# EDGAR Filing Document

**Accession Number:** 0000778207
**File Stem:** 0001410368-26-017984
**Filing Date:** 2026-2
**Character Count:** 344187
**Document Hash:** f2d0cf7d3d26bd99088afcc649e5f6c2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-017984.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0001410368-26-017984

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TRANSAMERICA SERIES TRUST
- **CENTRAL INDEX KEY:** 0000778207

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04419
- **FILM NUMBER:** 26676240

**BUSINESS ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202
- **BUSINESS PHONE:** 720-482-8836

**MAIL ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES TRUST
- **DATE OF NAME CHANGE:** 20050511

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010501

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

## Series and Classes Contracts Data

### Transamerica Aegon Core Bond VP (Series ID: S000007896)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000021437 | Initial      |  |
| C000021438 | Service      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TRANSAMERICA SERIES TRUST

- **b. Investment Company Act file number:** 811-04419

- **c. CIK number of Registrant:** 0000778207

- **d. LEI of Registrant:** 5493000QR1WGXIM5V222

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

  - **Street Address 1:** 1801 CALIFORNIA STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80202

  - **Telephone number:** 720-493-4256

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

- **a. Name of Series:** Transamerica Aegon Core Bond VP

- **b. EDGAR series identifier (if any):** S000007896

- **c. LEI of Series:** 5493000FFMR7RP5KH592

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1663098781.23

**Total Liabilities:** $310259992.51

**Net Assets:** $1352838788.72

**Delayed Delivery Securities:** $297100807.83

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1059.18000000 | **1-Year:** -28524.12000000 | **5-Year:** -113308.28000000 | **10-Year:** -141218.73000000 | **30-Year:** -28179.98000000

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

- **3-Month:** -103.29000000 | **1-Year:** -7643.65000000 | **5-Year:** -12991.17000000 | **10-Year:** -6609.39000000 | **30-Year:** -605.24000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000021437 | 0.55%                | 0.64%                | -0.27%               |
| Class ID C000021438 | 0.51%                | 0.59%                | -0.25%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $827765.74               | $755353.28                                 |
| Month 2  | $37169.02                | $2066331.20                                |
| Month 3  | $873662.66               | $-6382798.21                               |

