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138YT6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2859 | PA      | $2708.48      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8657 | PA      | $8374.75      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418CQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332644 | PA      | $313367.99    | 0.02%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QKR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3271083 | PA      | $2804889.57   | 0.14%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       240 | PA      | $250.15       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138YWJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41730 | PA      | $40418.59     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140W3GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988765 | PA      | $1002868.75   | 0.05%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31412SA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1741 | PA      | $1836.05      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8DT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1236409 | PA      | $1198982.14   | 0.06%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201100 | PA      | $174537.61    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138X3GC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90112 | PA      | $87857.50     | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QEYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2541779 | PA      | $2211901.87   | 0.11%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7UD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284717 | PA      | $1336484.71   | 0.07%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FGNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93241 | PA      | $85005.47     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2054 | PA      | $2079.74      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776159 | PA      | $773572.69    | 0.04%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418FKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1580614 | PA      | $1636260.04   | 0.08%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X6C66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160353 | PA      | $164708.48    | 0.01%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140LVQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681387 | PA      | $628100.69    | 0.03%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31390NEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3875 | PA      | $4047.49      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR MODIFIED STEP RATE             | FANNIE MAE POOL                                                                 | CUSIP: 3140FXGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2766 | PA      | $2765.45      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62647 | PA      | $63113.52     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10104 | PA      | $10655.20     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244866 | PA      | $236944.22    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246059 | PA      | $1279580.71   | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6978 | PA      | $7123.56      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140LNFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1018029 | PA      | $885244.53    | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138W9NY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140600 | PA      | $130231.43    | 0.01%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205951 | PA      | $187188.70    | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12018 | PA      | $12522.50     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X6GH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790561 | PA      | $795960.77    | 0.04%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46 | PA      | $47.74        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259440 | PA      | $236523.95    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QVAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1770015 | PA      | $1825413.70   | 0.09%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296675 | PA      | $296604.66    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7XP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631669 | PA      | $605013.45    | 0.03%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31385HSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       565 | PA      | $590.02       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290701 | PA      | $1217112.67   | 0.06%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416XY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20926 | PA      | $21043.23     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31384VQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       511 | PA      | $534.22       | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371MNT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12415 | PA      | $13093.24     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418FNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5378261 | PA      | $5502694.35   | 0.27%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7642 | PA      | $8024.71      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417YVG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10780 | PA      | $10560.67     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J95H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98009 | PA      | $92432.70     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138AW5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11800 | PA      | $11723.16     | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WF3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126387 | PA      | $119622.67    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DH54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7663 | PA      | $7549.11      | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418BYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194052 | PA      | $187915.92    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11783577 | PA      | $9629520.18   | 0.48%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EJBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233413 | PA      | $228635.73    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3484859 | PA      | $3207469.38   | 0.16%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16714 | PA      | $16851.91     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31419KLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $14.70        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EQ2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271348 | PA      | $256585.41    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2068778 | PA      | $1904106.76   | 0.10%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XRVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42298 | PA      | $43965.85     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138E9AW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1685 | PA      | $1649.42      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QVLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1024576 | PA      | $1044628.75   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QLNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840275 | PA      | $1503456.96   | 0.08%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416XJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6887 | PA      | $6753.42      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538634 | PA      | $490554.64    | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652800 | PA      | $532436.60    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418FAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3626978 | PA      | $3666099.85   | 0.18%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416YDZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41666 | PA      | $42783.12     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946450 | PA      | $865488.66    | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79054 | PA      | $83369.26     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140X6BM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334269 | PA      | $325776.94    | 0.02%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EGTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35447 | PA      | $36411.23     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140Y6U57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4237625 | PA      | $4397133.61   | 0.22%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QLQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2986665 | PA      | $2560559.52   | 0.13%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2414822 | PA      | $2060397.26   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    894364 | PA      | $841313.07    | 0.04%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140X5WP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1895850 | PA      | $1797572.94   | 0.09%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1791746 | PA      | $1649125.63   | 0.08%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1586986 | PA      | $1489289.34   | 0.07%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31411UTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $37.69        | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2182 | PA      | $2191.84      | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JAD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459752 | PA      | $444887.17    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101195 | PA      | $93733.50     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140F5C35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291500 | PA      | $265753.67    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2425519 | PA      | $1998166.74   | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7RN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331644 | PA      | $333366.28    | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47064 | PA      | $49611.45     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971051 | PA      | $885584.08    | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448970 | PA      | $410562.84    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31386CUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       105 | PA      | $105.96       | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49881 | PA      | $47475.72     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312704 | PA      | $293448.15    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140XJKB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    744370 | PA      | $685119.65    | 0.03%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651851 | PA      | $556522.12    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X6V24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1020464 | PA      | $1025968.53   | 0.05%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26759 | PA      | $28226.70     | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757555 | PA      | $624552.04    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3240071 | PA      | $2778231.35   | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140EV5H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453663 | PA      | $429528.04    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140NLSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615435 | PA      | $614858.38    | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140HMPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79980 | PA      | $81009.10     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138A2GV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1233 | PA      | $1202.83      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281935 | PA      | $263366.28    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J8TH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233475 | PA      | $225606.10    | 0.01%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1429622 | PA      | $1450601.80   | 0.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EH6R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24963 | PA      | $25610.51     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13978 | PA      | $14634.71     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2942296 | PA      | $2527830.76   | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715481 | PA      | $725695.57    | 0.04%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410CRD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16415 | PA      | $17209.03     | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140KLQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343954 | PA      | $307744.51    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4211227 | PA      | $3657987.72   | 0.18%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJGD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    725617 | PA      | $666242.69    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18423 | PA      | $19577.93     | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140MAYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    708289 | PA      | $575925.44    | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140XHHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2461262 | PA      | $2205372.98   | 0.11%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273986 | PA      | $260308.05    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                 | FANNIE MAE POOL                                                                 | CUSIP: 31407CB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3264 | PA      | $3296.40      | 0.00%             | 2035-07-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XFSL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3480582 | PA      | $2993136.40   | 0.15%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EPHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5281 | PA      | $5266.41      | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45 | PA      | $46.42        | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2053 | PA      | $1949.04      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140F5TN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77823 | PA      | $71165.43     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2215559 | PA      | $1823410.53   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98556 | PA      | $96620.60     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23597 | PA      | $24555.88     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446740 | PA      | $457782.79    | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321657 | PA      | $293142.69    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418ED98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1656430 | PA      | $1524580.90   | 0.08%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419AJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12155 | PA      | $12485.94     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138X2RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632298 | PA      | $585665.97    | 0.03%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3024 | PA      | $2856.59      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X4XA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528446 | PA      | $481621.11    | 0.02%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1369 | PA      | $1375.16      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FGML0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059486 | PA      | $965901.96    | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8UK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186586 | PA      | $186442.28    | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296980 | PA      | $298501.51    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JACW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1161 | PA      | $1122.97      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31405RLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41709 | PA      | $42620.92     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1651 | PA      | $1731.84      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WGA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433044 | PA      | $409732.50    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    964637 | PA      | $856432.42    | 0.04%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                 | FANNIE MAE POOL                                                                 | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1642 | PA      | $1677.81      | 0.00%             | 2037-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       242 | PA      | $252.34       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33756 | PA      | $35032.21     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776007 | PA      | $707232.42    | 0.04%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WGDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90227 | PA      | $85313.54     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XRP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1892202 | PA      | $1848341.42   | 0.09%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1838 | PA      | $1882.93      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238020 | PA      | $233222.76    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1171446 | PA      | $1100031.60   | 0.05%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58806 | PA      | $61224.24     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J6F28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41017 | PA      | $38490.77     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X9KW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348558 | PA      | $350263.61    | 0.02%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2135054 | PA      | $1834289.77   | 0.09%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5345833 | PA      | $4540767.89   | 0.23%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371NZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2235 | PA      | $2352.49      | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29292 | PA      | $28485.70     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XLG28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2215683 | PA      | $1821583.08   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138YNLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519327 | PA      | $492232.56    | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WGDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8527 | PA      | $8204.67      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107736 | PA      | $110544.13    | 0.01%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217582 | PA      | $205025.89    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WEKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104464 | PA      | $99003.31     | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56969 | PA      | $60083.21     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518896 | PA      | $489359.57    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213665 | PA      | $208353.02    | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371LWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22979 | PA      | $23893.49     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316122 | PA      | $316143.88    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404553 | PA      | $406862.72    | 0.02%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5282 | PA      | $5499.58      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53247 | PA      | $52459.71     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410LTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7925 | PA      | $7503.81      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138ERN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275669 | PA      | $260992.63    | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676695 | PA      | $637751.26    | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2067 | PA      | $1955.27      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417FU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642897 | PA      | $595494.86    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342878 | PA      | $339434.39    | 0.02%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       604 | PA      | $629.96       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140Q7UB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360924 | PA      | $351753.12    | 0.02%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140QPDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1471715 | PA      | $1384168.39   | 0.07%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199003 | PA      | $192610.23    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418D4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3567066 | PA      | $3291479.13   | 0.16%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752449 | PA      | $645207.49    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402330 | PA      | $382890.40    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353517 | PA      | $304884.31    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QCQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1564245 | PA      | $1404746.28   | 0.07%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495092 | PA      | $485164.50    | 0.02%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140K3B27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1807 | PA      | $1748.16      | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190765 | PA      | $183378.38    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417GP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9540 | PA      | $8836.48      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1833 | PA      | $1880.46      | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3638865 | PA      | $2974815.41   | 0.15%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10434 | PA      | $10140.17     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WAXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       344 | PA      | $344.42       | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JLY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35452 | PA      | $34136.41     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24216 | PA      | $24416.21     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539303 | PA      | $462115.34    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19527 | PA      | $19133.33     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140KQTJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23186 | PA      | $20819.92     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J6CR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82191 | PA      | $78210.19     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FE2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506366 | PA      | $487700.39    | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QQ3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1784685 | PA      | $1816444.57   | 0.09%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140XHCV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341667 | PA      | $336665.85    | 0.02%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X4D86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1203879 | PA      | $1140735.48   | 0.06%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138WD5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12590 | PA      | $12286.42     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JAAY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4147 | PA      | $3779.14      | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419GWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31236 | PA      | $31417.67     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31407D5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18790 | PA      | $19605.64     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21371 | PA      | $20723.65     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140XK6P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1278625 | PA      | $1205759.07   | 0.06%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138YGXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1461 | PA      | $1383.71      | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QWBA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3573320 | PA      | $3630386.64   | 0.18%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4303591 | PA      | $3515042.11   | 0.18%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2646482 | PA      | $2644350.83   | 0.13%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17682 | PA      | $17028.53     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13631 | PA      | $13831.11     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    812918 | PA      | $824240.02    | 0.04%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153525 | PA      | $151445.14    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371KHY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1877 | PA      | $1973.52      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54291 | PA      | $50287.81     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417YSE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201949 | PA      | $207444.18    | 0.01%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410KHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31815 | PA      | $33123.32     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57691 | PA      | $56522.01     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217318 | PA      | $215404.25    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417DQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348085 | PA      | $322492.39    | 0.02%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418AWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214727 | PA      | $207578.32    | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417DMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97158 | PA      | $90004.47     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XNZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1375877 | PA      | $1169160.70   | 0.06%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820104 | PA      | $749969.80    | 0.04%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7WZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349839 | PA      | $336034.53    | 0.02%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       667 | PA      | $666.43       | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402075 | PA      | $368427.41    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15672 | PA      | $15055.22     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1566 | PA      | $1646.51      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FMTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575896 | PA      | $539991.37    | 0.03%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WF2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533020 | PA      | $504656.73    | 0.03%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1040166 | PA      | $1065977.40   | 0.05%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140Y7D21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4071289 | PA      | $4132600.16   | 0.21%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604012 | PA      | $619091.53    | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99221 | PA      | $101919.84    | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1503084 | PA      | $1239194.24   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140W0MN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2028297 | PA      | $2091335.18   | 0.10%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1929368 | PA      | $1634299.23   | 0.08%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53948 | PA      | $54686.67     | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31386FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16 | PA      | $16.40        | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171778 | PA      | $155862.50    | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4739 | PA      | $4997.21      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X4TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223611 | PA      | $204133.67    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XPW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1408293 | PA      | $1158980.62   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    688195 | PA      | $665537.68    | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410GNK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142033 | PA      | $141661.25    | 0.01%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406681 | PA      | $1306043.66   | 0.07%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365735 | PA      | $362890.83    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417UHR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       584 | PA      | $602.95       | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359289 | PA      | $347460.27    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7125 | PA      | $7318.31      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJ5G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852698 | PA      | $803492.47    | 0.04%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J93L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57751 | PA      | $54721.78     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1238683 | PA      | $1271896.44   | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42366 | PA      | $41661.31     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2717706 | PA      | $2329520.83   | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410FX67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19868 | PA      | $20652.25     | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WH6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257317 | PA      | $234588.72    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J5SM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144468 | PA      | $139516.47    | 0.01%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55835 | PA      | $51058.93     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418TUV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       980 | PA      | $1007.04      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140W3RE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    975000 | PA      | $997558.57    | 0.05%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J9QZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693632 | PA      | $731107.98    | 0.04%             | 2048-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396572 | PA      | $367348.83    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5150416 | PA      | $5036927.48   | 0.25%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WGAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756012 | PA      | $716018.75    | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28861 | PA      | $26732.39     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4162744 | PA      | $3398269.80   | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J8E25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261279 | PA      | $258541.55    | 0.01%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5169 | PA      | $4711.13      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QNCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1542400 | PA      | $1268180.09   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96133 | PA      | $90988.48     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790863 | PA      | $766021.36    | 0.04%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1277543 | PA      | $1218944.74   | 0.06%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140EU4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1813 | PA      | $1712.43      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XKG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1463511 | PA      | $1522461.41   | 0.08%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411643 | PA      | $403083.53    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140F0GY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21321 | PA      | $19439.62     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410GJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26937 | PA      | $27604.23     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116011 | PA      | $115013.14    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36653 | PA      | $38149.77     | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22933 | PA      | $23800.63     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140EU6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5282 | PA      | $4781.36      | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410LS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163482 | PA      | $155920.06    | 0.01%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418BWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8444 | PA      | $8176.63      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138E2LR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195279 | PA      | $191141.09    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138ERN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63954 | PA      | $60731.93     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31413TK27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        76 | PA      | $79.80        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175303 | PA      | $180409.90    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140E0E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302378 | PA      | $286288.25    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418EDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1102903 | PA      | $988669.14    | 0.05%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J72R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442872 | PA      | $432431.26    | 0.02%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87988 | PA      | $90381.21     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31413HLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4098 | PA      | $4277.66      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410FYU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51710 | PA      | $53750.80     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XDGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327025 | PA      | $295638.10    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    881022 | PA      | $875432.10    | 0.04%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5238 | PA      | $5380.05      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J5UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125290 | PA      | $122156.00    | 0.01%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410GBE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15467 | PA      | $16103.32     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J7SA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103437 | PA      | $102469.11    | 0.01%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140X7A82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122860 | PA      | $119081.83    | 0.01%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8603 | PA      | $9072.91      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       342 | PA      | $361.05       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUNX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2325596 | PA      | $2418800.10   | 0.12%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31413EAD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       710 | PA      | $747.73       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410KGR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23448 | PA      | $24874.94     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418RGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5566 | PA      | $5717.55      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5354 | PA      | $5137.78      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16810 | PA      | $17706.39     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1420 | PA      | $1436.60      | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221396 | PA      | $208620.40    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ETGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80231 | PA      | $76328.58     | 0.00%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13647639 | PA      | $11177002.27  | 0.56%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8AN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263562 | PA      | $255255.16    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1045718 | PA      | $970344.70    | 0.05%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371M2R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1610 | PA      | $1696.67      | 0.00%             | 2036-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7MP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3869 | PA      | $3649.17      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419ARE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175 | PA      | $180.06       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                 | FANNIE MAE POOL                                                                 | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6570 | PA      | $6760.90      | 0.00%             | 2036-07-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJGP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93065 | PA      | $84815.62     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511541 | PA      | $481649.94    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1216753 | PA      | $1090728.54   | 0.05%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3472 | PA      | $3665.67      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29581 | PA      | $28981.31     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276434 | PA      | $256138.28    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WLAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166569 | PA      | $156852.74    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4375 | PA      | $4629.56      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XJ6F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092175 | PA      | $970653.65    | 0.05%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1716 | PA      | $1781.81      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERNB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403387 | PA      | $367755.43    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3655008 | PA      | $2989532.31   | 0.15%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5021 | PA      | $4743.45      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138YR3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106760 | PA      | $101156.84    | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1541891 | PA      | $1322127.77   | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QT2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520809 | PA      | $530049.18    | 0.03%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138A2BP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3134 | PA      | $3071.75      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJGK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332904 | PA      | $303500.91    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258605 | PA      | $245964.05    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140XCV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489008 | PA      | $452156.27    | 0.02%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1384 | PA      | $1438.61      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201579 | PA      | $184334.23    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FGMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149381 | PA      | $136601.94    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140NGTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610286 | PA      | $608837.65    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QRKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1721265 | PA      | $1789550.65   | 0.09%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8VP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267474 | PA      | $247760.79    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3880488 | PA      | $3699617.64   | 0.18%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3113960 | PA      | $3146495.17   | 0.16%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417DF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132503 | PA      | $122774.90    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140BE7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184939 | PA      | $193221.20    | 0.01%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QNDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2619169 | PA      | $2258842.85   | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EK2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53498 | PA      | $51852.84     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299585 | PA      | $307042.69    | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6226350 | PA      | $6374995.80   | 0.32%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140FXGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288794 | PA      | $286245.11    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       567 | PA      | $597.98       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19772 | PA      | $19931.91     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31400GV36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4015 | PA      | $4102.82      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JAP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    907953 | PA      | $865039.71    | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643406 | PA      | $652466.88    | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5597023 | PA      | $4581458.95   | 0.23%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XKXM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498298 | PA      | $427275.59    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31359MEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | NUSS              | US        |    342000 | PA      | $371244.58    | 0.02%             | 2029-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| FANNIE MAE                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | NUSS              | US        |    500000 | PA      | $565704.10    | 0.03%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| FEDEX CORP                               | FEDEX CORP                                                                      | CUSIP: 31428XDT0<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $5352867.00   | 0.27%             | 2047-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                  | FIDELITY NATIONAL FINANCIAL INC                                                 | CUSIP: 31620RAH8<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1617025.21   | 0.08%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                      | FIFTH THIRD BANCORP                                                             | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    460000 | PA      | $483462.76    | 0.02%             | 2029-07-27      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN EDISON CO 144A              | FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                            | CUSIP: 591894CC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2320000 | PA      | $2315557.20   | 0.12%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                 | FIRSTENERGY TRANSMISSION LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    610000 | PA      | $610723.46    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                               | FISERV INC                                                                      | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9923.87      | 0.00%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FISERV INC                               | FISERV INC                                                                      | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2151330.88   | 0.11%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FL ST DEV FIN CORP NOVA SE UNIV SER B    | FLORIDA DEVELOPMENT FINANCE CORP                                                | CUSIP: 34061UEQ7<br>LEI: 549300HC854CNBLMWC48 | Long             | DBT              | MUN               | US        |   1425000 | PA      | $1176763.43   | 0.06%             | 2050-04-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                 | FLORIDA POWER & LIGHT CO                                                        | CUSIP: 341081GU5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $3170011.68   | 0.16%             | 2034-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-2 B                           | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                      | CUSIP: 34528QJW5<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $259907.44    | 0.01%             | 2030-09-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-2 A1                          | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                      | CUSIP: 34528QJU9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   1330000 | PA      | $1330179.42   | 0.07%             | 2030-09-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                 | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397D67<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    635000 | PA      | $680993.05    | 0.03%             | 2033-11-07      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                 | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1438458.35   | 0.07%             | 2026-11-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS 144A            | FORTITUDE GROUP HOLDINGS LLC                                                    | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2593372.50   | 0.13%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FCBSL 2023-2A A1R 144A                   | FORTRESS CREDIT BSL XIX LTD                                                     | CUSIP: 34966BAN6<br>LEI: 2549008HR79TDG6LYY87 | Long             | ABS-CBDO         | CORP              | JE        |   5035000 | PA      | $5044047.14   | 0.25%             | 2036-07-24      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A               | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    765000 | PA      | $805076.06    | 0.04%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A               | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    885000 | PA      | $943587.89    | 0.05%             | 2032-01-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1614001 | PA      | $1472646.52   | 0.07%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8MA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33949 | PA      | $35294.73     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3696 | PA      | $3704.43      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5869 | PA      | $6194.08      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                          | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40990 | PA      | $39908.67     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       705 | PA      | $736.99       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11030 | PA      | $10766.18     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14473 | PA      | $14873.48     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5225 | PA      | $5446.24      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88409 | PA      | $90919.36     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292KG76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6225 | PA      | $6412.18      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    716959 | PA      | $683250.12    | 0.03%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67991 | PA      | $65188.43     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6106 | PA      | $6444.96      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       457 | PA      | $459.64       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HGC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       227 | PA      | $237.77       | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23926 | PA      | $24113.24     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                          | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132KE4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148058 | PA      | $143908.49    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259158 | PA      | $240325.65    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1943 | PA      | $1896.36      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312939WT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34569 | PA      | $35550.14     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128KWBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       560 | PA      | $589.18       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    624948 | PA      | $592818.85    | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132JMS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463305 | PA      | $429639.15    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       681 | PA      | $713.90       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1419 | PA      | $1432.86      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       868 | PA      | $907.89       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32333 | PA      | $32506.66     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15260 | PA      | $15855.88     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HWN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1273 | PA      | $1327.00      | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                          | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90143 | PA      | $87653.71     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14985 | PA      | $15410.69     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2281 | PA      | $2346.02      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128KWH55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       274 | PA      | $288.85       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206294 | PA      | $202392.58    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940JV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71242 | PA      | $73265.06     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292GXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2180 | PA      | $2256.03      | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32865 | PA      | $33101.11     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68439 | PA      | $69085.55     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       389 | PA      | $381.78       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4415 | PA      | $4456.96      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31298SV27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1292 | PA      | $1337.00      | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39534 | PA      | $36661.17     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5098 | PA      | $5365.16      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5166 | PA      | $5201.89      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       796 | PA      | $780.92       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31297DL97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8985 | PA      | $9201.73      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HL93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2205 | PA      | $2295.78      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132JA6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342763 | PA      | $326438.92    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943DQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61235 | PA      | $61650.75     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HS97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2684 | PA      | $2814.12      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       580 | PA      | $594.95       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLM GOLD                                | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4332 | PA      | $4226.86      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204821 | PA      | $198663.51    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29212 | PA      | $29422.14     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1573 | PA      | $1635.32      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50846 | PA      | $51211.68     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7329 | PA      | $7191.60      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4101 | PA      | $4033.54      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HLZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1114 | PA      | $1157.35      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22534 | PA      | $23173.62     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K2DR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9497 | PA      | $9959.73      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1333 | PA      | $1286.78      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195340 | PA      | $191645.40    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJTL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24439 | PA      | $23265.26     | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128KXSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7289 | PA      | $7640.70      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128KU6L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13003 | PA      | $13728.96     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHMS K753 A2                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6065000 | PA      | $6152089.15   | 0.31%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHMS K-156 A2                            | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | CUSIP: 3137HA2B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3725000 | PA      | $3761428.64   | 0.19%             | 2033-02-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHMS K-150 A2                            | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4545000 | PA      | $4403502.79   | 0.22%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHMS K068 A1                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | CUSIP: 3137FBBW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152327 | PA      | $151134.64    | 0.01%             | 2027-02-25      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHMS K137 A2                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | CUSIP: 3137H5DP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10520000 | PA      | $9512378.62   | 0.47%             | 2031-11-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJ2R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14288 | PA      | $14643.51     | 0.00%             | 2037-04-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2699 | PA      | $2770.33      | 0.00%             | 2037-02-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7648 | PA      | $7856.10      | 0.00%             | 2036-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9796 | PA      | $10081.22     | 0.00%             | 2036-11-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NC3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4196 | PA      | $4289.60      | 0.00%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JM6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2858 | PA      | $2911.19      | 0.00%             | 2035-02-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40096 | PA      | $40040.55     | 0.00%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2491638 | PA      | $2158138.08   | 0.11%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132A4LW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320887 | PA      | $329616.54    | 0.02%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DULH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1310357 | PA      | $1361206.03   | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1646098 | PA      | $1404243.37   | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DS3J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1082543 | PA      | $1118831.38   | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3463140 | PA      | $3070455.72   | 0.15%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166344 | PA      | $163744.43    | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KH3Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145884 | PA      | $143726.91    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9637190 | PA      | $8186782.70   | 0.41%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133AMGK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    764210 | PA      | $663396.70    | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3402722 | PA      | $2932592.33   | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1853276 | PA      | $1666413.83   | 0.08%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DUL96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4018377 | PA      | $3708537.60   | 0.19%             | 2054-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1122491 | PA      | $1122164.99   | 0.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132CWL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1466221 | PA      | $1419515.49   | 0.07%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    492208 | PA      | $492014.27    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DQ6R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    662876 | PA      | $542371.43    | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133CWHZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817603 | PA      | $840838.37    | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DUJN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3360457 | PA      | $3428210.70   | 0.17%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    571415 | PA      | $466957.01    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3133GEL97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438563 | PA      | $404682.25    | 0.02%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KNGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4095931 | PA      | $3367745.56   | 0.17%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3693120 | PA      | $3150803.66   | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325320 | PA      | $268203.65    | 0.01%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133AQFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1237663 | PA      | $1056398.66   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    993796 | PA      | $810246.95    | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DULT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2796048 | PA      | $2842911.19   | 0.14%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2494183 | PA      | $2441803.52   | 0.12%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DTTP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    979444 | PA      | $1017205.12   | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DMCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245694 | PA      | $224292.87    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DQLW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469324 | PA      | $470167.85    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KHKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482712 | PA      | $466309.17    | 0.02%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWLN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    864055 | PA      | $895283.12    | 0.04%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KHDK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427197 | PA      | $411527.18    | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132A8HM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8960 | PA      | $8869.90      | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DMRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000842 | PA      | $902982.36    | 0.05%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132CXBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405065 | PA      | $398949.99    | 0.02%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31426PDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2192148 | PA      | $2245544.71   | 0.11%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DSQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709635 | PA      | $722224.25    | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31425VMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89449 | PA      | $92229.15     | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1335915 | PA      | $1141362.97   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2276533 | PA      | $1859663.71   | 0.09%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133ASJB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433081 | PA      | $371351.76    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132CWAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382646 | PA      | $378012.30    | 0.02%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1105257 | PA      | $1104936.03   | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31427MJ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1833525 | PA      | $1858313.98   | 0.09%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11479477 | PA      | $9356008.18   | 0.47%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DTZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2450912 | PA      | $2490633.87   | 0.12%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31426NU81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2763401 | PA      | $2751636.91   | 0.14%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DVE92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1410560 | PA      | $1446210.95   | 0.07%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    554327 | PA      | $561668.04    | 0.03%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1512940 | PA      | $1361392.91   | 0.07%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KN4U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    746382 | PA      | $639039.48    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2778549 | PA      | $2264937.64   | 0.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    764006 | PA      | $745563.81    | 0.04%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DUCT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    675630 | PA      | $673230.42    | 0.03%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31426LK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546457 | PA      | $560167.61    | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133CWPC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    522873 | PA      | $543982.95    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KNJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1919626 | PA      | $1775747.54   | 0.09%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133CTLV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    818416 | PA      | $830353.47    | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3411498 | PA      | $2791067.99   | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132E0A77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2123846 | PA      | $2165079.82   | 0.11%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    944196 | PA      | $838449.50    | 0.04%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DNJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1337148 | PA      | $1198793.84   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3142GS4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496015 | PA      | $505820.65    | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1364227 | PA      | $1312919.04   | 0.07%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1825321 | PA      | $1555704.82   | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5581787 | PA      | $5711124.46   | 0.29%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DVCA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669485 | PA      | $695692.39    | 0.03%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DSBZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    670107 | PA      | $637946.28    | 0.03%             | 2054-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    839985 | PA      | $686609.12    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STACR 2021-DNA7 M1 144A                  | FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                         | CUSIP: 35564KMA4<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |    357303 | PA      | $357081.47    | 0.02%             | 2041-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| STACR 2024-HQA2 A1 144A                  | FREDDIE MAC STACR REMIC TRUST 2024-HQA2                                         | CUSIP: 35564NDY6<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | USGSE             | US        |   1248000 | PA      | $1254626.87   | 0.06%             | 2044-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| STACR 2025-DNA3 M1 144A                  | FREDDIE MAC STACR REMIC TRUST 2025-DNA3                                         | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |   2288481 | PA      | $2289855.03   | 0.11%             | 2045-09-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| STACR 2025-HQA1 A1 144A                  | FREDDIE MAC STACR REMIC TRUST 2025-HQA1                                         | CUSIP: 35564NGY3<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | USGSE             | US        |    732062 | PA      | $732750.64    | 0.04%             | 2045-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                     | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    274000 | PA      | $265924.12    | 0.01%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GFMT 2018-1 A23 144A                     | GALTON FUNDING MORTGAGE TRUST 2017-1                                            | CUSIP: 36417JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32181 | PA      | $29384.63     | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GATX CORP                                | GATX CORP                                                                       | CUSIP: 361448BM4<br>LEI: 549300IHYHCQP2PIR591 | Long             | DBT              | CORP              | US        |   1785000 | PA      | $1905209.04   | 0.10%             | 2034-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM4 A1 144A                   | GCAT 2025-NQM4 TRUST                                                            | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2706856 | PA      | $2730374.25   | 0.14%             | 2070-06-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                   | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XEU6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    600000 | PA      | $622255.80    | 0.03%             | 2029-07-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY                    | GEORGETOWN UNIVERSITY/THE                                                       | CUSIP: 37310PAC5<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1258440.50   | 0.06%             | 2049-04-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: —       |
| GEORGIA POWER CO                         | GEORGIA POWER CO                                                                | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    895000 | PA      | $915219.84    | 0.05%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA NOV                          | GINNIE MAE                                                                      | CUSIP: 21H0406B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2285000 | PA      | $2160771.13   | 0.11%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA NOV                          | GINNIE MAE                                                                      | CUSIP: 21H0426B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015000 | PA      | $990468.73    | 0.05%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA NOV                          | GINNIE MAE                                                                      | CUSIP: 21H0526B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7900000 | PA      | $7965148.61   | 0.40%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA NOV                          | GINNIE MAE                                                                      | CUSIP: 21H0606B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780000 | PA      | $793807.30    | 0.04%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA NOV                          | GINNIE MAE                                                                      | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5485000 | PA      | $5467684.95   | 0.27%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210BUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       110 | PA      | $110.33       | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36209E6V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       176 | PA      | $181.68       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 36241KAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       475 | PA      | $473.18       | 0.00%             | 2034-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       447 | PA      | $471.75       | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 3620AVCW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3526 | PA      | $3523.09      | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210RW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       220 | PA      | $222.71       | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269325 | PA      | $253073.86    | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55326 | PA      | $56699.97     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36184BZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34074 | PA      | $31973.33     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210RKR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        43 | PA      | $44.59        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36209RZR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       168 | PA      | $171.01       | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 36225BZP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2333 | PA      | $2437.15      | 0.00%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36213CU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       819 | PA      | $817.71       | 0.00%             | 2035-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4214 | PA      | $3872.02      | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210VKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        46 | PA      | $46.03        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 15 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 3620A56A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36321 | PA      | $36511.49     | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 36225BEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        43 | PA      | $43.83        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36211D2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       262 | PA      | $270.44       | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210BBB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       226 | PA      | $234.73       | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61945 | PA      | $60169.67     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36178NGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122436 | PA      | $112552.16    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36211BKC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        94 | PA      | $97.24        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36200X6E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21594 | PA      | $21917.18     | 0.00%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210JVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        61 | PA      | $63.82        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72298 | PA      | $69743.67     | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN I                     | GINNIE MAE I POOL                                                               | CUSIP: 36206UPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10 | PA      | $10.53        | 0.00%             | 2026-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36209BFA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        38 | PA      | $39.36        | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN I                     | GINNIE MAE I POOL                                                               | CUSIP: 36208QJG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       124 | PA      | $125.21       | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6642 | PA      | $6939.24      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189964 | PA      | $196043.63    | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1581015 | PA      | $1516656.40   | 0.08%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202E4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3433 | PA      | $3528.44      | 0.00%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103753 | PA      | $98160.18     | 0.00%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2447920 | PA      | $2406337.55   | 0.12%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309338 | PA      | $313946.32    | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73486 | PA      | $68645.30     | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    659056 | PA      | $676103.88    | 0.03%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65527 | PA      | $67624.75     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       883 | PA      | $904.30       | 0.00%             | 2036-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179MLA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1358 | PA      | $1395.97      | 0.00%             | 2042-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    762623 | PA      | $710638.04    | 0.04%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111418 | PA      | $102678.84    | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179QPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3403 | PA      | $3123.96      | 0.00%             | 2044-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336504 | PA      | $314512.36    | 0.02%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106159 | PA      | $108086.38    | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28551 | PA      | $26270.61     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13881 | PA      | $14268.51     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8871 | PA      | $9100.27      | 0.00%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29993 | PA      | $27597.80     | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2537598 | PA      | $2315776.82   | 0.12%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       522 | PA      | $538.32       | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685165 | PA      | $659257.01    | 0.03%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570693 | PA      | $585826.89    | 0.03%             | 2052-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91686 | PA      | $84526.63     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       373 | PA      | $386.98       | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1171062 | PA      | $1066426.07   | 0.05%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2024167 | PA      | $1753420.21   | 0.09%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179971 | PA      | $184740.21    | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161098 | PA      | $143614.86    | 0.01%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4812998 | PA      | $4004684.84   | 0.20%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1069797 | PA      | $890131.33    | 0.04%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202ED48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       382 | PA      | $390.33       | 0.00%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53079 | PA      | $54389.24     | 0.00%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202D7H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8774 | PA      | $9062.57      | 0.00%             | 2034-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342799 | PA      | $349026.94    | 0.02%             | 2048-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    475363 | PA      | $457386.71    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       634 | PA      | $579.08       | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248113 | PA      | $251096.01    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40266 | PA      | $38353.18     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       762 | PA      | $783.54       | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76631 | PA      | $68315.23     | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99057 | PA      | $92306.13     | 0.00%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       480 | PA      | $496.81       | 0.00%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688580 | PA      | $641929.76    | 0.03%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228136 | PA      | $230143.31    | 0.01%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91746 | PA      | $88305.41     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207621 | PA      | $211901.56    | 0.01%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2448269 | PA      | $2335148.15   | 0.12%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263075 | PA      | $268497.81    | 0.01%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1323 | PA      | $1234.83      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2437322 | PA      | $2192037.79   | 0.11%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WSZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139097 | PA      | $125644.90    | 0.01%             | 2036-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45524 | PA      | $46462.26     | 0.00%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25765 | PA      | $26485.20     | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92182 | PA      | $92021.67     | 0.00%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2841771 | PA      | $2793497.41   | 0.14%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14611 | PA      | $14741.38     | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36180AAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742615 | PA      | $749831.48    | 0.04%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323949 | PA      | $306521.28    | 0.02%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       385 | PA      | $394.48       | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1662217 | PA      | $1665507.63   | 0.08%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    812784 | PA      | $742014.29    | 0.04%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    663472 | PA      | $650660.14    | 0.03%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4256 | PA      | $3945.01      | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    854170 | PA      | $739657.67    | 0.04%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       769 | PA      | $701.52       | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190065 | PA      | $191718.05    | 0.01%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3415 | PA      | $3405.18      | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TSK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217479 | PA      | $222048.18    | 0.01%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    802385 | PA      | $769078.13    | 0.04%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3617G85D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21538 | PA      | $21548.25     | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179VKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151943 | PA      | $134887.45    | 0.01%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2892 | PA      | $2888.41      | 0.00%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207933 | PA      | $197367.29    | 0.01%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179RVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1985 | PA      | $1979.11      | 0.00%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187127 | PA      | $170698.14    | 0.01%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3525381 | PA      | $2933314.80   | 0.15%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128011 | PA      | $124597.00    | 0.01%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202DVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       564 | PA      | $575.41       | 0.00%             | 2033-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    402254 | PA      | $383055.93    | 0.02%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2948 | PA      | $3019.49      | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1735715 | PA      | $1503014.86   | 0.08%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202ECN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2871 | PA      | $2932.35      | 0.00%             | 2035-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3617G9FT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72700 | PA      | $72876.64     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE II POOL                                                              | CUSIP: 36202D3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68005 | PA      | $70128.27     | 0.00%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       320 | PA      | $330.05       | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28643 | PA      | $26575.85     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61892 | PA      | $62405.05     | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80719 | PA      | $77876.88     | 0.00%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364730 | PA      | $374266.61    | 0.02%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13273631 | PA      | $11494140.60  | 0.57%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28535 | PA      | $29379.01     | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33285 | PA      | $33970.66     | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2341 | PA      | $2394.64      | 0.00%             | 2035-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16140 | PA      | $16280.33     | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18050 | PA      | $17143.62     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2252401 | PA      | $1874123.98   | 0.09%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3622AACK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406193 | PA      | $377224.50    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179VDC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216320 | PA      | $191703.71    | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       392 | PA      | $400.07       | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN II                    | GINNIE MAE II POOL                                                              | CUSIP: 36202CQB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        20 | PA      | $19.92        | 0.00%             | 2026-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3810402 | PA      | $3521075.15   | 0.18%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231415 | PA      | $204577.26    | 0.01%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WG69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    436971 | PA      | $418844.23    | 0.02%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230710 | PA      | $222631.01    | 0.01%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    931231 | PA      | $806401.77    | 0.04%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52062 | PA      | $50501.71     | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4416864 | PA      | $3675078.68   | 0.18%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    567556 | PA      | $531089.70    | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1510 | PA      | $1469.28      | 0.00%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1647073 | PA      | $1370457.47   | 0.07%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1698046 | PA      | $1526465.48   | 0.08%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115216 | PA      | $117003.03    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476774 | PA      | $423250.51    | 0.02%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179RJG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139510 | PA      | $139124.08    | 0.01%             | 2045-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218829 | PA      | $223340.28    | 0.01%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17395 | PA      | $17824.54     | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141969 | PA      | $132558.33    | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179VQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322858 | PA      | $286615.98    | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104713 | PA      | $95492.75     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    761837 | PA      | $633890.79    | 0.03%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144664 | PA      | $135195.04    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5059 | PA      | $5232.93      | 0.00%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31325 | PA      | $29074.59     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2949 | PA      | $2957.26      | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139951 | PA      | $142149.55    | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1028888 | PA      | $856092.46    | 0.04%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2129 | PA      | $2175.04      | 0.00%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51013 | PA      | $48080.84     | 0.00%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EHE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4111 | PA      | $4210.83      | 0.00%             | 2036-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36178WP45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2732 | PA      | $2514.28      | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1725851 | PA      | $1613420.77   | 0.08%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1968558 | PA      | $1877195.51   | 0.09%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58136 | PA      | $54607.75     | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163055 | PA      | $148800.41    | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176368 | PA      | $180972.48    | 0.01%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218796 | PA      | $224999.93    | 0.01%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1303478 | PA      | $1299036.56   | 0.06%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1024406 | PA      | $887073.44    | 0.04%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736411 | PA      | $637688.67    | 0.03%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2051 | PA      | $2045.56      | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    438993 | PA      | $424019.58    | 0.02%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2054034 | PA      | $2060007.49   | 0.10%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1941470 | PA      | $1903079.74   | 0.09%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179W3Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317586 | PA      | $286868.09    | 0.01%             | 2037-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45936 | PA      | $42351.69     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126803 | PA      | $118403.07    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    922366 | PA      | $799877.60    | 0.04%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192907 | PA      | $174259.37    | 0.01%             | 2037-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82073 | PA      | $84293.48     | 0.00%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3983186 | PA      | $3581658.50   | 0.18%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3622AAC28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    607539 | PA      | $560118.68    | 0.03%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191136 | PA      | $190843.47    | 0.01%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                  | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GC51<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2645000 | PA      | $2736926.98   | 0.14%             | 2056-01-28      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRP INC                    | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    455000 | PA      | $510500.90    | 0.03%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                  | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1249640.63   | 0.06%             | 2030-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| GNR 2018-8 DA                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29971 | PA      | $28167.52     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-184 JH                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36607 | PA      | $33774.46     | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-63 LM                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015000 | PA      | $866844.10    | 0.04%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRAND PKWY TRANSPRTN SUB TXBL TELA SR B  | GRAND PARKWAY TRANSPORTATION CORP                                               | CUSIP: 38611TDL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     15000 | PA      | $10728.80     | 0.00%             | 2052-10-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| GSMBS 2020-INV1 A14 144A                 | GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1                                   | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924246 | PA      | $805538.17    | 0.04%             | 2050-10-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-NQM3 A1 144A                  | GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM3                                   | CUSIP: 36274TAA7<br>LEI: 2549007JKCA9H9HUGZ71 | Long             | ABS-MBS          | CORP              | US        |   1597387 | PA      | $1597437.97   | 0.08%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                 | HACKENSACK MERIDIAN HEALTH INC                                                  | CUSIP: 404530AB3<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1417024.56   | 0.07%             | 2048-07-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| HLSY 2022-6A A1R 144A                    | HALSEYPOINT CLO 6 LTD                                                           | CUSIP: 40639GAN9<br>LEI: 5493001PG85K1980W896 | Long             | ABS-CBDO         | CORP              | KY        |   1710000 | PA      | $1714954.62   | 0.09%             | 2038-01-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| HNGRY 2024-1A A2 144A                    | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    953559 | PA      | $985772.30    | 0.05%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                  | HCA INC                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    890000 | PA      | $911598.52    | 0.05%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                  | HCA INC                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1682582.43   | 0.08%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP 144A            | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                              | CUSIP: 42218SAL2<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1122143.96   | 0.06%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                 | HEALTHCARE REALTY HOLDINGS LP                                                   | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    605000 | PA      | $594141.46    | 0.03%             | 2028-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES                    | HEALTHPEAK OP LLC                                                               | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    710000 | PA      | $667549.81    | 0.03%             | 2028-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES                    | HEALTHPEAK OP LLC                                                               | CUSIP: 42250PAB9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    420000 | PA      | $387233.70    | 0.02%             | 2031-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORP                         | HF SINCLAIR CORP                                                                | CUSIP: 403949AR1<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |    814000 | PA      | $841204.69    | 0.04%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HLM 5A-2015 A1R3 144A                    | HIGHBRIDGE LOAN MANAGEMENT 5-2015 LTD                                           | CUSIP: 44331DAQ2<br>LEI: 54930067MZ9NV8B3SZ80 | Long             | ABS-CBDO         | CORP              | KY        |    122182 | PA      | $122160.78    | 0.01%             | 2030-10-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| HGVT 2025-2A A 144A                      | HILTON GRAND VACATIONS TRUST 2025-2                                             | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    698938 | PA      | $700770.37    | 0.03%             | 2044-05-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                           | HOME DEPOT INC/THE                                                              | CUSIP: 437076AS1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3246693.00   | 0.16%             | 2036-12-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM4 A1 144A                  | HOMES 2025-NQM4 TRUST                                                           | CUSIP: 403958AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2842959 | PA      | $2851274.55   | 0.14%             | 2070-08-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA                            | HSBC BANK USA NA                                                                | CUSIP: 4042Q1AA5<br>LEI: 1IE8VN30JCEQV1H4R804 | Long             | DBT              | CORP              | US        |    550000 | PA      | $589762.25    | 0.03%             | 2034-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                        | HSBC HOLDINGS PLC                                                               | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1725000 | PA      | $1904224.05   | 0.10%             | 2044-03-09      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                        | HSBC HOLDINGS PLC                                                               | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3345000 | PA      | $3210842.09   | 0.16%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HY 2025-SPRL A 144A                      | HUDSON YARDS 2025-SPRL MORTGAGE TRUST                                           | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555000 | PA      | $2645163.91   | 0.13%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                               | HUMANA INC                                                                      | CUSIP: 444859BY7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    835000 | PA      | $879770.20    | 0.04%             | 2034-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                               | HUMANA INC                                                                      | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    785000 | PA      | $808480.92    | 0.04%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HACLN 2024-1 B1 144A                     | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121114 | PA      | $122955.34    | 0.01%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HACLN 2025-1 B1 144A                     | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2025-1                          | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1115940 | PA      | $1122172.88   | 0.06%             | 2033-03-21      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A             | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACB1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    820000 | PA      | $823598.16    | 0.04%             | 2026-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A             | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ADV6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1976360.10   | 0.10%             | 2028-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A             | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1501534.94   | 0.07%             | 2026-01-08      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A             | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    500000 | PA      | $513135.00    | 0.03%             | 2029-03-19      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                      | ICE_CDX IG CDSI S44 5Y 06/20/2030 BARC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $287414.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | ICE_CDX IG CDSI S45 5Y 12/20/2030 BARC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $999239.50    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                 | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    300000 | PA      | $313333.80    | 0.02%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| IL TOLL HWY BUILD AMER TXBL              | ILLINOIS STATE TOLL HIGHWAY AUTHORITY                                           | CUSIP: 452252FH7<br>LEI: 549300ISBFGI8MJJKM98 | Long             | DBT              | MUN               | US        |    315000 | PA      | $338099.83    | 0.02%             | 2034-01-01      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| INDIANA UNIV HEALTH INC                  | INDIANA UNIVERSITY HEALTH INC OBLIGATED GROUP                                   | CUSIP: 455170AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1030000 | PA      | $842146.54    | 0.04%             | 2048-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                             | ING GROEP NV                                                                    | CUSIP: 456837BM4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1655000 | PA      | $1722507.45   | 0.09%             | 2035-03-19      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                             | ING GROEP NV                                                                    | CUSIP: 456837BH5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    740000 | PA      | $798294.98    | 0.04%             | 2034-09-11      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                       | INGERSOLL RAND INC                                                              | CUSIP: 45687VAD8<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |   3131000 | PA      | $3231883.95   | 0.16%             | 2029-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                 | INTERCONTINENTAL EXCHANGE INC                                                   | CUSIP: 45866FBA1<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1654072.72   | 0.08%             | 2031-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                 | INTERCONTINENTAL EXCHANGE INC                                                   | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1472754.75   | 0.07%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| INVCO 2023-1A AR 144A                    | INVESCO US CLO 2023-1 LTD                                                       | CUSIP: 46146GAQ5<br>LEI: 54930008KXQ75MGXPQ71 | Long             | ABS-CBDO         | CORP              | JE        |    730000 | PA      | $733199.66    | 0.04%             | 2037-04-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                | IQVIA INC                                                                       | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    735000 | PA      | $772297.58    | 0.04%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMCC 2016-NINE A 144A                   | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-NINE                | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1215000 | PA      | $1195441.54   | 0.06%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| JPMMT 2023-DSC2 A1 144A                  | J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                            | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498196 | PA      | $501555.57    | 0.03%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL 144A            | JACKSON NATIONAL LIFE GLOBAL FUNDING                                            | CUSIP: 46849CJP7<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   2970000 | PA      | $2995877.61   | 0.15%             | 2028-06-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL 144A            | JACKSON NATIONAL LIFE GLOBAL FUNDING                                            | CUSIP: 46849LVC2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   3620000 | PA      | $3646588.90   | 0.18%             | 2027-01-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JTWN 2020-15A A1R 144A                   | JAMESTOWN CLO XV LTD                                                            | CUSIP: 47050EAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1315000 | PA      | $1316088.46   | 0.07%             | 2035-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV 144A                       | JDE PEET'S NV                                                                   | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |   1245000 | PA      | $1200025.62   | 0.06%             | 2027-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JMIKE 2021-1A A2I 144A                   | JERSEY MIKE'S FUNDING                                                           | CUSIP: 476681AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49375 | PA      | $48275.91     | 0.00%             | 2052-02-15      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                  | JOHN DEERE CAPITAL CORP                                                         | CUSIP: 24422EXF1<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1852339.04   | 0.09%             | 2027-01-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                  | JOHN DEERE CAPITAL CORP                                                         | CUSIP: 24422EXX2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2546262.84   | 0.13%             | 2031-09-08      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| JPMMT 2019-HYB1 B4 144A                  | JP MORGAN MORTGAGE TRUST 2019-HYB1                                              | CUSIP: 46651FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090583 | PA      | $1094948.51   | 0.05%             | 2049-10-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-DSC2 A1 144A                  | JP MORGAN MORTGAGE TRUST 2025-DSC2                                              | CUSIP: 46659VAA6<br>LEI: 529900SXYOW2J5ABY729 | Long             | ABS-MBS          | CORP              | US        |   1476144 | PA      | $1481309.29   | 0.07%             | 2065-10-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-NMQ3 A1 144A                  | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM3                                       | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4341437 | PA      | $4369028.07   | 0.22%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46625HRV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    980000 | PA      | $971501.44    | 0.05%             | 2026-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3170000 | PA      | $3261159.69   | 0.16%             | 2029-07-24      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PAJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4905000 | PA      | $4417212.47   | 0.22%             | 2038-07-24      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1156281.18   | 0.06%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1362215.08   | 0.07%             | 2036-07-23      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    990000 | PA      | $986304.33    | 0.05%             | 2028-02-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| DR PEPPER SNAPPLE GROUP                  | KEURIG DR PEPPER INC                                                            | CUSIP: 26138EAU3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    450000 | PA      | $443672.10    | 0.02%             | 2026-09-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                        | KINDER MORGAN INC                                                               | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1845838.80   | 0.09%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KKR 2022-43A A1R 144A                    | KKR CLO 43 LTD                                                                  | CUSIP: 48255UAJ3<br>LEI: 25490088LQLWORRKOM10 | Long             | ABS-CBDO         | CORP              | JE        |   1080000 | PA      | $1083068.36   | 0.05%             | 2036-01-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                        | L3HARRIS TECHNOLOGIES INC                                                       | CUSIP: 502431AS8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1334884.20   | 0.07%             | 2029-06-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC 144A            | LIBERTY MUTUAL GROUP INC                                                        | CUSIP: 53079EBF0<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1228914.66   | 0.06%             | 2044-08-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                     | LOCKHEED MARTIN CORP                                                            | CUSIP: 539830BB4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    184000 | PA      | $159528.37    | 0.01%             | 2042-12-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                           | LOWE'S COS INC                                                                  | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1511045.55   | 0.08%             | 2062-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                           | LOWE'S COS INC                                                                  | CUSIP: 548661EV5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2370000 | PA      | $2355260.97   | 0.12%             | 2031-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                         | LPL HOLDINGS INC                                                                | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3769844.90   | 0.19%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MAD 2025-11MD A 144A                     | MAD COMMERCIAL MORTGAGE TRUST 2025-11MD                                         | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1960000 | PA      | $1957363.02   | 0.10%             | 2042-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MDPK 2019-33A AR 144A                    | MADISON PARK FUNDING XXXIII LTD                                                 | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1233221 | PA      | $1233352.34   | 0.06%             | 2032-10-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| MANUF & TRADERS TRUST CO                 | MANUFACTURERS & TRADERS TRUST CO                                                | CUSIP: 564760CC8<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1467047.40   | 0.07%             | 2028-07-06      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                  | MARATHON PETROLEUM CORP                                                         | CUSIP: 56585ABK7<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   1955000 | PA      | $2008780.10   | 0.10%             | 2030-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MARS INC 144A                            | MARS INC                                                                        | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2145088.08   | 0.11%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MD ECON DEV SEAGIRT MARINE PRJ SER B     | MARYLAND ECONOMIC DEVELOPMENT CORP                                              | CUSIP: 57420NDK4<br>LEI: 549300JJ16DDBSZWSN94 | Long             | DBT              | MUN               | US        |   2045000 | PA      | $1753214.29   | 0.09%             | 2042-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN 144A            | MASSMUTUAL GLOBAL FUNDING II                                                    | CUSIP: 57629W4S6<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |   2940000 | PA      | $2983556.10   | 0.15%             | 2027-04-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MEDSTAR HEALTH INC                       | MEDSTAR HEALTH INC                                                              | CUSIP: 58506YAS1<br>LEI: 549300ICFOCGDEPVJE31 | Long             | DBT              | CORP              | US        |    920000 | PA      | $679180.80    | 0.03%             | 2049-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN-KETTERING                 | MEMORIAL SLOAN-KETTERING CANCER CENTER                                          | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |    600000 | PA      | $506097.00    | 0.03%             | 2055-07-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA 144A                | MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                         | CUSIP: 58769JAF4<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1934850.09   | 0.10%             | 2026-03-30      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                       | META PLATFORMS INC                                                              | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1825000 | PA      | $1809903.60   | 0.09%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MST 2018-1A A 144A                       | METLIFE SECURITIZATION TRUST 2018-1                                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575390 | PA      | $562047.37    | 0.03%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MET TRANS AUTH NY DED TX BLD AMER        | METROPOLITAN TRANSPORTATION AUTHORITY                                           | CUSIP: 59259NZH9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    125000 | PA      | $148679.15    | 0.01%             | 2039-11-15      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL WTR REC BLD AMERICA           | METROPOLITAN WATER RECLAMATION DISTRICT OF GREATER CHICAGO                      | CUSIP: 167560PL9<br>LEI: 254900GOGQEZEWCZ4D37 | Long             | DBT              | MUN               | US        |    480000 | PA      | $504942.91    | 0.03%             | 2038-12-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                    | MEXICO GOVERNMENT INTERNATIONAL BOND                                            | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5154000 | PA      | $4619530.20   | 0.23%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| MHC 2021-MHC B 144A                      | MHC COMMERCIAL MORTGAGE TRUST 2021-MHC                                          | CUSIP: 55316VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3180000 | PA      | $3179006.25   | 0.16%             | 2038-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE 144A             | MID-ATLANTIC INTERSTATE TRANSMISSION LLC                                        | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1765000 | PA      | $1764158.10   | 0.09%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                   | MONDELEZ INTERNATIONAL INC                                                      | CUSIP: 609207BC8<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3874309.00   | 0.19%             | 2029-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                           | MORGAN STANLEY                                                                  | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1987572.00   | 0.10%             | 2026-07-27      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                           | MORGAN STANLEY                                                                  | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    830000 | PA      | $650766.48    | 0.03%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                           | MORGAN STANLEY                                                                  | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2975000 | PA      | $3097578.93   | 0.15%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                           | MORGAN STANLEY                                                                  | CUSIP: 61746BCY0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    175000 | PA      | $177825.03    | 0.01%             | 2026-08-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MSBAM 2015-C27 AS                        | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C27                     | CUSIP: 61690AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1143113 | PA      | $1133122.09   | 0.06%             | 2047-12-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| MSBAM 2025-C35 A5                        | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2025-C35                     | CUSIP: 61779CAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1701405.92   | 0.08%             | 2058-08-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                  | MORGAN STANLEY PRIVATE BANK NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   3785000 | PA      | $3846824.19   | 0.19%             | 2031-07-18      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-DSC2 A1 144A                   | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2                        | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373715 | PA      | $376004.28    | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM5 A1 144A                   | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5                        | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351261 | PA      | $353078.70    | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                   | MOTOROLA SOLUTIONS INC                                                          | CUSIP: 620076BY4<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    835000 | PA      | $854984.06    | 0.04%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                  | MPLX LP                                                                         | CUSIP: 55336VBW9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1506689.60   | 0.08%             | 2053-03-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                  | MPLX LP                                                                         | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2169253.25   | 0.11%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MUNI ELEC AUTH GA TXB BABS               | MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA                                         | CUSIP: 626207YM0<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |   1692000 | PA      | $1862400.30   | 0.09%             | 2057-04-01      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| MVWOT 2019-2A A 144A                     | MVW 2019-2 LLC                                                                  | CUSIP: 55400DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326981 | PA      | $325311.00    | 0.02%             | 2038-10-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| MVWOT 2020-1A A 144A                     | MVW 2020-1 LLC                                                                  | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100488 | PA      | $98379.21     | 0.00%             | 2037-10-20      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-A A2A 144A                    | NAVIENT PRIVATE EDUCATION LOAN TRUST 2020-A                                     | CUSIP: 63941FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    466785 | PA      | $451515.97    | 0.02%             | 2068-11-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| NAVSL 2019-CA A2 144A                    | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-C                                | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218610 | PA      | $215847.88    | 0.01%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-GA A 144A                     | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-G                                | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146301 | PA      | $137505.58    | 0.01%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-HA A 144A                     | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H                                | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120752 | PA      | $113795.72    | 0.01%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| NAVMT 2024-1 A 144A                      | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST                               | CUSIP: 63938PBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $643900.22    | 0.03%             | 2029-04-25      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| NAVMT 2025-1 A 144A                      | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST II 2025-1                     | CUSIP: 63938PBZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1730000 | PA      | $1728495.94   | 0.09%             | 2030-09-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| NESTLE HOLDINGS INC 144A                 | NESTLE HOLDINGS INC                                                             | CUSIP: 641062BH6<br>LEI: 549300EAEU8YV8MQXP30 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2767205.70   | 0.14%             | 2033-03-14      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NEUB 2022-48A A1R 144A                   | NEUBERGER BERMAN LOAN ADVISERS CLO 48 LTD                                       | CUSIP: 64135GAL2<br>LEI: 549300FC7JRIZ6YLHK36 | Long             | ABS-CBDO         | CORP              | JE        |   4685000 | PA      | $4682357.99   | 0.23%             | 2036-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                          | NEVADA POWER CO                                                                 | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    400000 | PA      | $450444.00    | 0.02%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| NJ TPK TXBL BUILD AMERICA F              | NEW JERSEY TURNPIKE AUTHORITY                                                   | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   1000000 | PA      | $1209477.80   | 0.06%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM3 A1 144A                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM3                                   | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |   1227194 | PA      | $1239428.07   | 0.06%             | 2065-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM4 A1 144A                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                                   | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   3275766 | PA      | $3293725.67   | 0.16%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE 144A             | NEW YORK LIFE INSURANCE CO                                                      | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1073529.37   | 0.05%             | 2050-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NY ST DORM AUTH ST SUP DEBT NYU SER B    | NEW YORK STATE DORMITORY AUTHORITY                                              | CUSIP: 64990CER8<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    950000 | PA      | $796113.02    | 0.04%             | 2046-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTRIC & GAS 144A             | NEW YORK STATE ELECTRIC & GAS CORP                                              | CUSIP: 649840CW3<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1222504.12   | 0.06%             | 2034-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1173257.52   | 0.06%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                             | NISOURCE INC                                                                    | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1114447.36   | 0.06%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| NISOURCE FINANCE CORP                    | NISOURCE INC                                                                    | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    710000 | PA      | $703687.39    | 0.04%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| NISOURCE FINANCE CORP                    | NISOURCE INC                                                                    | CUSIP: 65473QBG7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $796471.00    | 0.04%             | 2048-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                             | NISOURCE INC                                                                    | CUSIP: 65473PAQ8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1897045.50   | 0.09%             | 2034-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NMEF 2025-A A2 144A                      | NMEF FUNDING 2025-A LLC                                                         | CUSIP: 62919VAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1087285 | PA      | $1088153.45   | 0.05%             | 2032-07-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| NORTHWELL HEALTHCARE INC                 | NORTHWELL HEALTHCARE INC                                                        | CUSIP: 667274AA2<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1013097.15   | 0.05%             | 2046-11-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP 144A                    | NTT FINANCE CORP                                                                | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   1160000 | PA      | $1181545.84   | 0.06%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                              | NUTRIEN LTD                                                                     | CUSIP: 67077MAE8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    525000 | PA      | $526717.80    | 0.03%             | 2026-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                   | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HBF4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    590000 | PA      | $591210.68    | 0.03%             | 2028-08-19      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                   | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    395000 | PA      | $388619.17    | 0.02%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NYC 2025-28L A 144A                      | NYC COMMERCIAL MORTGAGE TRUST 2025-28L                                          | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $139874.56    | 0.01%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| NYMT 2025-INV1 A1 144A                   | NYMT LOAN TRUST 2025-INV1                                                       | CUSIP: 67120YAC3<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |   1073359 | PA      | $1078197.02   | 0.05%             | 2060-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                   | O'REILLY AUTOMOTIVE INC                                                         | CUSIP: 67103HAH0<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2444198.38   | 0.12%             | 2029-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                  | O'REILLY AUTOMOTIVE INC                                                         | CUSIP: 67103HAM9<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    390000 | PA      | $396404.97    | 0.02%             | 2026-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                  | O'REILLY AUTOMOTIVE INC                                                         | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19809.26     | 0.00%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP3 1A9 144A                   | OBX 2019-EXP3 TRUST                                                             | CUSIP: 67113AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97047 | PA      | $91079.04     | 0.00%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP3 2A2 144A                   | OBX 2019-EXP3 TRUST                                                             | CUSIP: 67113ABC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15596 | PA      | $15597.95     | 0.00%             | 2059-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM15 A1F 144A                  | OBX 2025-NQM15 TRUST                                                            | CUSIP: 67122CAD7<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |    825164 | PA      | $825376.88    | 0.04%             | 2065-07-27      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM15 A1 144A                   | OBX 2025-NQM15 TRUST                                                            | CUSIP: 67122CAC9<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |   1567323 | PA      | $1572509.74   | 0.08%             | 2065-07-27      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                 | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EK7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1454563.11   | 0.07%             | 2032-01-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OCP 2017-13A AR2 144A                    | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   2370000 | PA      | $2375631.50   | 0.12%             | 2037-11-26      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| OCTL 2023-1A A 144A                      | OCTANE RECEIVABLES TRUST 2023-1                                                 | CUSIP: 67571BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7743 | PA      | $7751.22      | 0.00%             | 2029-05-21      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| OCTL 2024-1A A2 144A                     | OCTANE RECEIVABLES TRUST 2024-1                                                 | CUSIP: 67571FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233954 | PA      | $235693.00    | 0.01%             | 2030-05-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| OCTL 2024-RVM1 A 144A                    | OCTANE RECEIVABLES TRUST 2024-RVM1                                              | CUSIP: 67579FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    744489 | PA      | $754422.21    | 0.04%             | 2046-01-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| OMNICOM GROUP INC                        | OMNICOM GROUP INC / OMNICOM CAPITAL INC                                         | CUSIP: 68217FAA0<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | DBT              | CORP              | US        |    695000 | PA      | $691914.20    | 0.03%             | 2026-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                | ONEOK INC                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1341612.02   | 0.07%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                              | ORACLE CORP                                                                     | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1467948.63   | 0.07%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                              | ORACLE CORP                                                                     | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2925000 | PA      | $2791579.05   | 0.14%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING                            | OWENS CORNING                                                                   | CUSIP: 690742AP6<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1294481.31   | 0.06%             | 2034-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PACCAR FINANCIAL CORP                    | PACCAR FINANCIAL CORP                                                           | CUSIP: 69371RS72<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |   2895000 | PA      | $2934878.63   | 0.15%             | 2026-11-09      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PACCAR FINANCIAL CORP                    | PACCAR FINANCIAL CORP                                                           | CUSIP: 69371RT22<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |   3070000 | PA      | $3123028.11   | 0.16%             | 2027-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                   | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1985000 | PA      | $1908670.80   | 0.10%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PEAC 2025-1A A2 144A                     | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                                           | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2435000 | PA      | $2449122.76   | 0.12%             | 2028-10-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                           | PECO ENERGY CO                                                                  | CUSIP: 693304AH0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    150000 | PA      | $162588.15    | 0.01%             | 2036-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| P11 2025-P11 A 144A                      | PENN COMMERCIAL MORTGAGE TRUST 2025-P11                                         | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2820000 | PA      | $2866799.59   | 0.14%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| PERU                                     | PERUVIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    740000 | PA      | $761467.40    | 0.04%             | 2035-02-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                 | PIONEER NATURAL RESOURCES CO                                                    | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    695000 | PA      | $690451.92    | 0.03%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                   | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475BL8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1920000 | PA      | $1920157.44   | 0.10%             | 2027-01-26      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                   | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    495000 | PA      | $506081.07    | 0.03%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PREF 2024-1A A2 144A                     | POST ROAD EQUIPMENT FINANCE 2024-1 LLC                                          | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117559 | PA      | $118110.48    | 0.01%             | 2029-11-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| PREF 2025-1A A2 144A                     | POST ROAD EQUIPMENT FINANCE 2025-1 LLC                                          | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1665000 | PA      | $1674963.03   | 0.08%             | 2031-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS OF HARVAR                 | PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                        | CUSIP: 740816AL7<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |    385000 | PA      | $344063.34    | 0.02%             | 2037-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP 144A             | PRINCIPAL FINANCIAL GROUP INC                                                   | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1094788.20   | 0.05%             | 2028-02-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                  | PRINCIPAL FINANCIAL GROUP INC                                                   | CUSIP: 74251VAR3<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9819.44      | 0.00%             | 2029-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                  | PRINCIPAL FINANCIAL GROUP INC                                                   | CUSIP: 74251VAS1<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1725948.60   | 0.09%             | 2030-06-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR5 A 144A                    | PROGRESS RESIDENTIAL 2021-SFR5 TRUST                                            | CUSIP: 74333FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335847 | PA      | $330732.64    | 0.02%             | 2038-07-17      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| PROG 2024-SFR5 A 144A                    | PROGRESS RESIDENTIAL 2024-SFR5 TRUST                                            | CUSIP: 74332HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    744996 | PA      | $706270.40    | 0.04%             | 2029-08-09      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROG 2025-SFR5 A 144A                    | PROGRESS RESIDENTIAL 2025-SFR5 TRUST                                            | CUSIP: 74334RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $634315.10    | 0.03%             | 2042-10-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                              | PROLOGIS LP                                                                     | CUSIP: 74340XBX8<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $2112787.31   | 0.11%             | 2028-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                      | PROVINCE OF ALBERTA CANADA                                                      | CUSIP: 013051ET0<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |   1405000 | PA      | $1429899.41   | 0.07%             | 2034-01-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALBERTA                                  | PROVINCE OF ALBERTA CANADA                                                      | CUSIP: 013051EA1<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |   1605000 | PA      | $1587818.48   | 0.08%             | 2028-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA                         | PROVINCE OF BRITISH COLUMBIA CANADA                                             | CUSIP: 11070TAM0<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   2644000 | PA      | $2636155.25   | 0.13%             | 2033-07-06      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MANITOBA (PROVINCE OF)                   | PROVINCE OF MANITOBA CANADA                                                     | CUSIP: 563469VC6<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | NUSS              | CA        |   2045000 | PA      | $2041562.36   | 0.10%             | 2033-07-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PROV OF NEW BRUNSWICK                    | PROVINCE OF NEW BRUNSWICK CANADA                                                | CUSIP: 642869AM3<br>LEI: 549300POZA55ZTGSOU44 | Long             | DBT              | NUSS              | CA        |   2545000 | PA      | $2534616.40   | 0.13%             | 2028-02-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ONTARIO                                  | PROVINCE OF ONTARIO CANADA                                                      | CUSIP: 683234AW8<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |   4360000 | PA      | $4342982.92   | 0.22%             | 2029-09-17      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| QUEBEC (PROVINCE OF)                     | PROVINCE OF QUEBEC CANADA                                                       | CUSIP: 748148QR7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    104000 | PA      | $117675.90    | 0.01%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PUB FIN WI REV TXBL BAYHEALTH PROJ SR B  | PUBLIC FINANCE AUTHORITY                                                        | CUSIP: 74442PVD4<br>LEI: 5493004S6D3NA627K012 | Long             | DBT              | MUN               | US        |   2520000 | PA      | $1805814.61   | 0.09%             | 2051-07-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PUB SVC ELEC & GAS                       | PUBLIC SERVICE ELECTRIC AND GAS CO                                              | CUSIP: 74456QAQ9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    180000 | PA      | $191794.50    | 0.01%             | 2036-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                           | PUBLIC STORAGE OPERATING CO                                                     | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1212248.44   | 0.06%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| QATAR 144A                               | QATAR GOVERNMENT INTERNATIONAL BOND                                             | CUSIP: 74727PBD2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    730000 | PA      | $726531.05    | 0.04%             | 2030-04-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                | QORVO INC                                                                       | CUSIP: 74736KAH4<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    559000 | PA      | $549916.25    | 0.03%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RCKT 2024-CES9 A1A 144A                  | RCKT MORTGAGE TRUST 2024-CES9                                                   | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    298318 | PA      | $300782.52    | 0.02%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                       | REALTY INCOME CORP                                                              | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    685000 | PA      | $654321.59    | 0.03%             | 2028-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                       | REALTY INCOME CORP                                                              | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    835000 | PA      | $833703.25    | 0.04%             | 2027-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                       | REALTY INCOME CORP                                                              | CUSIP: 756109BE3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1775001.78   | 0.09%             | 2025-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                       | REGAL REXNORD CORP                                                              | CUSIP: 758750AP8<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1755423.20   | 0.09%             | 2033-04-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                       | REGENCY CENTERS LP                                                              | CUSIP: 75884RAV5<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    350000 | PA      | $347829.30    | 0.02%             | 2027-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                       | REGENCY CENTERS LP                                                              | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    520000 | PA      | $520042.64    | 0.03%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                       | REGENCY CENTERS LP                                                              | CUSIP: 75884RBB8<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1377521.34   | 0.07%             | 2034-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                       | REGENCY CENTERS LP                                                              | CUSIP: 75884RAW3<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1732702.00   | 0.09%             | 2047-02-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNIV CA REGTS MED CTR POOLED TXBL SER N  | REGENTS OF THE UNIVERSITY OF CALIFORNIA MEDICAL CENTER POOLED REVENUE           | CUSIP: 913366KC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    700000 | PA      | $460381.39    | 0.02%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                         | RELX CAPITAL INC                                                                | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1061754.40   | 0.05%             | 2030-05-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| POLAND                                   | REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 731011AU6<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    890000 | PA      | $887696.77    | 0.04%             | 2026-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| POLAND                                   | REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |   2365000 | PA      | $2339770.46   | 0.12%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REVVITY INC                              | REVVITY INC                                                                     | CUSIP: 714046AM1<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1473253.43   | 0.07%             | 2028-09-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING 144A                  | RGA GLOBAL FUNDING                                                              | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1790691.86   | 0.09%             | 2029-05-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING 144A                  | RGA GLOBAL FUNDING                                                              | CUSIP: 76209PAH6<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1152673.75   | 0.06%             | 2028-08-25      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ROCKT 2022-1A A1R 144A                   | ROCKFORD TOWER CLO 2022-1 LTD                                                   | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4690000 | PA      | $4689859.63   | 0.23%             | 2035-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                 | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   1615000 | PA      | $1676872.27   | 0.08%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                 | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109BE0<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    335000 | PA      | $334604.70    | 0.02%             | 2025-12-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                 | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   1885000 | PA      | $1901831.17   | 0.09%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                   | ROPER TECHNOLOGIES INC                                                          | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    575000 | PA      | $518099.73    | 0.03%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                   | ROPER TECHNOLOGIES INC                                                          | CUSIP: 776743AD8<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    660000 | PA      | $657715.08    | 0.03%             | 2026-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ROSS STORES INC                          | ROSS STORES INC                                                                 | CUSIP: 778296AG8<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    300000 | PA      | $262308.00    | 0.01%             | 2031-04-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                 | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    815000 | PA      | $814624.29    | 0.04%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                 | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    655000 | PA      | $655825.96    | 0.03%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO CA WTR BUILD AMERICA B         | SAN DIEGO COUNTY WATER AUTHORITY                                                | CUSIP: 79741TAR5<br>LEI: 549300Y0QN5OFKA1G520 | Long             | DBT              | MUN               | US        |    275000 | PA      | $288342.78    | 0.01%             | 2049-05-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                          | SAN DIEGO GAS & ELECTRIC CO                                                     | CUSIP: 797440BJ2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    170000 | PA      | $182865.26    | 0.01%             | 2037-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                          | SAN DIEGO GAS & ELECTRIC CO                                                     | CUSIP: 797440BX1<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1440413.00   | 0.07%             | 2049-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SAN JOSE CA REDEV AGY TAX SEN SER A T    | SAN JOSE REDEVELOPMENT AGENCY SUCCESSOR AGENCY                                  | CUSIP: 798170AN6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    610000 | PA      | $570795.79    | 0.03%             | 2034-08-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SDART 2021-1 E                           | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-1                                   | CUSIP: 80286NAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2105803 | PA      | $2100280.27   | 0.10%             | 2028-12-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                   | SANTANDER HOLDINGS USA INC                                                      | CUSIP: 80282KBF2<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    885000 | PA      | $921723.08    | 0.05%             | 2029-03-09      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                   | SANTANDER HOLDINGS USA INC                                                      | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $2043164.20   | 0.10%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: —       |
| SANTANDER UK GROUP HLDGS                 | SANTANDER UK GROUP HOLDINGS PLC                                                 | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1190000 | PA      | $1187123.77   | 0.06%             | 2029-09-22      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| SAUDI 144A                               | SAUDI GOVERNMENT INTERNATIONAL BOND                                             | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   2010000 | PA      | $2117273.84   | 0.11%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SCFET 2024-1A C 144A                     | SCF EQUIPMENT LEASING 2024-1 LLC                                                | CUSIP: 783896AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840000 | PA      | $868891.04    | 0.04%             | 2032-09-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SCFET 2025-1A A3 144A                    | SCF EQUIPMENT LEASING 2025-1 LLC                                                | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1277944.38   | 0.06%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SCFET 2025-1A A2 144A                    | SCF EQUIPMENT LEASING 2025-1 LLC                                                | CUSIP: 78437DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    819714 | PA      | $821920.18    | 0.04%             | 2030-07-22      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| SEB4P 2024-1A A2 144A                    | SEB FUNDING LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    688000 | PA      | $704452.97    | 0.04%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH2 A3 144A                    | SEQUOIA MORTGAGE TRUST 2018-CH2                                                 | CUSIP: 81747EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76443 | PA      | $71682.01     | 0.00%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SEMT 2024-HYB1 A1A 144A                  | SEQUOIA MORTGAGE TRUST 2024-HYB1                                                | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300157 | PA      | $1308863.89   | 0.07%             | 2063-11-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                           | SERVICENOW INC                                                                  | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |   3710000 | PA      | $3247815.62   | 0.16%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-2A B 144A                     | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2                                | CUSIP: 78397XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $169490.11    | 0.01%             | 2030-08-20      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-2A A3 144A                    | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2                                | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $858632.69    | 0.04%             | 2029-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                      | SHERWIN-WILLIAMS CO/THE                                                         | CUSIP: 824348BT2<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2450582.40   | 0.12%             | 2031-09-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SRFC 2025-2A A 144A                      | SIERRA TIMESHARE 2025-2 RECEIVABLES FUNDING LLC                                 | CUSIP: 82653HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    876463 | PA      | $879363.47    | 0.04%             | 2044-04-20      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| SRFC 2025-3A A 144A                      | SIERRA TIMESHARE 2025-3 RECEIVABLES FUNDING LLC                                 | CUSIP: 82650FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $377421.93    | 0.02%             | 2044-08-22      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SPEAK 2018-5A A1R 144A                   | SIGNAL PEAK CLO 5 LTD                                                           | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2310000 | PA      | $2320028.40   | 0.12%             | 2037-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                  | SIMON PROPERTY GROUP LP                                                         | CUSIP: 828807DJ3<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   2830000 | PA      | $2168818.61   | 0.11%             | 2050-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA 144A              | SKANDINAVISKA ENSKILDA BANKEN AB                                                | CUSIP: 830505AZ6<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   2930000 | PA      | $2970747.51   | 0.15%             | 2027-03-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SMB 2020-BA A1A 144A                     | SMB PRIVATE EDUCATION LOAN TRUST                                                | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    639717 | PA      | $609047.86    | 0.03%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| SMB 2018-B A2A 144A                      | SMB PRIVATE EDUCATION LOAN TRUST 2018-B                                         | CUSIP: 78449LAB4<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |    135463 | PA      | $134431.28    | 0.01%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB 2020-A A2A 144A                      | SMB PRIVATE EDUCATION LOAN TRUST 2020-A                                         | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220759 | PA      | $213924.63    | 0.01%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| SMB 2021-A APT1 144A                     | SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                         | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1445356 | PA      | $1322196.53   | 0.07%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                    | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1230000 | PA      | $1242351.66   | 0.06%             | 2027-02-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                    | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1305000 | PA      | $1374488.64   | 0.07%             | 2035-01-19      | Variable      | 6.07%                 | No            |                  2 | On Loan: —       |
| SOLVENTUM CORP                           | SOLVENTUM CORP                                                                  | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    673000 | PA      | $694219.69    | 0.03%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                      | SOUTHERN CALIFORNIA EDISON CO                                                   | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   2105000 | PA      | $2145298.12   | 0.11%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                    | SOUTHERN CALIFORNIA GAS CO                                                      | CUSIP: 842434CG5<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    140000 | PA      | $147539.98    | 0.01%             | 2035-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                  | SOUTHERN CO GAS CAPITAL CORP                                                    | CUSIP: 8426EPAH1<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1742524.70   | 0.09%             | 2034-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                              | SOUTHERN CO/THE                                                                 | CUSIP: 842587CX3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1660481.55   | 0.08%             | 2046-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                              | SOUTHERN CO/THE                                                                 | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    725000 | PA      | $763103.10    | 0.04%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERV                 | SOUTHWESTERN PUBLIC SERVICE CO                                                  | CUSIP: 845743BX0<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    365000 | PA      | $381177.17    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY PARTNERS                  | SPECTRA ENERGY PARTNERS LP                                                      | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |    460000 | PA      | $456635.10    | 0.02%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STANFORD HEALTH CARE                     | STANFORD HEALTH CARE                                                            | CUSIP: 85434VAA6<br>LEI: 5493005311WCPXQGDG42 | Long             | DBT              | CORP              | US        |    440000 | PA      | $347244.04    | 0.02%             | 2048-11-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| STAR 2019-INV1 A3 144A                   | STARWOOD MORTGAGE RESIDENTIAL TRUST 2019-INV1                                   | CUSIP: 85572JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136088 | PA      | $134743.87    | 0.01%             | 2049-09-27      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| STAR 2020-INV1 A1 144A                   | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV                                    | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189163 | PA      | $179910.62    | 0.01%             | 2055-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| CA ST TXBLE BUILD AMERICA                | STATE OF CALIFORNIA                                                             | CUSIP: 13063BFR8<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |   1350000 | PA      | $1643948.60   | 0.08%             | 2040-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-BA A4 144A                    | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B                   | CUSIP: 858933AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1115000 | PA      | $1117885.62   | 0.06%             | 2029-06-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-BA B 144A                     | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B                   | CUSIP: 858933AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585000 | PA      | $585828.83    | 0.03%             | 2029-07-20      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                 | SUMITOMO MITSUI FINANCIAL GROUP INC                                             | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1755000 | PA      | $1759255.88   | 0.09%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                         | T-MOBILE USA INC                                                                | CUSIP: 87264ADX0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2880000 | PA      | $2846393.28   | 0.14%             | 2035-11-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                         | T-MOBILE USA INC                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3565000 | PA      | $3541007.55   | 0.18%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T. Rowe Price Government Reserve Fund    | T. Rowe Price Government Reserve Fund                                           | CUSIP: 76105Y109<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |  62551365 | NS      | $62551364.82  | 3.12%             |  |  |  | No            |                  1 | On Loan: No      |
| T. Rowe Price Government Reserve Fund    | T. Rowe Price Government Reserve Fund - Collateral                              | CUSIP: 76105YYY8<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |   5768445 | NS      | $5768445.00   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| TAMPA ELECTRIC                           | TAMPA ELECTRIC CO                                                               | CUSIP: 875127AW2<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    700000 | PA      | $743077.30    | 0.04%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY 144A            | TEACHERS INSURANCE & ANNUITY ASSOCIATION OF AMERICA                             | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1169400.40   | 0.06%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| TX NATURAL GAS SECZ FIN CORP TXBL TR A2  | TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                   | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    705000 | PA      | $724261.52    | 0.04%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| TX ST PRIV ACT NTE MAN PROJ TAXABLE SR B | TEXAS PRIVATE ACTIVITY BOND SURFACE TRANSPORTATION CORP                         | CUSIP: 882667AZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2400000 | PA      | $1953870.00   | 0.10%             | 2049-12-31      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| WINDR 2019-3A AR3 144A                   | THL CREDIT WIND RIVER 2019-3 CLO LTD                                            | CUSIP: 97314JBC8<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |    890000 | PA      | $890000.00    | 0.04%             | 2038-01-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                    | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    235000 | PA      | $240574.91    | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                    | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   2580000 | PA      | $2648179.08   | 0.13%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TJX COS INC                              | TJX COS INC/THE                                                                 | CUSIP: 872540AW9<br>LEI: V167QI9I69W364E2DY52 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1248419.70   | 0.06%             | 2031-05-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                    | TORONTO-DOMINION BANK/THE                                                       | CUSIP: 89115A2Y7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2200000 | PA      | $2252637.20   | 0.11%             | 2029-04-05      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| TPMT 2018-1 A1 144A                      | TOWD POINT MORTGAGE TRUST 2018-1                                                | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19265 | PA      | $19112.06     | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TPMT 2019-HY3 M1 144A                    | TOWD POINT MORTGAGE TRUST 2019-HY3                                              | CUSIP: 89177XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $522581.85    | 0.03%             | 2059-10-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-2 A1B 144A                     | TOWD POINT MORTGAGE TRUST 2024-2                                                | CUSIP: 89183AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5009735 | PA      | $5036894.71   | 0.25%             | 2064-12-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| TLOT 2025-A A4 144A                      | TOYOTA LEASE OWNER TRUST 2025-A                                                 | CUSIP: 89239NAE5<br>LEI: 254900299R9KF5UH9O95 | Long             | ABS-O            | CORP              | US        |   1225000 | PA      | $1238763.61   | 0.06%             | 2029-06-20      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                 | TOYOTA MOTOR CREDIT CORP                                                        | CUSIP: 89236TLJ2<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   2945000 | PA      | $2947912.61   | 0.15%             | 2026-01-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                 | TOYOTA MOTOR CREDIT CORP                                                        | CUSIP: 89236TNR2<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2684633.72   | 0.13%             | 2028-09-05      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| TPIC SPV I LLC 2024-1 A1 PP 144A         | TPIC SPV I LLC                                                                  | CUSIP: 872660AA3<br>LEI: 98450079E44D2D1B6432 | Long             | ABS-O            | CORP              | US        |   1979138 | PA      | $1979137.84   | 0.10%             | 2044-11-30      | Fixed         | 7.13%                 | Yes           |                  3 | On Loan: No      |
| TR FINANCE LLC                           | TR FINANCE LLC                                                                  | CUSIP: 87268LAA5<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |    225000 | PA      | $223409.70    | 0.01%             | 2026-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                  | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    790000 | PA      | $684679.57    | 0.03%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO 144A               | TRANSURBAN FINANCE CO PTY LTD                                                   | CUSIP: 89400PAG8<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    235000 | PA      | $232695.12    | 0.01%             | 2027-03-22      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO 144A               | TRANSURBAN FINANCE CO PTY LTD                                                   | CUSIP: 89400PAK9<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |   1820000 | PA      | $1649831.82   | 0.08%             | 2031-03-16      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO 144A               | TRANSURBAN FINANCE CO PTY LTD                                                   | CUSIP: 89400PAE3<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    185000 | PA      | $184999.08    | 0.01%             | 2026-02-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                        | TRAVELERS COS INC/THE                                                           | CUSIP: 89417EAD1<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |    225000 | PA      | $250695.45    | 0.01%             | 2037-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TCN 2024-SFR3 A 144A                     | TRICON RESIDENTIAL 2024-SFR3 TRUST                                              | CUSIP: 89616YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1058778 | PA      | $1052957.26   | 0.05%             | 2041-08-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                    | TRUIST FINANCIAL CORP                                                           | CUSIP: 89788MAB8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1324780.17   | 0.07%             | 2030-06-05      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| TX 2024-HOU A 144A                       | TX TRUST 2024-HOU                                                               | CUSIP: 90216DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660000 | PA      | $657731.25    | 0.03%             | 2039-06-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                    | UBER TECHNOLOGIES INC                                                           | CUSIP: 90353TAN0<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2719582.56   | 0.14%             | 2030-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG 144A                        | UBS GROUP AG                                                                    | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1700000 | PA      | $1687743.00   | 0.08%             | 2027-01-30      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                  | UNITED AIRLINES 2016-2 CLASS A PASS THROUGH TRUST                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    551026 | PA      | $521936.99    | 0.03%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 A PTT SER A            | UNITED AIRLINES 2018-1 CLASS A PASS THROUGH TRUST                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    803486 | PA      | $759422.79    | 0.04%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14000000 | PA      | $13062656.18  | 0.65%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    885000 | PA      | $853160.74    | 0.04%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12100000 | PA      | $12108035.13  | 0.60%             | 2028-05-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7145000 | PA      | $6659084.20   | 0.33%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5550000 | PA      | $3290326.16   | 0.16%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22800000 | PA      | $23109046.93  | 1.15%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2900000 | PA      | $2940894.52   | 0.15%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13045000 | PA      | $10880854.85  | 0.54%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9980000 | PA      | $10185837.50  | 0.51%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15200000 | PA      | $15393562.42  | 0.77%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15995000 | PA      | $16739767.19  | 0.84%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7900000 | PA      | $8190386.70   | 0.41%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3570000 | PA      | $2584763.68   | 0.13%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2740000 | PA      | $1583634.38   | 0.08%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7990000 | PA      | $8050861.35   | 0.40%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26275000 | PA      | $26535697.13  | 1.32%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $47271.48     | 0.00%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6895000 | PA      | $7028590.63   | 0.35%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6515000 | PA      | $6461811.15   | 0.32%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8430000 | PA      | $7699948.85   | 0.38%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1420000 | PA      | $923832.03    | 0.05%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12380000 | PA      | $12655648.38  | 0.63%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12200000 | PA      | $12360125.00  | 0.62%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8400000 | PA      | $8371125.00   | 0.42%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $19746.88     | 0.00%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3450000 | PA      | $2663103.51   | 0.13%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $45581.25     | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27730000 | PA      | $28928022.52  | 1.44%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63545000 | PA      | $64041445.31  | 3.20%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12435000 | PA      | $12418970.54  | 0.62%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10870000 | PA      | $10996533.54  | 0.55%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12900000 | PA      | $13068304.62  | 0.65%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1250000 | PA      | $1273388.68   | 0.06%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18400000 | PA      | $18888031.30  | 0.94%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1710000 | PA      | $1253042.58   | 0.06%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11500000 | PA      | $11694960.88  | 0.58%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2005000 | PA      | $1879765.82   | 0.09%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2540000 | PA      | $2270125.00   | 0.11%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4840000 | PA      | $3439614.05   | 0.17%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $32283.20     | 0.00%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15835000 | PA      | $12084702.89  | 0.60%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    835000 | PA      | $853265.63    | 0.04%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7945000 | PA      | $7827997.48   | 0.39%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52695000 | PA      | $54201747.66  | 2.71%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23105000 | PA      | $23456990.12  | 1.17%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17585000 | PA      | $14754914.06  | 0.74%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13885000 | PA      | $12996034.54  | 0.65%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3150000 | PA      | $2424638.66   | 0.12%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10800000 | PA      | $10720265.65  | 0.54%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2550000 | PA      | $2190609.38   | 0.11%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29340000 | PA      | $29841988.92  | 1.49%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6210000 | PA      | $6268461.31   | 0.31%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9805000 | PA      | $9574812.33   | 0.48%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2845000 | PA      | $2224545.50   | 0.11%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27220000 | PA      | $27951537.50  | 1.40%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34340000 | PA      | $20766310.07  | 1.04%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14350000 | PA      | $14358408.24  | 0.72%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10890000 | PA      | $11029528.13  | 0.55%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     35000 | PA      | $36093.75     | 0.00%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6900000 | PA      | $4724343.75   | 0.24%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7275000 | PA      | $4563073.22   | 0.23%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10285000 | PA      | $10376199.05  | 0.52%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14550000 | PA      | $14607972.58  | 0.73%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4200000 | PA      | $3104882.80   | 0.15%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11335000 | PA      | $10569444.75  | 0.53%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                   | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFM9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1793673.08   | 0.09%             | 2064-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                   | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    900000 | PA      | $817649.10    | 0.04%             | 2045-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                   | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9095.48      | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                   | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $1632623.16   | 0.08%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                   | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFN7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    330000 | PA      | $333407.91    | 0.02%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UXYZ5 US 10YR ULTRA FUT DEC25            | US 10YR ULTRA FUT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -42 | NC      | $-64044.12    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TUZ5 US 2YR NOTE (CBT) DEC25             | US 2YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       217 | NC      | $-8784.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FVZ5 US 5YR NOTE (CBT) DEC25             | US 5YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       306 | NC      | $-67256.59    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FVZ5 US 5YR NOTE (CBT) DEC25             | US 5YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       169 | NC      | $-37144.98    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US BANCORP                               | US BANCORP                                                                      | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    665000 | PA      | $685802.53    | 0.03%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| VERD 2024-1A A2 144A                     | VERDANT RECEIVABLES 2024-1 LLC                                                  | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132984 | PA      | $135325.99    | 0.01%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| VERD 2025-1A B 144A                      | VERDANT RECEIVABLES 2025-1 LLC                                                  | CUSIP: 92340GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102430.84    | 0.01%             | 2033-05-12      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                     | VERISK ANALYTICS INC                                                            | CUSIP: 92345YAM8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    905000 | PA      | $908980.19    | 0.05%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                   | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    625000 | PA      | $550121.88    | 0.03%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                   | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1179022.50   | 0.06%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS 2021-1 A1 144A                     | VERUS SECURITIZATION TRUST 2021-1                                               | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371157 | PA      | $334265.69    | 0.02%             | 2066-01-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| VERUS 2023-INV1 A1 144A                  | VERUS SECURITIZATION TRUST 2023-INV1                                            | CUSIP: 92539FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1131629 | PA      | $1130935.02   | 0.06%             | 2068-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS 2024-INV1 A2 144A                  | VERUS SECURITIZATION TRUST 2024-INV1                                            | CUSIP: 92540FAB6<br>LEI: 9845000FE754F4AE7E70 | Long             | ABS-MBS          | CORP              | US        |   1211716 | PA      | $1224214.52   | 0.06%             | 2069-03-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-7 A1F 144A                    | VERUS SECURITIZATION TRUST 2025-7                                               | CUSIP: 924931AD0<br>LEI: 213800OVCAXDOBS94P47 | Long             | ABS-MBS          | CORP              | US        |   2129231 | PA      | $2131456.34   | 0.11%             | 2070-08-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| VA PUB BLDG BUILD AMERICA                | VIRGINIA PUBLIC BUILDING AUTHORITY                                              | CUSIP: 928172WG6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    540000 | PA      | $559218.17    | 0.03%             | 2030-08-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                               | VMWARE LLC                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   3475000 | PA      | $3403964.05   | 0.17%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA 144A            | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668CM2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    495000 | PA      | $500684.09    | 0.02%             | 2029-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WB 2024-HQ A 144A                        | WB COMMERCIAL MORTGAGE TRUST 2024-HQ                                            | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $490650.92    | 0.02%             | 2040-03-15      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                    | WELLS FARGO & CO                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2925000 | PA      | $2775187.35   | 0.14%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                    | WELLS FARGO & CO                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2351997.48   | 0.12%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                    | WELLS FARGO & CO                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1459334.82   | 0.07%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                    | WELLS FARGO & CO                                                                | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1935407.09   | 0.10%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                    | WELLS FARGO & CO                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1293480.00   | 0.06%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| WFCM 2019-C54 A4                         | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C54                                  | CUSIP: 95001YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $713303.25    | 0.04%             | 2052-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| WFCM 2025-5C6 A3                         | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C6                                  | CUSIP: 95004TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3915000 | PA      | $4028408.94   | 0.20%             | 2058-10-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                         | WELLTOWER OP LLC                                                                | CUSIP: 95041AAG3<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |   3390000 | PA      | $3444172.20   | 0.17%             | 2035-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WEST VA HEALTH SYS OBL                   | WEST VIRGINIA UNITED HEALTH SYSTEM OBLIGATED GROUP                              | CUSIP: 956708AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1411640.46   | 0.07%             | 2048-06-01      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| WESTERN MN MUNI PWR AGY SER A            | WESTERN MINNESOTA MUNICIPAL POWER AGENCY                                        | CUSIP: 958697LB8<br>LEI: 549300LFJK9CQSN2NJ11 | Long             | DBT              | MUN               | US        |   2350000 | PA      | $2029721.79   | 0.10%             | 2039-01-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| WESTPAC NEW ZEALAND LTD 144A             | WESTPAC NEW ZEALAND LTD                                                         | CUSIP: 96122FAC1<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |   1935000 | PA      | $1992684.29   | 0.10%             | 2029-02-28      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WFLF 2025-2A A1 144A                     | WHEELS FLEET LEASE FUNDING 1 LLC                                                | CUSIP: 96328GCK1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   4330000 | PA      | $4352096.86   | 0.22%             | 2040-05-18      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                   | WILLIAMS COS INC/THE                                                            | CUSIP: 969457CR9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1490685.60   | 0.07%             | 2030-06-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                   | WILLIAMS COS INC/THE                                                            | CUSIP: 88339WAB2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1441205.80   | 0.07%             | 2029-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WILLIAMS PARTNERS LP                     | WILLIAMS COS INC/THE                                                            | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    190000 | PA      | $168689.41    | 0.01%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                 | WILLIS NORTH AMERICA INC                                                        | CUSIP: 970648AG6<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1118008.65   | 0.06%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WEF 2025-1A A2 144A                      | WINGSPIRE EQUIPMENT FINANCE 2025-1 LLC                                          | CUSIP: 97415CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $294721.34    | 0.01%             | 2033-09-20      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD 144A                | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AN3<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    330000 | PA      | $328402.80    | 0.02%             | 2026-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD 144A                | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AP8<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    435000 | PA      | $429188.40    | 0.02%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD 144A                | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AQ6<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   1435000 | PA      | $1434387.26   | 0.07%             | 2029-03-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                               | ZOETIS INC                                                                      | CUSIP: 98978VAW3<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   3805000 | PA      | $3820805.97   | 0.19%             | 2028-08-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-04

**Name of Applicant:** T. ROWE PRICE QM U.S. BOND INDEX FUND, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President