**Designated Index Information**

- **Index Name:** Securities Portfolio VaR

- **Index Identifier:** Designated Reference Portfolio is the Fund's Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ADT SEC CORP                                                                    | ADT Security Corp.                                                                    | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |   1758000 | PA      | $1714606.93   | 0.13%             | 2029-08-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                                                        | Aptiv Swiss Holdings Ltd.                                                             | CUSIP: 00217GAB9<br>LEI: 254900HTTDFIJZ32GX53 | Long             | DBT              | CORP              | JE        |   1338000 | PA      | $1250268.79   | 0.09%             | 2032-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                                                              | Accelerated LLC                                                                       | CUSIP: 00439KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54423 | PA      | $51072.02     | 0.00%             | 2040-10-20      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                                                              | Accelerated LLC                                                                       | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415259 | PA      | $389980.79    | 0.03%             | 2040-10-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                                                              | Accelerated LLC                                                                       | CUSIP: 00440MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4253722 | PA      | $4263118.09   | 0.32%             | 2044-08-22      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                        | AerCap Ireland Capital DAC/AerCap Global Aviation Trust                               | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1592000 | PA      | $1592141.85   | 0.12%             | 2026-04-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                        | AerCap Ireland Capital DAC/AerCap Global Aviation Trust                               | CUSIP: 00774MBM6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1425000 | PA      | $1422210.85   | 0.11%             | 2034-09-10      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AIR LIQUIDE US LLC                                                              | Air Liquide U.S. LLC                                                                  | CUSIP: 00912UC99<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   6000000 | PA      | $5957726.40   | 0.44%             | 2026-03-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                                                          | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC                  | CUSIP: 01309QAB4<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |    189000 | PA      | $194288.41    | 0.01%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                                                          | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC                  | CUSIP: 01309QAC2<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |    189000 | PA      | $190992.70    | 0.01%             | 2031-03-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                                              | Alcon Finance Corp.                                                                   | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   1377000 | PA      | $1390230.64   | 0.10%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALINGHI FUNDING CO LLC                                                          | Alinghi Funding Co. LLC                                                               | CUSIP: 01626GAW6<br>LEI: 549300VRDDZC1N8S3N22 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9968500.00   | 0.74%             | 2026-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6434000 | PA      | $5955471.25   | 0.44%             | 2040-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20047000 | PA      | $16200402.09  | 1.20%             | 2055-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4291000 | PA      | $4058514.95   | 0.30%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  62315000 | PA      | $52670780.39  | 3.89%             | 2055-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4081000 | PA      | $3925571.28   | 0.29%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  45931000 | PA      | $40618434.06  | 3.00%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6542000 | PA      | $6359053.23   | 0.47%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16006000 | PA      | $14796171.44  | 1.09%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28378000 | PA      | $26914392.16  | 1.99%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27603000 | PA      | $26944452.32  | 1.99%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28534000 | PA      | $28453748.13  | 2.10%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  43437000 | PA      | $44044361.76  | 3.26%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25063000 | PA      | $25732870.58  | 1.90%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                   | Allstate Corp.                                                                        | CUSIP: 020002BK6<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |   1057000 | PA      | $1100225.81   | 0.08%             | 2033-03-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                   | Allstate Corp.                                                                        | CUSIP: 020002BL4<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |   3382000 | PA      | $3493307.54   | 0.26%             | 2029-06-24      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | Ally Financial, Inc.                                                                  | CUSIP: 02005NBZ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    609000 | PA      | $624462.33    | 0.05%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-2 AA PTT                                                        | American Airlines Pass-Through Trust                                                  | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    462340 | PA      | $452029.79    | 0.03%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | American Express Co.                                                                  | CUSIP: 025816DU0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   2020000 | PA      | $2107266.57   | 0.16%             | 2030-04-25      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                           | American Homes 4 Rent LP                                                              | CUSIP: 02666TAG2<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |   2126000 | PA      | $2195294.14   | 0.16%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL                                                          | American International Group, Inc.                                                    | CUSIP: 026874DX2<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    987000 | PA      | $1028170.96   | 0.08%             | 2035-05-07      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAP CORP                                                         | American Water Capital Corp.                                                          | CUSIP: 03040MAC1<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4993603.50   | 0.37%             | 2026-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | Amgen, Inc.                                                                           | CUSIP: 031162DA5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1248000 | PA      | $913407.67    | 0.07%             | 2041-08-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | Amgen, Inc.                                                                           | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1192000 | PA      | $1198618.76   | 0.09%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ANGLESEA FUNDING LLC                                                            | Anglesea Funding LLC                                                                  | CUSIP: 0347M3BA1<br>LEI: 549300JC7SH8MD7E2Z33 | Long             | STIV             | CORP              | US        |   8100000 | PA      | $8065372.50   | 0.60%             | 2026-02-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                                          | Anglo American Capital PLC                                                            | CUSIP: 034863AU4<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   3275000 | PA      | $3293708.34   | 0.24%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                        | Angel Oak Mortgage Trust                                                              | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |   1871184 | PA      | $1892043.57   | 0.14%             | 2070-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                        | Anheuser-Busch InBev Worldwide, Inc.                                                  | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   2334000 | PA      | $2007931.21   | 0.15%             | 2048-10-06      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | Elevance Health, Inc.                                                                 | CUSIP: 036752BL6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1541000 | PA      | $1509707.58   | 0.11%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                   | AppLovin Corp.                                                                        | CUSIP: 03831WAD0<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   1988000 | PA      | $2042573.98   | 0.15%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                                                                | ArcelorMittal SA                                                                      | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |   2609000 | PA      | $2716416.73   | 0.20%             | 2027-11-29      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                                           | Arrow Electronics, Inc.                                                               | CUSIP: 04273WAE1<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   1409000 | PA      | $1469821.25   | 0.11%             | 2034-04-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | Ashtead Capital, Inc.                                                                 | CUSIP: 045054AQ6<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   2161000 | PA      | $2229641.72   | 0.16%             | 2033-05-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | Avis Budget Rental Car Funding AESOP LLC                                              | CUSIP: 05377RHC1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1271717.00   | 0.09%             | 2028-04-20      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | Avis Budget Rental Car Funding AESOP LLC                                              | CUSIP: 05377RHL1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1080000 | PA      | $1105934.90   | 0.08%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | Avis Budget Rental Car Funding AESOP LLC                                              | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3608774.75   | 0.27%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                        | Avolon Holdings Funding Ltd.                                                          | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3135000 | PA      | $3252430.96   | 0.24%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                        | Avolon Holdings Funding Ltd.                                                          | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2812000 | PA      | $2826914.82   | 0.21%             | 2030-10-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Bank5                                                                           | Bank5                                                                                 | CUSIP: 05494RBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2240000 | PA      | $2315078.30   | 0.17%             | 2058-12-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT Capital Corp.                                                                     | CUSIP: 054989AF5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1939000 | PA      | $1927938.06   | 0.14%             | 2033-03-22      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                                    | BAMLL Commercial Mortgage Securities Trust                                            | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $138529.16    | 0.01%             | 2046-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT Capital Corp.                                                                     | CUSIP: 05526DCC7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   3226000 | PA      | $3360294.15   | 0.25%             | 2035-08-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                        | BX Trust                                                                              | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2869000 | PA      | $2895007.49   | 0.21%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                             | Banc of America Funding Trust, Principal Only STRIPS                                  | CUSIP: 05946X3C5<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |      1537 | PA      | $1009.49      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                             | Banc of America Funding Trust, Principal Only STRIPS                                  | CUSIP: 05946XGF4<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |      4961 | PA      | $3554.98      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                             | Banc of America Funding Trust, Principal Only STRIPS                                  | CUSIP: 05946XV83<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |      4888 | PA      | $4885.29      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | Banco Santander SA                                                                    | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1800000 | PA      | $1830102.62   | 0.14%             | 2028-03-14      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | Bank of America Corp.                                                                 | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6954000 | PA      | $7253604.61   | 0.54%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | Bank of America Corp.                                                                 | CUSIP: 06051GMW6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3728000 | PA      | $3880930.35   | 0.29%             | 2036-05-09      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                          | Bank of New York Mellon Corp.                                                         | CUSIP: 06406YAB8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    787000 | PA      | $822422.10    | 0.06%             | 2039-07-21      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | Barclays PLC                                                                          | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1389000 | PA      | $1453986.78   | 0.11%             | 2036-02-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                                      | Barings Equipment Finance LLC                                                         | CUSIP: 06764YAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3010000 | PA      | $3016172.01   | 0.22%             | 2032-10-13      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                                        | Baxter International, Inc.                                                            | CUSIP: 071813DE6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   1709000 | PA      | $1729539.33   | 0.13%             | 2035-12-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                         | Bayer U.S. Finance II LLC                                                             | CUSIP: 07274NBA0<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   2195000 | PA      | $2228289.39   | 0.16%             | 2035-07-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                                     | Bear Stearns ARM Trust                                                                | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9327 | PA      | $9038.66      | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BEDFORD ROW FUNDING CORP                                                        | Bedford Row Funding Corp.                                                             | CUSIP: 07644BAS1<br>LEI: 5493000JWH1Z48FX0180 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4986500.50   | 0.37%             | 2026-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                        | Benchmark Mortgage Trust                                                              | CUSIP: 08164EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6620000 | PA      | $6817298.51   | 0.50%             | 2058-10-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                                 | Benefit Street Partners CLO X Ltd.                                                    | CUSIP: 08181LBE6<br>LEI: 549300MYLNCW81S1Y182 | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1212398.22   | 0.09%             | 2038-07-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                                                | Black Hills Corp.                                                                     | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |   1079000 | PA      | $1079214.61   | 0.08%             | 2031-01-31      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE REG FINANCE                                                          | Blackstone Reg Finance Co. LLC                                                        | CUSIP: 092914AC4<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |   1091000 | PA      | $1083026.14   | 0.08%             | 2036-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | Boeing Co.                                                                            | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2047000 | PA      | $2013417.72   | 0.15%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                   | Boeing Co.                                                                            | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3130000 | PA      | $3462903.54   | 0.26%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                   | Boeing Co.                                                                            | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1065000 | PA      | $1196142.62   | 0.09%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                            | Boston Properties LP                                                                  | CUSIP: 10112RBJ2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              |  | US        |   1642000 | PA      | $1688641.60   | 0.12%             | 2035-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | BRAVO Residential Funding Trust                                                       | CUSIP: 105698AC8<br>LEI: 254900T3YTF92WA96N66 | Long             | ABS-MBS          | CORP              | US        |   1357766 | PA      | $1367353.53   | 0.10%             | 2064-10-27      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | BRAVO Residential Funding Trust                                                       | CUSIP: 10569KAA5<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |    350939 | PA      | $354064.77    | 0.03%             | 2064-02-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | BRAVO Residential Funding Trust                                                       | CUSIP: 10569LAA3<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |    598155 | PA      | $604011.65    | 0.04%             | 2064-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | Bravo Residential Funding Trust                                                       | CUSIP: 10569MAC7<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |    468021 | PA      | $471943.91    | 0.03%             | 2064-12-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | BRAVO Residential Funding Trust                                                       | CUSIP: 10570MAC4<br>LEI: 254900U9H6FFPW4O4S55 | Long             | ABS-MBS          | CORP              | US        |   4291030 | PA      | $4317535.75   | 0.32%             | 2065-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | Bristol-Myers Squibb Co.                                                              | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    776000 | PA      | $763165.29    | 0.06%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BRITANNIA FUNDING CO LLC                                                        | Britannia Funding Co. LLC                                                             | CUSIP: 11042MA81<br>LEI: 549300X2ZBE7GS6QP587 | Long             | STIV             | CORP              | US        |   7500000 | PA      | $7493749.50   | 0.55%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BRITANNIA FUNDING CO LLC                                                        | Britannia Funding Co. LLC                                                             | CUSIP: 11042MCC0<br>LEI: 549300X2ZBE7GS6QP587 | Long             | STIV             | CORP              | US        |   2500000 | PA      | $2481344.50   | 0.18%             | 2026-03-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | Broadcom, Inc.                                                                        | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2133000 | PA      | $1836909.57   | 0.14%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                               | Brown & Brown, Inc.                                                                   | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    706000 | PA      | $721977.07    | 0.05%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                               | Brown & Brown, Inc.                                                                   | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   2730000 | PA      | $2799219.50   | 0.21%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                                          | Bunge Ltd. Finance Corp.                                                              | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   3221000 | PA      | $3271900.75   | 0.24%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                                      | BXG Receivables Note Trust                                                            | CUSIP: 123919AA0<br>LEI: 549300MVRSYZ837KPY83 | Long             | ABS-O            | CORP              | US        |    472516 | PA      | $481926.85    | 0.04%             | 2038-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                 | Cigna Group                                                                           | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1876000 | PA      | $1741097.57   | 0.13%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                 | Cigna Group                                                                           | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2317000 | PA      | $2358720.02   | 0.17%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                                                 | CMS Energy Corp.                                                                      | CUSIP: 125896BN9<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    359000 | PA      | $320729.52    | 0.02%             | 2044-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                    | CSMC Trust                                                                            | CUSIP: 12656TAB4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2744196 | PA      | $2344045.51   | 0.17%             | 2060-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                                                 | CSL Finance PLC                                                                       | CUSIP: 12661PAD1<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |   1236000 | PA      | $1116132.94   | 0.08%             | 2042-04-27      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS Health Corp.                                                                      | CUSIP: 126650EE6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1903000 | PA      | $1912351.68   | 0.14%             | 2044-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS Health Corp.                                                                      | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3693000 | PA      | $3874134.56   | 0.29%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS Health Corp.                                                                      | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2507000 | PA      | $2566191.27   | 0.19%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                                | COLT Mortgage Loan Trust                                                              | CUSIP: 12665LAA2<br>LEI: 213800Z2Q6LED8DB8K38 | Long             | ABS-MBS          | CORP              | US        |    792200 | PA      | $799739.12    | 0.06%             | 2069-04-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Alternative Loan Trust                                                                | CUSIP: 12667FAQ8<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     60286 | PA      | $61610.42     | 0.00%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Alternative Loan Trust, Interest Only STRIPS                                          | CUSIP: 12667GGP2<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    303153 | PA      | $25390.30     | 0.00%             | 2035-06-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Alternative Loan Trust, Interest Only STRIPS                                          | CUSIP: 12667GQN6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    104856 | PA      | $5689.16      | 0.00%             | 2035-07-25      | Floating      | 0.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Alternative Loan Trust                                                                | CUSIP: 12667GWT6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     56942 | PA      | $48630.37     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Alternative Loan Trust                                                                | CUSIP: 12668APD1<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     16318 | PA      | $12452.89     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                       | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38787 | PA      | $31953.82     | 0.00%             | 2035-11-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                       | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4536 | PA      | $4351.77      | 0.00%             | 2034-05-20      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                       | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10642 | PA      | $10622.37     | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                       | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17737 | PA      | $17773.62     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                       | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5466 | PA      | $5026.75      | 0.00%             | 2034-06-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                                                          | Cadence Design Systems, Inc.                                                          | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   1276000 | PA      | $1275549.09   | 0.09%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                    | CaixaBank SA                                                                          | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   4595000 | PA      | $5124690.23   | 0.38%             | 2034-09-13      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                          | Canadian Imperial Bank of Commerce                                                    | CUSIP: 13607PVQ4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   1612000 | PA      | $1662333.44   | 0.12%             | 2031-01-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                                        | Canadian Pacific Railway Co.                                                          | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   4808000 | PA      | $4325573.41   | 0.32%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CANCARA ASSET SECUR LLC                                                         | Cancara Asset Securitisation LLC                                                      | CUSIP: 13738KBK2<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   3000000 | PA      | $2984347.20   | 0.22%             | 2026-02-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                        | Capital One Financial Corp.                                                           | CUSIP: 14040HDH5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3193000 | PA      | $3360652.07   | 0.25%             | 2035-07-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                        | Capital One Financial Corp.                                                           | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    625000 | PA      | $652426.78    | 0.05%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                        | Capital One Financial Corp.                                                           | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2995000 | PA      | $2979892.98   | 0.22%             | 2036-09-11      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                                                     | Cargill, Inc.                                                                         | CUSIP: 141781CD4<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |   1903000 | PA      | $1955623.54   | 0.14%             | 2035-02-11      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                | Carlisle Cos., Inc.                                                                   | CUSIP: 142339AN0<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |    868000 | PA      | $885928.27    | 0.07%             | 2035-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                   | Carnival Corp.                                                                        | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   2421000 | PA      | $2499900.22   | 0.18%             | 2033-02-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                   | Carnival Corp.                                                                        | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    685000 | PA      | $703002.47    | 0.05%             | 2032-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                    | Centene Corp.                                                                         | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1888000 | PA      | $1737402.55   | 0.13%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHARIOT FUNDING LLC                                                             | Chariot Funding LLC                                                                   | CUSIP: 15963UB96<br>LEI: 549300EEWRNP448AMT79 | Long             | STIV             | CORP              | US        |   6240000 | PA      | $6213976.70   | 0.46%             | 2026-02-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | Charter Communications Operating LLC/Charter Communications Operating Capital         | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |   1803000 | PA      | $1354412.93   | 0.10%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                                   | Chase Funding Trust                                                                   | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10782 | PA      | $10719.59     | 0.00%             | 2034-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Chase Issuance Trust                                                            | Chase Issuance Trust                                                                  | CUSIP: 161571HT4<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-O            | CORP              | US        |   3565000 | PA      | $3598548.79   | 0.27%             | 2028-09-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                              | Chase Mortgage Finance Trust                                                          | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5833 | PA      | $5855.39      | 0.00%             | 2037-02-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                              | Chase Mortgage Finance Trust                                                          | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5308 | PA      | $5320.96      | 0.00%             | 2035-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                        | Cheniere Energy Partners LP                                                           | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   3190000 | PA      | $3382589.36   | 0.25%             | 2033-06-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                                                           | Chile Electricity Lux MPC II SARL                                                     | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   2117276 | PA      | $2169816.37   | 0.16%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CITADEL FINANCE LLC                                                             | Citadel Finance LLC                                                                   | CUSIP: 17287HAD2<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |   2704000 | PA      | $2760488.89   | 0.20%             | 2030-02-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                               | Citigroup Mortgage Loan Trust, Inc.                                                   | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      1709 | PA      | $1648.51      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | Citigroup, Inc.                                                                       | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $1067295.35   | 0.08%             | 2034-05-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                                         | Colombia Government International Bonds                                               | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   1802000 | PA      | $1877954.30   | 0.14%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COLUMBIA FUNDING CO                                                             | Columbia Funding Co. LLC                                                              | CUSIP: 19767DB29<br>LEI: 549300O1V8MCLCRCFD82 | Long             | STIV             | CORP              | US        |   3600000 | PA      | $3587621.76   | 0.27%             | 2026-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA FUNDING CO                                                             | Columbia Funding Co. LLC                                                              | CUSIP: 19767DCH5<br>LEI: 549300O1V8MCLCRCFD82 | Long             | STIV             | CORP              | US        |   4000000 | PA      | $3968204.00   | 0.29%             | 2026-03-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | Comcast Corp.                                                                         | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1032000 | PA      | $579854.91    | 0.04%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CONCORD MINUTEMEN CAP CO                                                        | Concord Minutemen Capital Co. LLC                                                     | CUSIP: 20632LCB1<br>LEI: 549300B4YYZ4SNU1JB49 | Long             | STIV             | CORP              | US        |   7000000 | PA      | $6948050.90   | 0.51%             | 2026-03-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                        | Constellation Brands, Inc.                                                            | CUSIP: 21036PBT4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   1741000 | PA      | $1721707.63   | 0.13%             | 2035-11-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | Corebridge Financial, Inc.                                                            | CUSIP: 21871XAS8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1207000 | PA      | $1261908.05   | 0.09%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CORP FINANCIERA DE DESAR                                                        | Corp. Financiera de Desarrollo SA                                                     | CUSIP: 21987DAH7<br>LEI: 254900BOM7T4MG6T0J30 | Long             | DBT              | NUSS              | PE        |   1321000 | PA      | $1363549.41   | 0.10%             | 2030-05-06      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE CIB NY                                                          | Credit Agricole Corporate & Investment Bank SA                                        | CUSIP: 22533UCC5<br>LEI: 254900BN8XS34XZDJ223 | Long             | STIV             | CORP              | FR        |  10050000 | PA      | $9976650.08   | 0.74%             | 2026-03-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS Group AG                                                                          | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1314000 | PA      | $1307608.93   | 0.10%             | 2031-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                  | Credit Suisse First Boston Mortgage Securities Corp.                                  | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4709 | PA      | $4715.73      | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                            | Cross Mortgage Trust                                                                  | CUSIP: 22757JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3743793 | PA      | $3745937.46   | 0.28%             | 2070-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                            | Cross Mortgage Trust                                                                  | CUSIP: 22757XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2412900 | PA      | $2417567.60   | 0.18%             | 2070-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                            | Cross Mortgage Trust                                                                  | CUSIP: 22758YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4700000 | PA      | $4704022.26   | 0.35%             | 2071-01-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                    | DNB Bank ASA                                                                          | CUSIP: 2332K1BD1<br>LEI: 549300GKFG0RYRRQ1414 | Long             | STIV             | CORP              | NO        |  10000000 | PA      | $9955917.00   | 0.74%             | 2026-02-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                                 | DTE Electric Co.                                                                      | CUSIP: 23338VAD8<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |   3646000 | PA      | $3104822.36   | 0.23%             | 2044-07-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                         | Dell International LLC/EMC Corp.                                                      | CUSIP: 24703DBQ3<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |   2485000 | PA      | $2451879.17   | 0.18%             | 2035-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                | Deutsche Bank AG                                                                      | CUSIP: 251526DD8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2835000 | PA      | $2825346.68   | 0.21%             | 2031-12-10      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                                            | Diameter Capital CLO 1 Ltd.                                                           | CUSIP: 25255DAL4<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |   6725000 | PA      | $6741429.18   | 0.50%             | 2037-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                          | Diamondback Energy, Inc.                                                              | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   2760000 | PA      | $2826031.18   | 0.21%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | Dominican Republic International Bonds                                                | CUSIP: 25714PEZ7<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   2887000 | PA      | $3038423.15   | 0.22%             | 2036-06-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                | Duke Energy Corp.                                                                     | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   3564000 | PA      | $2702717.81   | 0.20%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                | Duke Energy Corp.                                                                     | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   3272000 | PA      | $3244547.53   | 0.24%             | 2035-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                        | Duke Energy Progress LLC                                                              | CUSIP: 26442UAE4<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $1837660.61   | 0.14%             | 2047-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | EQT Corp.                                                                             | CUSIP: 26884LAZ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    819000 | PA      | $847485.58    | 0.06%             | 2029-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| EATON CAPITAL ULC                                                               | Eaton Capital ULC                                                                     | CUSIP: 27806HAA9<br>LEI: 549300OLS85LSODKAF64 | Long             | DBT              | CORP              | IE        |   1455000 | PA      | $1470238.86   | 0.11%             | 2030-05-09      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                    | Ecopetrol SA                                                                          | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   1934000 | PA      | $1990260.06   | 0.15%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                                                        | Element Fleet Management Corp.                                                        | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   3667000 | PA      | $3747728.56   | 0.28%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| ELP Commercial Mortgage Trust                                                   | ELP Commercial Mortgage Trust                                                         | CUSIP: 290154AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1686000 | PA      | $1684387.51   | 0.12%             | 2042-11-13      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO                                                             | Emerson Electric Co.                                                                  | CUSIP: 29101BAV4<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | STIV             | CORP              | US        |   5700000 | PA      | $5683233.45   | 0.42%             | 2026-01-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO                                                             | Emerson Electric Co.                                                                  | CUSIP: 29101BCP5<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | STIV             | CORP              | US        |   4000000 | PA      | $3966422.40   | 0.29%             | 2026-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | Ovintiv, Inc.                                                                         | CUSIP: 292505AD6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2588749.22   | 0.19%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | Enbridge, Inc.                                                                        | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   2294000 | PA      | $2394761.79   | 0.18%             | 2034-04-05      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | Enbridge, Inc.                                                                        | CUSIP: 29250NCJ2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1766000 | PA      | $1805390.37   | 0.13%             | 2030-06-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29273RAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1156517.32   | 0.09%             | 2043-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29273RAZ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1160326.48   | 0.09%             | 2043-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1114000 | PA      | $1143653.55   | 0.08%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                     | Equinor ASA                                                                           | CUSIP: 29446MAP7<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |   4038000 | PA      | $4017146.23   | 0.30%             | 2035-11-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                               | Expedia Group, Inc.                                                                   | CUSIP: 30212PBL8<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |   2547000 | PA      | $2612485.94   | 0.19%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                          | Extra Space Storage LP                                                                | CUSIP: 30225VAU1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |   2756000 | PA      | $2825302.73   | 0.21%             | 2035-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | Meta Platforms, Inc.                                                                  | CUSIP: 30303MAB8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2688000 | PA      | $2693680.17   | 0.20%             | 2030-11-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                            | FREMF Mortgage Trust                                                                  | CUSIP: 30307MAS7<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $863057.70    | 0.06%             | 2028-04-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                                                 | Fair Isaac Corp.                                                                      | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |   1501000 | PA      | $1541747.65   | 0.11%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                                | Federal Home Loan Mortgage Corp., Interest Only STRIPS                                | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10885 | PA      | $1557.56      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128DHG99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28192 | PA      | $28800.73     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10301 | PA      | $10508.56     | 0.00%             | 2036-07-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9756 | PA      | $9948.56      | 0.00%             | 2036-10-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1827 | PA      | $1878.34      | 0.00%             | 2036-12-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128NUBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3769 | PA      | $3909.29      | 0.00%             | 2036-10-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3348 | PA      | $3457.64      | 0.00%             | 2036-05-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128QGMA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7463 | PA      | $7621.44      | 0.00%             | 2037-02-01      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9955 | PA      | $10201.92     | 0.00%             | 2036-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15445 | PA      | $16014.17     | 0.00%             | 2036-06-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3550 | PA      | $3613.91      | 0.00%             | 2037-03-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12770 | PA      | $13142.12     | 0.00%             | 2036-02-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3131Y1WR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301343 | PA      | $299297.83    | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    585065 | PA      | $594473.59    | 0.04%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1581445 | PA      | $1608216.32   | 0.12%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132H33Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273472 | PA      | $260599.98    | 0.02%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127896 | PA      | $121611.60    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113206 | PA      | $110355.10    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259790 | PA      | $247024.42    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269359 | PA      | $261906.31    | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                                | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132HT3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2328 | PA      | $2320.48      | 0.00%             | 2044-03-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7195 | PA      | $7515.46      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    773864 | PA      | $684966.61    | 0.05%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22697 | PA      | $23685.00     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6768 | PA      | $7049.49      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12429 | PA      | $12861.39     | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6501 | PA      | $6786.77      | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15049 | PA      | $15806.98     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 31349UFK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6818 | PA      | $7020.67      | 0.00%             | 2034-09-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7662 | PA      | $7980.50      | 0.00%             | 2035-01-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       776 | PA      | $810.63       | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 3136AAJ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4305 | PA      | $4299.07      | 0.00%             | 2041-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77579 | PA      | $60574.90     | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89622 | PA      | $67730.92     | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                                 | Federal National Mortgage Association, Principal Only STRIPS                          | CUSIP: 3136FAQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8164 | PA      | $7574.72      | 0.00%             | 2032-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                                 | Federal National Mortgage Association, Principal Only STRIPS                          | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1382 | PA      | $1248.26      | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31371LFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3352 | PA      | $3371.39      | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 3137A6CE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16898 | PA      | $1573.77      | 0.00%             | 2040-01-15      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16114 | PA      | $15501.10     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48414 | PA      | $48177.65     | 0.00%             | 2041-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33847 | PA      | $33443.31     | 0.00%             | 2037-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3137B2JP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280518 | PA      | $275514.42    | 0.02%             | 2043-06-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249633 | PA      | $237085.20    | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207479 | PA      | $191350.42    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3138WCQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165373 | PA      | $160267.14    | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3138WU4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135554 | PA      | $133043.70    | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2869 | PA      | $2992.36      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5519 | PA      | $5805.66      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21202 | PA      | $22077.21     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       486 | PA      | $508.47       | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       805 | PA      | $955.07       | 0.00%             | 2032-02-25      | Floating      | 12.22%                | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31392ET34<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |    104724 | PA      | $4299.26      | 0.00%             | 2042-08-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1309 | PA      | $1354.35      | 0.00%             | 2032-12-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5963 | PA      | $558.57       | 0.00%             | 2032-03-15      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21059 | PA      | $22338.61     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31392MQP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9138 | PA      | $9609.91      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31392PU37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8613 | PA      | $8852.54      | 0.00%             | 2032-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24208 | PA      | $25474.68     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association REMICS                                          | CUSIP: 31393AP68<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |      7802 | PA      | $7921.10      | 0.00%             | 2042-10-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5650 | PA      | $724.53       | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7686 | PA      | $882.55       | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4883 | PA      | $4818.15      | 0.00%             | 2033-07-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16504 | PA      | $15626.71     | 0.00%             | 2033-08-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2102 | PA      | $2208.46      | 0.00%             | 2033-09-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31393FKF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7792 | PA      | $8156.77      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                        | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates                 | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24895 | PA      | $25898.70     | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31393NTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1010 | PA      | $1017.51      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14567 | PA      | $16161.45     | 0.00%             | 2034-05-25      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5479 | PA      | $5946.44      | 0.00%             | 2034-04-25      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2290 | PA      | $2463.58      | 0.00%             | 2034-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2130 | PA      | $2289.95      | 0.00%             | 2034-05-25      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association REMICS                                          | CUSIP: 31394AB47<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     20384 | PA      | $21104.85     | 0.00%             | 2044-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31394AR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4874 | PA      | $5114.54      | 0.00%             | 2031-11-25      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3348 | PA      | $3006.45      | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16190 | PA      | $16049.58     | 0.00%             | 2035-04-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17913 | PA      | $19804.66     | 0.00%             | 2035-07-25      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1556 | PA      | $1717.01      | 0.00%             | 2033-09-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10726 | PA      | $11461.87     | 0.00%             | 2033-07-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31394ULM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28898 | PA      | $27892.61     | 0.00%             | 2035-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6105 | PA      | $7242.64      | 0.00%             | 2036-03-25      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43290 | PA      | $36397.04     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158732 | PA      | $15087.90     | 0.00%             | 2036-03-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6825 | PA      | $6129.31      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395BTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8497 | PA      | $7327.46      | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association                                                 | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28438 | PA      | $28204.56     | 0.00%             | 2046-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7665 | PA      | $6949.75      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8764 | PA      | $7652.12      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1030 | PA      | $928.22       | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                        | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54755 | PA      | $50502.61     | 0.00%             | 2044-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24610 | PA      | $21713.73     | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4617 | PA      | $4114.97      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3491 | PA      | $2864.39      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8055 | PA      | $635.18       | 0.00%             | 2036-06-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4881 | PA      | $4374.96      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2025 | PA      | $1801.09      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2723 | PA      | $2398.23      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3513 | PA      | $3076.96      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396K4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1784 | PA      | $2238.52      | 0.00%             | 2036-10-25      | Floating      | 10.25%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3631 | PA      | $3143.49      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2401 | PA      | $2383.78      | 0.00%             | 2036-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1019 | PA      | $1144.40      | 0.00%             | 2036-12-25      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6435 | PA      | $5627.08      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4486 | PA      | $3943.13      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13237 | PA      | $13777.30     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5589 | PA      | $587.60       | 0.00%             | 2036-07-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1589 | PA      | $1387.32      | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12443 | PA      | $1039.36      | 0.00%             | 2037-06-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24002 | PA      | $3205.44      | 0.00%             | 2037-07-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8735 | PA      | $528.49       | 0.00%             | 2038-01-25      | Floating      | 1.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7752 | PA      | $8190.07      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9024 | PA      | $9117.28      | 0.00%             | 2036-06-27      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13782 | PA      | $1130.76      | 0.00%             | 2037-09-25      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20585 | PA      | $1645.48      | 0.00%             | 2038-02-25      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4507 | PA      | $359.36       | 0.00%             | 2038-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396YXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2240 | PA      | $2221.88      | 0.00%             | 2038-03-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6872 | PA      | $5915.65      | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2074 | PA      | $2058.20      | 0.00%             | 2037-02-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31397HKD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1374 | PA      | $1146.97      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397KTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133799 | PA      | $11890.95     | 0.00%             | 2037-10-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7312 | PA      | $590.53       | 0.00%             | 2039-02-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17716 | PA      | $1438.39      | 0.00%             | 2038-09-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24354 | PA      | $1850.01      | 0.00%             | 2038-09-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2337 | PA      | $167.05       | 0.00%             | 2037-11-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17938 | PA      | $1457.19      | 0.00%             | 2037-11-15      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20326 | PA      | $1925.53      | 0.00%             | 2038-01-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87929 | PA      | $9847.55      | 0.00%             | 2041-01-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11734 | PA      | $878.68       | 0.00%             | 2041-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14622 | PA      | $1495.87      | 0.00%             | 2038-04-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31397THP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3270 | PA      | $3360.41      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78650 | PA      | $8602.15      | 0.00%             | 2038-06-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8498 | PA      | $696.65       | 0.00%             | 2039-02-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3459 | PA      | $263.16       | 0.00%             | 2039-12-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10964 | PA      | $9177.00      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6923 | PA      | $6061.08      | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5229 | PA      | $345.79       | 0.00%             | 2040-04-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17650 | PA      | $17583.46     | 0.00%             | 2040-02-15      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31403DES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5230 | PA      | $5380.50      | 0.00%             | 2036-01-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31408EN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4469 | PA      | $4489.94      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    998805 | PA      | $1044358.50   | 0.08%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583723 | PA      | $535521.20    | 0.04%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572188 | PA      | $497793.41    | 0.04%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    718110 | PA      | $591298.33    | 0.04%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140HJHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149649 | PA      | $144593.23    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140J8CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568279 | PA      | $550312.22    | 0.04%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140M3AF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066944 | PA      | $908436.79    | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761901 | PA      | $656197.35    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741901 | PA      | $656675.47    | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140QRW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2217366 | PA      | $2227514.23   | 0.16%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140QUVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1472840 | PA      | $1515667.74   | 0.11%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140XKP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2132220 | PA      | $2173236.78   | 0.16%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140XKS76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2152039 | PA      | $2109452.80   | 0.16%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140XKTV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1890217 | PA      | $1893565.41   | 0.14%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140XKUQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2111199 | PA      | $2119021.25   | 0.16%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140XPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2327657 | PA      | $2327520.34   | 0.17%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31416CFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2952 | PA      | $3076.49      | 0.00%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252349 | PA      | $245705.68    | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74177 | PA      | $73271.28     | 0.01%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225821 | PA      | $214473.33    | 0.02%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151801 | PA      | $144172.66    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANCSHARE                                                        | First Citizens BancShares, Inc.                                                       | CUSIP: 31959XAC7<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |   2985000 | PA      | $3030393.10   | 0.22%             | 2031-03-12      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| First National Master Note Trust                                                | First National Master Note Trust                                                      | CUSIP: 32113CBV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2075000 | PA      | $2081733.79   | 0.15%             | 2029-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| First National Master Note Trust                                                | First National Master Note Trust                                                      | CUSIP: 32113CBY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1740000 | PA      | $1762141.50   | 0.13%             | 2029-09-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                      | Fiserv, Inc.                                                                          | CUSIP: 337738BD9<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   1803000 | PA      | $1846250.94   | 0.14%             | 2028-03-02      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS                                                        | Fortitude Group Holdings LLC                                                          | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |    954000 | PA      | $993672.88    | 0.07%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                           | Foundry JV Holdco LLC                                                                 | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   2437000 | PA      | $2502666.67   | 0.18%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                           | Foundry JV Holdco LLC                                                                 | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   2337000 | PA      | $2445313.31   | 0.18%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                         | GLP Capital LP/GLP Financing II, Inc.                                                 | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              |  | US        |   2457000 | PA      | $2465899.25   | 0.18%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                               | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9105 | PA      | $9052.65      | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                               | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31058 | PA      | $12563.25     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                       | GSMPS Mortgage Loan Trust                                                             | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45145 | PA      | $38805.58     | 0.00%             | 2035-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                               | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13792 | PA      | $13813.90     | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                               | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4529 | PA      | $4527.60      | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                       | GSMPS Mortgage Loan Trust                                                             | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63810 | PA      | $59552.86     | 0.00%             | 2035-03-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                               | GXO Logistics, Inc.                                                                   | CUSIP: 36262GAD3<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   3525000 | PA      | $3170791.22   | 0.23%             | 2031-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                               | GXO Logistics, Inc.                                                                   | CUSIP: 36262GAG6<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1312509.72   | 0.10%             | 2034-05-06      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receivables Trust                                        | GM Financial Revolving Receivables Trust                                              | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2739000 | PA      | $2687361.91   | 0.20%             | 2034-06-12      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                                          | GE HealthCare Technologies, Inc.                                                      | CUSIP: 36266GAA5<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1615005.11   | 0.12%             | 2029-08-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                                          | GE HealthCare Technologies, Inc.                                                      | CUSIP: 36266GAE7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    876000 | PA      | $874062.03    | 0.06%             | 2035-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GCAT                                                                            | GCAT Trust                                                                            | CUSIP: 36831QAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3778877 | PA      | $3781356.12   | 0.28%             | 2070-10-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | General Electric Co.                                                                  | CUSIP: 369604BF9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    442000 | PA      | $373854.99    | 0.03%             | 2042-10-09      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | General Electric Co.                                                                  | CUSIP: 369604BH5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   1694000 | PA      | $1524014.59   | 0.11%             | 2044-03-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | General Electric Co.                                                                  | CUSIP: 369604BZ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1714445.92   | 0.13%             | 2030-07-29      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | General Motors Co.                                                                    | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    568000 | PA      | $575966.77    | 0.04%             | 2043-10-02      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | General Motors Co.                                                                    | CUSIP: 37045VBC3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $1097112.59   | 0.08%             | 2028-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                          | General Motors Financial Co., Inc.                                                    | CUSIP: 37045XFK7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1388000 | PA      | $1462660.24   | 0.11%             | 2035-07-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                                             | Georgia-Pacific LLC                                                                   | CUSIP: 37331NAT8<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1371780.05   | 0.10%             | 2032-06-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                             | Gilead Sciences, Inc.                                                                 | CUSIP: 375558CC5<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $2121345.40   | 0.16%             | 2035-06-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                            | Glencore Funding LLC                                                                  | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   2163000 | PA      | $1949916.19   | 0.14%             | 2031-09-23      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| GLENCOVE FUNDING LLC                                                            | Glencove Funding LLC                                                                  | CUSIP: 37828XC31<br>LEI: 549300XUUQZO7I38ZR06 | Long             | STIV             | CORP              | IE        |  10265000 | PA      | $10198516.67  | 0.75%             | 2026-03-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                         | Goldman Sachs Group, Inc.                                                             | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2211000 | PA      | $2194906.86   | 0.16%             | 2036-10-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                         | Goldman Sachs Group, Inc.                                                             | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2898000 | PA      | $2615805.63   | 0.19%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                                 | Goodgreen Trust                                                                       | CUSIP: 38217VAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |     56555 | PA      | $52392.78     | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| GOTHAM FUNDING CORP                                                             | Gotham Funding Corp.                                                                  | CUSIP: 38346MA20<br>LEI: 549300Z2ZR7VTUMRPR17 | Long             | STIV             | CORP              | US        |   6000000 | PA      | $5998750.20   | 0.44%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38373MA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9174 | PA      | $9939.52      | 0.00%             | 2037-04-20      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Principal Only STRIPS                | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10974 | PA      | $9841.76      | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8592 | PA      | $39.49        | 0.00%             | 2037-12-20      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8844 | PA      | $9778.47      | 0.00%             | 2034-04-16      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38374JBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4889 | PA      | $5345.31      | 0.00%             | 2034-09-20      | Floating      | 10.57%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21969 | PA      | $1049.76      | 0.00%             | 2034-10-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38374KF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        28 | PA      | $30.16        | 0.00%             | 2034-05-18      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34623 | PA      | $3143.33      | 0.00%             | 2035-09-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2227 | PA      | $2453.45      | 0.00%             | 2035-06-17      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12448 | PA      | $965.35       | 0.00%             | 2039-04-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3724 | PA      | $78.68        | 0.00%             | 2039-03-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12167 | PA      | $1003.44      | 0.00%             | 2039-06-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9498 | PA      | $527.23       | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        13 | PA      | $11.49        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        30 | PA      | $29.41        | 0.00%             | 2060-08-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        54 | PA      | $53.98        | 0.00%             | 2061-05-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BWP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3665 | PA      | $3649.59      | 0.00%             | 2060-03-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       203 | PA      | $202.56       | 0.00%             | 2060-04-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       436 | PA      | $436.34       | 0.00%             | 2062-09-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       452 | PA      | $452.23       | 0.00%             | 2062-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12139 | PA      | $12143.74     | 0.00%             | 2062-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375JJ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13790 | PA      | $194.28       | 0.00%             | 2037-05-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18594 | PA      | $1266.17      | 0.00%             | 2037-03-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11259 | PA      | $858.66       | 0.00%             | 2037-04-16      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375KA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33436 | PA      | $1129.52      | 0.00%             | 2037-07-20      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13463 | PA      | $75.71        | 0.00%             | 2037-06-16      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19734 | PA      | $94.20        | 0.00%             | 2037-11-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2934 | PA      | $3207.45      | 0.00%             | 2037-09-20      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9461 | PA      | $56.99        | 0.00%             | 2037-11-20      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Principal Only STRIPS                | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4804 | PA      | $3917.94      | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375PQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7066 | PA      | $7076.06      | 0.00%             | 2037-10-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375PYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20736 | PA      | $98.09        | 0.00%             | 2038-02-20      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11698 | PA      | $66.74        | 0.00%             | 2038-06-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32298 | PA      | $1623.97      | 0.00%             | 2038-05-16      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13171 | PA      | $745.35       | 0.00%             | 2038-12-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7044 | PA      | $33.07        | 0.00%             | 2039-02-16      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Principal Only STRIPS                | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4640 | PA      | $3886.79      | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES                                               | GreatAmerica Leasing Receivables Funding LLC                                          | CUSIP: 39154TCQ9<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   5762000 | PA      | $5782502.35   | 0.43%             | 2029-12-17      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                                                        | Greensaif Pipelines Bidco SARL                                                        | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |   1132000 | PA      | $1182733.98   | 0.09%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GTA FUNDING LLC                                                                 | GTA Funding LLC                                                                       | CUSIP: 40060XB66<br>LEI: 254900AKBBBSYOV90641 | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1992286.80   | 0.15%             | 2026-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GTA FUNDING LLC                                                                 | GTA Funding LLC                                                                       | CUSIP: 40060XBJ8<br>LEI: 254900AKBBBSYOV90641 | Long             | STIV             | CORP              | US        |   3750000 | PA      | $3730827.00   | 0.28%             | 2026-02-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GTA FUNDING LLC                                                                 | GTA Funding LLC                                                                       | CUSIP: 40060XD15<br>LEI: 254900AKBBBSYOV90641 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4952225.00   | 0.37%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATURAL GAS                                                          | Gulfstream Natural Gas System LLC                                                     | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1199000 | PA      | $1228871.83   | 0.09%             | 2035-07-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA, Inc.                                                                             | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1612000 | PA      | $1602570.62   | 0.12%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA, Inc.                                                                             | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2729000 | PA      | $2691683.74   | 0.20%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Hin Timeshare Trust                                                             | HINNT LLC                                                                             | CUSIP: 40472QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203470 | PA      | $207368.83    | 0.02%             | 2043-03-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP                                                        | Health Care Service Corp. A Mutual Legal Reserve Co.                                  | CUSIP: 42218SAM0<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    794000 | PA      | $764107.68    | 0.06%             | 2054-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                               | Healthpeak OP LLC                                                                     | CUSIP: 42250GAB9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |   3177000 | PA      | $3159692.43   | 0.23%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HEICO CORP                                                                      | HEICO Corp.                                                                           | CUSIP: 422806AB5<br>LEI: 529900O1DTDLCJ7L0I14 | Long             | DBT              | CORP              | US        |   2163000 | PA      | $2240610.34   | 0.17%             | 2033-08-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                               | Herc Holdings, Inc.                                                                   | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |   1464000 | PA      | $1540755.24   | 0.11%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                              | HERO Funding Trust                                                                    | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    160668 | PA      | $150874.42    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                              | HERO Funding Trust                                                                    | CUSIP: 42771XAC0<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |    146266 | PA      | $139624.70    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                                     | Hertz Vehicle Financing III LLC                                                       | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   1955000 | PA      | $1984257.75   | 0.15%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                                                        | Hess Midstream Operations LP                                                          | CUSIP: 428102AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1774000 | PA      | $1832009.80   | 0.14%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                                                | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   2618000 | PA      | $2594998.85   | 0.19%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                    | Hilton Grand Vacations Trust                                                          | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187548 | PA      | $191602.81    | 0.01%             | 2038-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                    | Hilton Grand Vacations Trust                                                          | CUSIP: 43283NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2430616 | PA      | $2458751.22   | 0.18%             | 2040-08-27      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                    | Hilton Grand Vacations Trust                                                          | CUSIP: 43283YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172476 | PA      | $176598.27    | 0.01%             | 2039-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                    | Hilton Grand Vacations Trust                                                          | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    774380 | PA      | $777590.30    | 0.06%             | 2044-05-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Hin Timeshare Trust                                                             | HINNT LLC                                                                             | CUSIP: 433401AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1769115 | PA      | $1771270.41   | 0.13%             | 2045-05-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                           | Amrize Finance U.S. LLC                                                               | CUSIP: 43475RAT3<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |   1411000 | PA      | $1455085.13   | 0.11%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                           | Amrize Finance U.S. LLC                                                               | CUSIP: 43475RAX4<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    825000 | PA      | $724321.21    | 0.05%             | 2046-09-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HUBBELL INC                                                                     | Hubbell, Inc.                                                                         | CUSIP: 443510AL6<br>LEI: 54930088VDQ6840Y6597 | Long             | DBT              | CORP              | US        |   2621000 | PA      | $2604057.02   | 0.19%             | 2035-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                                                        | Huntington Ingalls Industries, Inc.                                                   | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3030700.51   | 0.22%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                                    | Hudson Yards Mortgage Trust                                                           | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4900000 | PA      | $5080269.53   | 0.38%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                               | Hyatt Hotels Corp.                                                                    | CUSIP: 448579AW2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   1644000 | PA      | $1647393.87   | 0.12%             | 2035-12-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                         | Hyundai Capital America                                                               | CUSIP: 44891ADX2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   3416000 | PA      | $3541305.23   | 0.26%             | 2032-06-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                                                  | ICG US CLO Ltd.                                                                       | CUSIP: 44928XAY0<br>LEI: 25490053S2JSJU63Y978 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1501497.00   | 0.11%             | 2034-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                                      | Impac Secured Assets Trust                                                            | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9421 | PA      | $8933.17      | 0.00%             | 2036-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                         | Imperial Brands Finance PLC                                                           | CUSIP: 45262BAK9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   2679000 | PA      | $2750150.01   | 0.20%             | 2035-07-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                              | Ingersoll Rand, Inc.                                                                  | CUSIP: 45687VAF3<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1664763.86   | 0.12%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | Intel Corp.                                                                           | CUSIP: 458140AK6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   2005000 | PA      | $1778265.62   | 0.13%             | 2041-10-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | Intesa Sanpaolo SpA                                                                   | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   2352000 | PA      | $2776703.91   | 0.21%             | 2033-11-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                      | Intuit, Inc.                                                                          | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    794000 | PA      | $782033.30    | 0.06%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                        | JPMorgan Mortgage Trust                                                               | CUSIP: 466247K93<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      2513 | PA      | $2497.54      | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                             | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1054000 | PA      | $1110177.63   | 0.08%             | 2029-10-23      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                             | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2759000 | PA      | $2827147.33   | 0.21%             | 2030-01-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                             | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2075000 | PA      | $2211103.65   | 0.16%             | 2035-04-22      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                             | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1274000 | PA      | $1336628.46   | 0.10%             | 2036-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                             | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2905000 | PA      | $3005074.00   | 0.22%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                                                        | JBS USA Holding Lux SARL/JBS USA Foods Group Holdings, Inc./JBS USA Food Co.          | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3401000 | PA      | $3455952.37   | 0.26%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                        | KGS-Alpha SBA COOF Trust, Interest Only STRIPS                                        | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     88694 | PA      | $1348.83      | 0.00%             | 2038-08-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                        | KGS-Alpha SBA COOF Trust, Interest Only STRIPS                                        | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     84687 | PA      | $2155.19      | 0.00%             | 2039-03-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                        | KGS-Alpha SBA COOF Trust, Interest Only STRIPS                                        | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     24305 | PA      | $1391.39      | 0.00%             | 2040-04-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                           | Keysight Technologies, Inc.                                                           | CUSIP: 49338LAG8<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |    854000 | PA      | $860157.62    | 0.06%             | 2034-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| KIOXIA HOLDINGS CORP                                                            | Kioxia Holdings Corp.                                                                 | CUSIP: 49726JAA6<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |   4531000 | PA      | $4661654.42   | 0.34%             | 2030-07-24      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | Kroger Co.                                                                            | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   1318000 | PA      | $1325280.92   | 0.10%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Securities LLC                               | Ladder Capital Commercial Mortgage Trust                                              | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154000 | PA      | $144937.05    | 0.01%             | 2036-02-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| LKQ CORP                                                                        | LKQ Corp.                                                                             | CUSIP: 501889AF6<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1263644.95   | 0.09%             | 2033-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| LPL HOLDINGS INC                                                                | LPL Holdings, Inc.                                                                    | CUSIP: 50212YAJ3<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1080310.73   | 0.08%             | 2027-05-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                                                             | LYB International Finance III LLC                                                     | CUSIP: 50249AAQ6<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |    496000 | PA      | $497840.25    | 0.04%             | 2031-01-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                                                         | Laboratory Corp. of America Holdings                                                  | CUSIP: 50540RBB7<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |   2356000 | PA      | $2335135.26   | 0.17%             | 2034-10-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| LEXINGTON PARKER CAPITAL                                                        | Lexington Parker Capital Co. LLC                                                      | CUSIP: 52953BAS2<br>LEI: 5493005MSQJBO8BDMA02 | Long             | STIV             | CORP              | US        |   9000000 | PA      | $8975311.20   | 0.66%             | 2026-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET FDG LLC                                                          | Liberty Street Funding LLC                                                            | CUSIP: 53127UB90<br>LEI: 549300F33VRHM10B9391 | Long             | STIV             | CORP              | US        |   2160000 | PA      | $2150991.94   | 0.16%             | 2026-02-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET FDG LLC                                                          | Liberty Street Funding LLC                                                            | CUSIP: 53127UC24<br>LEI: 549300F33VRHM10B9391 | Long             | STIV             | CORP              | US        |   3410000 | PA      | $3388328.43   | 0.25%             | 2026-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LMA-Americas LLC                                                                | LMA-Americas LLC                                                                      | CUSIP: 53944RAT5<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   4250000 | PA      | $4237998.00   | 0.31%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LMA-Americas LLC                                                                | LMA-Americas LLC                                                                      | CUSIP: 53944RBK3<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5500000 | PA      | $5471201.45   | 0.40%             | 2026-02-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LONGSHIP FUNDING LLC                                                            | Longship Funding LLC                                                                  | CUSIP: 54316UCA5<br>LEI: 549300HYL7N00LBQMI55 | Long             | STIV             | CORP              | IE        |  10000000 | PA      | $9928125.00   | 0.73%             | 2026-03-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                  | Lowe's Cos., Inc.                                                                     | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2944000 | PA      | $2821080.93   | 0.21%             | 2032-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                            | M&T Bank Corp.                                                                        | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   1017000 | PA      | $1103357.98   | 0.08%             | 2029-10-30      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                            | M&T Bank Corp.                                                                        | CUSIP: 55261FAV6<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    745000 | PA      | $757033.40    | 0.06%             | 2036-01-16      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                            | M&T Bank Corp.                                                                        | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   2269000 | PA      | $2329410.60   | 0.17%             | 2031-07-08      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                                      | MFA Trust                                                                             | CUSIP: 55283QAA2<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   2720075 | PA      | $2505844.22   | 0.19%             | 2060-07-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                                                | MGM Resorts International                                                             | CUSIP: 552953CK5<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |   2291000 | PA      | $2354392.31   | 0.17%             | 2029-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                 | MVW LLC                                                                               | CUSIP: 55389RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2292783 | PA      | $2296048.32   | 0.17%             | 2044-10-20      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| MACKINAC FUNDING CO LLC                                                         | Mackinac Funding Co. LLC                                                              | CUSIP: 55458FAS6<br>LEI: 549300DSZ0UOZX6UNF02 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9972793.00   | 0.74%             | 2026-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MAINBEACH FUNDING LLC                                                           | Mainbeach Funding LLC                                                                 | CUSIP: 56037CC59<br>LEI: 635400CWJW29VERCBI90 | Long             | STIV             | CORP              | IE        |  10000000 | PA      | $9932599.00   | 0.73%             | 2026-03-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MANHATTAN ASSET FDG CO                                                          | Manhattan Asset Funding Co. LLC                                                       | CUSIP: 56274MC34<br>LEI: 549300S0NSJYSOB32S63 | Long             | STIV             | CORP              | US        |   7000000 | PA      | $6954550.40   | 0.51%             | 2026-03-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MANHATTAN ASSET FDG CO                                                          | Manhattan Asset Funding Co. LLC                                                       | CUSIP: 56274MCC4<br>LEI: 549300S0NSJYSOB32S63 | Long             | STIV             | CORP              | US        |   2700000 | PA      | $2679924.69   | 0.20%             | 2026-03-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                                  | Manhattan West Mortgage Trust                                                         | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2780000 | PA      | $2674753.09   | 0.20%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                                  | Manhattan West Mortgage Trust                                                         | CUSIP: 563136AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826000 | PA      | $794795.37    | 0.06%             | 2039-09-10      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                           | MASTR Adjustable Rate Mortgages Trust                                                 | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4325 | PA      | $3907.67      | 0.00%             | 2034-04-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                           | MASTR Adjustable Rate Mortgages Trust                                                 | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6801 | PA      | $6692.59      | 0.00%             | 2034-04-21      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                           | MASTR Adjustable Rate Mortgages Trust                                                 | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3611 | PA      | $3584.85      | 0.00%             | 2034-11-21      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                                    | MASTR Resecuritization Trust, Principal Only STRIPS                                   | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3162 | PA      | $2497.78      | 0.00%             | 2035-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                  | Merck & Co., Inc.                                                                     | CUSIP: 58933YBM6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    814000 | PA      | $747619.68    | 0.06%             | 2053-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                                     | Merrill Lynch Mortgage Investors Trust                                                | CUSIP: 589929Y36<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     34105 | PA      | $32507.45     | 0.00%             | 2028-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                                     | Merrill Lynch Mortgage Investors Trust                                                | CUSIP: 59020UAR6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     25358 | PA      | $23692.98     | 0.00%             | 2029-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                                     | Merrill Lynch Mortgage Investors Trust                                                | CUSIP: 59020UNN1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     10134 | PA      | $9497.74      | 0.00%             | 2034-12-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                                                    | MetLife Securitization Trust                                                          | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440148 | PA      | $435784.44    | 0.03%             | 2058-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                                        | Microchip Technology, Inc.                                                            | CUSIP: 595017BE3<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   2036000 | PA      | $2075823.63   | 0.15%             | 2029-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                           | Micron Technology, Inc.                                                               | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   2157000 | PA      | $2234261.28   | 0.17%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ TR&BK NY                                                         | Mitsubishi UFJ Trust & Banking Corp.                                                  | CUSIP: 60682XCD6<br>LEI: JBONEPAGQXF4QP29B387 | Long             | STIV             | CORP              | JP        |  10000000 | PA      | $9925271.00   | 0.73%             | 2026-03-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MONT BLANC CAPITAL CORP                                                         | Mont Blanc Capital Corp.                                                              | CUSIP: 6117P5CG0<br>LEI: 549300NC8BUDZTUFIQ67 | Long             | STIV             | CORP              | US        |   9700000 | PA      | $9623915.14   | 0.71%             | 2026-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1299000 | PA      | $1350278.44   | 0.10%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5016000 | PA      | $5225797.86   | 0.39%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2185000 | PA      | $2249242.80   | 0.17%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | Morgan Stanley                                                                        | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1298403.24   | 0.10%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| MOSAIC CO                                                                       | Mosaic Co.                                                                            | CUSIP: 61945CAK9<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1437834.60   | 0.11%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MUFG SECURITIES CA                                                              | MUFG Securities Canada Ltd.                                                           | CUSIP: 62479VCK7<br>LEI: 549300Y1PMK3RWXMWR72 | Long             | STIV             | CORP              | CA        |   7500000 | PA      | $7438250.25   | 0.55%             | 2026-03-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MUNICH RE                                                                       | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen                             | CUSIP: 62582PAA8<br>LEI: 529900MUF4C20K50JS49 | Long             | DBT              | CORP              | DE        |   1800000 | PA      | $1879501.95   | 0.14%             | 2042-05-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                 | MVW LLC                                                                               | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3876375 | PA      | $3951604.50   | 0.29%             | 2043-02-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                 | MVW LLC                                                                               | CUSIP: 62848PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    433311 | PA      | $438232.58    | 0.03%             | 2040-10-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                  | NRG Energy, Inc.                                                                      | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305939.70    | 0.02%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                          | NXP BV/NXP Funding LLC/NXP USA, Inc.                                                  | CUSIP: 62954HAN8<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |   1338000 | PA      | $883509.08    | 0.07%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                          | NXP BV/NXP Funding LLC/NXP USA, Inc.                                                  | CUSIP: 62954HBH0<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |   2204000 | PA      | $2236565.47   | 0.17%             | 2035-08-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                | NTT Finance Corp.                                                                     | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   1692000 | PA      | $1714503.77   | 0.13%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                                                    | NNN REIT, Inc.                                                                        | CUSIP: 637417AU0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |   3218000 | PA      | $3240238.12   | 0.24%             | 2031-02-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NatWest Group PLC                                                                     | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2867000 | PA      | $3031457.31   | 0.22%             | 2035-03-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| NBCUNIVERSAL MEDIA LLC                                                          | NBCUniversal Media LLC                                                                | CUSIP: 63946BAJ9<br>LEI: VTBDOQJ6KOGQ6K786R46 | Long             | DBT              | CORP              | US        |   1268000 | PA      | $1077911.28   | 0.08%             | 2043-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                             | New Residential Mortgage Loan Trust                                                   | CUSIP: 64828MAA5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    254933 | PA      | $247502.39    | 0.02%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                             | New Residential Mortgage Loan Trust                                                   | CUSIP: 64829JAA1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1194419 | PA      | $1166889.23   | 0.09%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                             | New Residential Mortgage Loan Trust                                                   | CUSIP: 64830MAG8<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    207466 | PA      | $196922.09    | 0.01%             | 2059-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NIEUW AMSTERDAM REC BV                                                          | Nieuw Amsterdam Receivables Corp. BV                                                  | CUSIP: 65409SBP2<br>LEI: 724500BM7HQ28ZIB2058 | Long             | STIV             | CORP              | NE        |   7500000 | PA      | $7457925.00   | 0.55%             | 2026-02-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                                             | Nomura Asset Acceptance Corp. Alternative Loan Trust                                  | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1803 | PA      | $1834.69      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                                             | Nomura Asset Acceptance Corp. Alternative Loan Trust                                  | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9586 | PA      | $9676.43      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | Nutrien Ltd.                                                                          | CUSIP: 67077MBA5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    993000 | PA      | $1010942.66   | 0.07%             | 2028-03-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                                        | OCP SA                                                                                | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |   1237000 | PA      | $1332446.15   | 0.10%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 67118TAA2<br>LEI: 254900LSNFNEGAD7J679 | Long             | ABS-MBS          | CORP              | US        |    234355 | PA      | $236355.66    | 0.02%             | 2064-01-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-MBS          | CORP              | US        |    202494 | PA      | $205179.35    | 0.02%             | 2064-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 67120VAA3<br>LEI: 2549006BC0G3YEF5SL09 | Long             | ABS-MBS          | CORP              | US        |    517837 | PA      | $522448.47    | 0.04%             | 2064-11-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 67121UAA4<br>LEI: 254900FPAGVH6E25VL74 | Long             | ABS-MBS          | CORP              | US        |   2606516 | PA      | $2629199.22   | 0.19%             | 2065-05-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 67123BAF3<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |  14000000 | PA      | $14002081.80  | 1.04%             | 2065-10-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 673918AC2<br>LEI: 254900JLM1WC0WGYCA96 | Long             | ABS-MBS          | CORP              | US        |   6856151 | PA      | $6877815.40   | 0.51%             | 2065-09-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 67448GAA1<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    552582 | PA      | $553263.99    | 0.04%             | 2063-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                        | Occidental Petroleum Corp.                                                            | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1087000 | PA      | $1114164.77   | 0.08%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION INSURC INC                                                        | Constellation Insurance, Inc.                                                         | CUSIP: 67740QAH9<br>LEI: 549300K609B872PZT291 | Long             | DBT              | CORP              | US        |   2487000 | PA      | $2504088.70   | 0.19%             | 2030-01-24      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK, Inc.                                                                           | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   2582000 | PA      | $2762966.16   | 0.20%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | Oracle Corp.                                                                          | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1856000 | PA      | $1833959.67   | 0.14%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | Oracle Corp.                                                                          | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1553372.99   | 0.11%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | Oracle Corp.                                                                          | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    662000 | PA      | $586541.41    | 0.04%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING                                                                   | Owens Corning                                                                         | CUSIP: 690742AG6<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |   2008000 | PA      | $1634010.86   | 0.12%             | 2047-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                                                  | PHH Alternative Mortgage Trust, Interest Only STRIPS                                  | CUSIP: 69337HAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41290 | PA      | $8266.77      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                          | PNC Financial Services Group, Inc.                                                    | CUSIP: 693475BS3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2718000 | PA      | $2917993.97   | 0.22%             | 2034-08-18      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                          | PNC Financial Services Group, Inc.                                                    | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1447000 | PA      | $1488217.77   | 0.11%             | 2036-07-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                          | Pacific Gas & Electric Co.                                                            | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    245000 | PA      | $185376.84    | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                          | Pacific Gas & Electric Co.                                                            | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1340941.44   | 0.10%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | Petroleos Mexicanos                                                                   | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1971000 | PA      | $2001553.79   | 0.15%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | Petroleos Mexicanos                                                                   | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    978000 | PA      | $876479.82    | 0.06%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                                         | Pfizer Investment Enterprises Pte. Ltd.                                               | CUSIP: 716973AF9<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   1896000 | PA      | $1824512.08   | 0.13%             | 2043-05-19      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                          | Philip Morris International, Inc.                                                     | CUSIP: 718172EA3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   3363000 | PA      | $3289959.31   | 0.24%             | 2035-10-29      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                            | Pilgrim's Pride Corp.                                                                 | CUSIP: 72147KAL2<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   1739000 | PA      | $1928619.64   | 0.14%             | 2034-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                                                | Provident Funding Mortgage Trust                                                      | CUSIP: 74388RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1989487 | PA      | $2002154.32   | 0.15%             | 2055-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                        | Prudential Financial, Inc.                                                            | CUSIP: 744320BH4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   3165000 | PA      | $2943885.50   | 0.22%             | 2050-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS I LLC                                                            | QTS Issuer ABS I LLC                                                                  | CUSIP: 74690DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3372000 | PA      | $3394926.90   | 0.25%             | 2055-05-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                                    | QUALCOMM, Inc.                                                                        | CUSIP: 747525BJ1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |   1429000 | PA      | $987053.98    | 0.07%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                             | Quanta Services, Inc.                                                                 | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   2336000 | PA      | $2186412.09   | 0.16%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                             | Quanta Services, Inc.                                                                 | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    109000 | PA      | $111758.08    | 0.01%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RENAISSANCERE HOLDINGS L                                                        | RenaissanceRe Holdings Ltd.                                                           | CUSIP: 75968NAG6<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |    487000 | PA      | $508642.84    | 0.04%             | 2035-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                                                 | Renew Financial                                                                       | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     77501 | PA      | $72165.98     | 0.01%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| REPSOL E&P CAP MARKETS                                                          | Repsol E&P Capital Markets U.S. LLC                                                   | CUSIP: 76026AAC1<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |   2609000 | PA      | $2660868.69   | 0.20%             | 2035-09-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                              | RGA Global Funding                                                                    | CUSIP: 76209PAF0<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   3171000 | PA      | $3235020.84   | 0.24%             | 2031-12-06      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| RIDGEFIELD FUNDNG CO LLC                                                        | Ridgefield Funding Co. LLC                                                            | CUSIP: 76582KCB5<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1985338.80   | 0.15%             | 2026-03-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RIDGEFIELD FUNDNG CO LLC                                                        | Ridgefield Funding Co. LLC                                                            | CUSIP: 76582KCJ8<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   7200000 | PA      | $7141834.08   | 0.53%             | 2026-03-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                                  | Rocket Cos., Inc.                                                                     | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2232000 | PA      | $2307171.84   | 0.17%             | 2030-08-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                          | Roper Technologies, Inc.                                                              | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   1848000 | PA      | $1843964.86   | 0.14%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                                         | Royal Caribbean Cruises Ltd.                                                          | CUSIP: 78017TAB9<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   2161000 | PA      | $2170049.73   | 0.16%             | 2036-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                              | Royalty Pharma PLC                                                                    | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1627000 | PA      | $1474871.53   | 0.11%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                              | Royalty Pharma PLC                                                                    | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1421000 | PA      | $1428186.58   | 0.11%             | 2035-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                 | SBA Tower Trust                                                                       | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              |  | US        |   5630000 | PA      | $5764954.48   | 0.43%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                                         | SCF Equipment Trust LLC                                                               | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2509000 | PA      | $2561174.40   | 0.19%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                        | Sabine Pass Liquefaction LLC                                                          | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1081062.13   | 0.08%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOLDINGS LLC                                                        | Safehold GL Holdings LLC                                                              | CUSIP: 785931AA4<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              |  | US        |   1612000 | PA      | $1708337.81   | 0.13%             | 2034-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                                 | Securitized Asset-Backed Receivables LLC Trust                                        | CUSIP: 81375WHH2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |     12018 | PA      | $10351.56     | 0.00%             | 2036-01-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| SENSATA TECH INC                                                                | Sensata Technologies, Inc.                                                            | CUSIP: 81728UAA2<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |   1926000 | PA      | $1881124.01   | 0.14%             | 2030-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                                | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19357 | PA      | $18263.88     | 0.00%             | 2033-04-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                                | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60143 | PA      | $53097.01     | 0.00%             | 2034-09-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                                | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33083 | PA      | $30493.88     | 0.00%             | 2034-10-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                                | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8706 | PA      | $8063.53      | 0.00%             | 2034-12-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                    | 7-Eleven, Inc.                                                                        | CUSIP: 817826AE0<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   2387000 | PA      | $2090242.74   | 0.15%             | 2031-02-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| SHEFFIELD RECEIVABLES                                                           | Sheffield Receivables Co. LLC                                                         | CUSIP: 82124MBK5<br>LEI: 549300MYF6MOTU9T3G29 | Long             | STIV             | CORP              | US        |   8400000 | PA      | $8356094.88   | 0.62%             | 2026-02-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                            | Shell Finance U.S., Inc.                                                              | CUSIP: 822905AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1499000 | PA      | $1167871.65   | 0.09%             | 2046-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 82650BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    177750 | PA      | $182564.91    | 0.01%             | 2040-04-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 82653CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    594776 | PA      | $598866.74    | 0.04%             | 2042-01-21      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 82653HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    531306 | PA      | $533804.83    | 0.04%             | 2044-04-20      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 826935AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    384511 | PA      | $389138.66    | 0.03%             | 2043-01-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 826943AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    492316 | PA      | $499346.16    | 0.04%             | 2040-01-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 826944AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195574 | PA      | $202469.07    | 0.01%             | 2040-09-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| SITIOS LATINOAMERICA                                                            | Sitios Latinoamerica SAB de CV                                                        | CUSIP: 82983PAA1<br>LEI: 984500D2C0CDC0BFDD35 | Long             | DBT              | CORP              | MX        |   1489000 | PA      | $1543348.50   | 0.11%             | 2029-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                                                   | J.M. Smucker Co.                                                                      | CUSIP: 832696AY4<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    843000 | PA      | $904627.47    | 0.07%             | 2043-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | Societe Generale SA                                                                   | CUSIP: 83369CCC6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9925744.00   | 0.73%             | 2026-03-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                                               | Southern Power Co.                                                                    | CUSIP: 843646AX8<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |   1032000 | PA      | $1029241.81   | 0.08%             | 2030-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                                               | Southern Power Co.                                                                    | CUSIP: 843646AY6<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |   1392000 | PA      | $1377000.10   | 0.10%             | 2035-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                           | Southwest Airlines Co.                                                                | CUSIP: 844741BL1<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |   2926000 | PA      | $2932122.30   | 0.22%             | 2028-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                         | Starwood Property Trust, Inc.                                                         | CUSIP: 85571BBC8<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |    609000 | PA      | $625078.82    | 0.05%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                               | State Street Corp.                                                                    | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   1188000 | PA      | $1181818.22   | 0.09%             | 2036-10-23      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                                                      | FIXED INC CLEARING CORP.REPO                                                          | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  44160568 | PA      | $44160568.06  | 3.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                  | Structured Adjustable Rate Mortgage Loan Trust                                        | CUSIP: 86359BGJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36836 | PA      | $35596.43     | 0.00%             | 2034-02-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                        | CUSIP: 86359LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56237 | PA      | $54131.77     | 0.00%             | 2034-01-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                        | CUSIP: 86359LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50035 | PA      | $47414.31     | 0.00%             | 2034-03-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                        | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7333 | PA      | $7102.00      | 0.00%             | 2034-10-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                        | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20952 | PA      | $20757.24     | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                       | Sunoco LP                                                                             | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    491000 | PA      | $494597.56    | 0.04%             | 2031-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                    | Synopsys, Inc.                                                                        | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1291000 | PA      | $1312102.05   | 0.10%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                    | Synopsys, Inc.                                                                        | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    927000 | PA      | $919574.03    | 0.07%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                                               | Sysco Corp.                                                                           | CUSIP: 871829BV8<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   1312000 | PA      | $1358950.59   | 0.10%             | 2035-03-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1318000 | PA      | $1296088.16   | 0.10%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2083000 | PA      | $1991473.40   | 0.15%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ADX0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2504000 | PA      | $2489479.05   | 0.18%             | 2035-11-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TAKEDA US FIN                                                                   | Takeda U.S. Financing, Inc.                                                           | CUSIP: 87406BAA0<br>LEI: 254900ZGPIBGBZ2N3A33 | Long             | DBT              | CORP              | US        |   2423000 | PA      | $2467893.51   | 0.18%             | 2035-07-07      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                                           | Tennessee Valley Authority                                                            | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1459000 | PA      | $1629502.74   | 0.12%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                             | Thornburg Mortgage Securities Trust                                                   | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15046 | PA      | $14777.70     | 0.00%             | 2044-12-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC                                                   | 321 Henderson Receivables VI LLC                                                      | CUSIP: 88576XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    303283 | PA      | $305226.10    | 0.02%             | 2059-07-15      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| TORONTO DOMINION BANK                                                           | Toronto-Dominion Bank                                                                 | CUSIP: 89119BCK0<br>LEI: PT3QB789TSUIDF371261 | Long             | STIV             | CORP              | CA        |   5000000 | PA      | $4959101.00   | 0.37%             | 2026-03-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89170VAA6<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    525740 | PA      | $505123.01    | 0.04%             | 2062-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89173UAA5<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    667643 | PA      | $656229.93    | 0.05%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89175JAA8<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    319556 | PA      | $315398.67    | 0.02%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89175TAA6<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1322051 | PA      | $1260371.41   | 0.09%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89176EAA8<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    269265 | PA      | $267636.60    | 0.02%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89178BAA2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1141489 | PA      | $1101165.00   | 0.08%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89179JAA4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   2663355 | PA      | $2440364.77   | 0.18%             | 2060-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89179TAA2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1231570 | PA      | $1118554.27   | 0.08%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89179YAR4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1696397 | PA      | $1599145.25   | 0.12%             | 2061-11-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89181JAA0<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    995189 | PA      | $967518.79    | 0.07%             | 2063-01-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                                         | Transcontinental Gas Pipe Line Co. LLC                                                | CUSIP: 893574AS2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1986000 | PA      | $1999507.86   | 0.15%             | 2036-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TYCO ELECTRONICS GROUP S                                                        | Tyco Electronics Group SA                                                             | CUSIP: 902133BD8<br>LEI: C33G1C5SYE2YM95EE712 | Long             | DBT              | CORP              | LU        |   2419000 | PA      | $2448515.60   | 0.18%             | 2035-05-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                | UWM Holdings LLC                                                                      | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2097000 | PA      | $2093656.92   | 0.15%             | 2031-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                           | Uber Technologies, Inc.                                                               | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    987000 | PA      | $986714.26    | 0.07%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                           | Mexico Government International Bonds                                                 | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   3548000 | PA      | $3512520.00   | 0.26%             | 2028-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE                                                           | United Parcel Service, Inc.                                                           | CUSIP: 911312CJ3<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |   1304000 | PA      | $1351440.82   | 0.10%             | 2035-05-14      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                           | Vendee Mortgage Trust                                                                 | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15186 | PA      | $15378.57     | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bills                                                                   | CUSIP: 912797PV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  15000000 | PA      | $14888323.20  | 1.10%             | 2026-03-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bills                                                                   | CUSIP: 912797RJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  11025000 | PA      | $11010909.28  | 0.81%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bills                                                                   | CUSIP: 912797RU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  12000000 | PA      | $11934206.76  | 0.88%             | 2026-02-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810FG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3076800 | PA      | $3235928.25   | 0.24%             | 2029-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Protected Indexed Bonds                                       | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12964415 | PA      | $13380175.62  | 0.99%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1395000 | PA      | $1271084.77   | 0.09%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    633100 | PA      | $543501.51    | 0.04%             | 2044-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1684200 | PA      | $1192755.69   | 0.09%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5202300 | PA      | $3902131.40   | 0.29%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2483800 | PA      | $1722748.16   | 0.13%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2088300 | PA      | $1374280.87   | 0.10%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2457000 | PA      | $1755411.32   | 0.13%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1178600 | PA      | $839614.38    | 0.06%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2660000 | PA      | $2020249.23   | 0.15%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2985600 | PA      | $2210626.88   | 0.16%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9942000 | PA      | $7323681.04   | 0.54%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8584200 | PA      | $6158157.52   | 0.46%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11294500 | PA      | $6620518.30   | 0.49%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7528000 | PA      | $3603441.91   | 0.27%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2302000 | PA      | $1494141.88   | 0.11%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3515000 | PA      | $1964280.84   | 0.15%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2728300 | PA      | $1719361.86   | 0.13%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2040000 | PA      | $1500435.93   | 0.11%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2970800 | PA      | $1642063.30   | 0.12%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5675600 | PA      | $3443492.94   | 0.25%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1529200 | PA      | $1095229.77   | 0.08%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1172000 | PA      | $1016297.97   | 0.08%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Protected Indexed Bonds                                       | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6593646 | PA      | $5139200.62   | 0.38%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2731000 | PA      | $2456833.22   | 0.18%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1073000 | PA      | $867998.32    | 0.06%             | 2053-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    869000 | PA      | $769268.68    | 0.06%             | 2053-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1669000 | PA      | $1638423.40   | 0.12%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    786000 | PA      | $786092.11    | 0.06%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    832000 | PA      | $752180.00    | 0.06%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1412000 | PA      | $1359877.35   | 0.10%             | 2054-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    857000 | PA      | $841399.93    | 0.06%             | 2044-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    930200 | PA      | $841031.60    | 0.06%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    735000 | PA      | $674563.48    | 0.05%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    382000 | PA      | $360303.59    | 0.03%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2036000 | PA      | $1961161.10   | 0.14%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1147000 | PA      | $1141175.40   | 0.08%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1655300 | PA      | $1626590.89   | 0.12%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3219000 | PA      | $3304504.69   | 0.24%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7642000 | PA      | $7513041.25   | 0.56%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19175000 | PA      | $18473914.06  | 1.37%             | 2055-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14742000 | PA      | $14405698.13  | 1.06%             | 2045-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 9128283F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9647700 | PA      | $9433641.66   | 0.70%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4021000 | PA      | $3960370.88   | 0.29%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    529000 | PA      | $514369.84    | 0.04%             | 2029-02-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1032200 | PA      | $963534.51    | 0.07%             | 2029-08-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $929701.17    | 0.07%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300500 | PA      | $2113045.18   | 0.16%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9794000 | PA      | $8594617.55   | 0.64%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Protected Indexed Notes                                       | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8593075 | PA      | $8109129.12   | 0.60%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20233000 | PA      | $17605871.41  | 1.30%             | 2030-08-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1127000 | PA      | $1009677.54   | 0.07%             | 2031-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2544000 | PA      | $2215963.13   | 0.16%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1204000 | PA      | $1179348.11   | 0.09%             | 2026-11-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1935000 | PA      | $1892142.61   | 0.14%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2897000 | PA      | $2583648.72   | 0.19%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4497000 | PA      | $4191871.53   | 0.31%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5265000 | PA      | $5234767.37   | 0.39%             | 2027-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4227300 | PA      | $4272545.30   | 0.32%             | 2027-09-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1130000 | PA      | $1142535.94   | 0.08%             | 2027-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5504000 | PA      | $5566994.99   | 0.41%             | 2032-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14354000 | PA      | $14456048.04  | 1.07%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1284000 | PA      | $1234395.47   | 0.09%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1286000 | PA      | $1289365.71   | 0.10%             | 2028-05-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $728437.50    | 0.05%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37044000 | PA      | $37062811.31  | 2.74%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17056000 | PA      | $17448421.21  | 1.29%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    755000 | PA      | $779390.04    | 0.06%             | 2029-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    662000 | PA      | $651811.41    | 0.05%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4297000 | PA      | $4282732.63   | 0.32%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1729000 | PA      | $1742507.81   | 0.13%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    188400 | PA      | $189960.19    | 0.01%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3191000 | PA      | $3214558.55   | 0.24%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3049000 | PA      | $3064959.62   | 0.23%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2558000 | PA      | $2576385.63   | 0.19%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3894000 | PA      | $3838023.75   | 0.28%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UnitedHealth Group, Inc.                                                              | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1551737.86   | 0.11%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                                                        | Vantage Data Centers LLC                                                              | CUSIP: 92212KAH9<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |   4770000 | PA      | $4714457.17   | 0.35%             | 2055-08-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                           | Venture Global Plaquemines LNG LLC                                                    | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   3350000 | PA      | $3668094.16   | 0.27%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VERALTO CORP                                                                    | Veralto Corp.                                                                         | CUSIP: 92338CAF0<br>LEI: 635400FJE6GSOJUSNY27 | Long             | DBT              | CORP              | US        |   1333000 | PA      | $1391210.88   | 0.10%             | 2033-09-18      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                          | Verizon Communications, Inc.                                                          | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3382000 | PA      | $2012074.03   | 0.15%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                          | Verizon Communications, Inc.                                                          | CUSIP: 92343VHF4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1214048.56   | 0.09%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Versailles Commercial Paper LLC                                                 | Versailles Commercial Paper LLC                                                       | CUSIP: 92512MD63<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  12700000 | PA      | $12570900.69  | 0.93%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VERTO CAPITAL COMP A                                                            | Verto Capital I Compartment A                                                         | CUSIP: 92544LBB8<br>LEI: 635400H24DGVN77S6U37 | Long             | STIV             | CORP              | US        |   7500000 | PA      | $7466015.25   | 0.55%             | 2026-02-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VERTO CAPITAL COMP A                                                            | Verto Capital I Compartment A                                                         | CUSIP: 92544LC43<br>LEI: 635400H24DGVN77S6U37 | Long             | STIV             | CORP              | LU        |   2500000 | PA      | $2482981.25   | 0.18%             | 2026-03-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | Viatris, Inc.                                                                         | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   1087000 | PA      | $1055871.99   | 0.08%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI Properties LP                                                                    | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |   2092000 | PA      | $2117110.63   | 0.16%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VICTORY RECEIVABLES CORP                                                        | Victory Receivables Corp.                                                             | CUSIP: 92646LAE0<br>LEI: 549300D0F37QF0LP7F94 | Long             | STIV             | CORP              | US        |   1355000 | PA      | $1353018.45   | 0.10%             | 2026-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   2165000 | PA      | $2280654.82   | 0.17%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAW2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   2045000 | PA      | $2038437.15   | 0.15%             | 2035-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                        | Volkswagen Group of America Finance LLC                                               | CUSIP: 928668CX8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2055000 | PA      | $2071808.91   | 0.15%             | 2030-09-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| VULCAN MATERIALS CO                                                             | Vulcan Materials Co.                                                                  | CUSIP: 929160BC2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |   1577000 | PA      | $1634505.48   | 0.12%             | 2034-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                         | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3657 | PA      | $3598.81      | 0.00%             | 2033-06-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                         | CUSIP: 929227T30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14823 | PA      | $14679.33     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                         | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12150 | PA      | $12077.37     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                         | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18311 | PA      | $17269.84     | 0.00%             | 2033-10-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                         | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3139 | PA      | $3000.02      | 0.00%             | 2034-06-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP Carey, Inc.                                                                        | CUSIP: 92936UAM1<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |   1704000 | PA      | $1758632.42   | 0.13%             | 2034-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                                         | Wachovia Bank Commercial Mortgage Trust, Interest Only STRIPS                         | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1136 | PA      | $0.01         | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                    | Washington Mutual Mortgage Pass-Through Certificates Trust, Interest Only STRIPS      | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148451 | PA      | $7782.69      | 0.00%             | 2035-04-25      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                    | Washington Mutual Mortgage Pass-Through Certificates Trust, Interest Only STRIPS      | CUSIP: 9393365L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56670 | PA      | $8659.96      | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                    | Washington Mutual Mortgage Pass-Through Certificates Trust                            | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41339 | PA      | $38321.96     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS                                | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Principal Only STRIPS | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94 | PA      | $76.63        | 0.00%             | 2033-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust                                                 | CUSIP: 95000FAT3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |   1103000 | PA      | $1094077.94   | 0.08%             | 2048-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                           | Wells Fargo & Co.                                                                     | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2246000 | PA      | $2325777.76   | 0.17%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                           | Wells Fargo & Co.                                                                     | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2744000 | PA      | $2876018.70   | 0.21%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                        | Western Midstream Operating LP                                                        | CUSIP: 958667AE7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   1755000 | PA      | $1858307.67   | 0.14%             | 2033-04-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | Westlake Corp.                                                                        | CUSIP: 960413BB7<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |   1711000 | PA      | $1710617.95   | 0.13%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                 | Weyerhaeuser Co.                                                                      | CUSIP: 962166BY9<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              |  | US        |   2234000 | PA      | $2203337.39   | 0.16%             | 2030-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                  | Whirlpool Corp.                                                                       | CUSIP: 963320BD7<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |   1065000 | PA      | $1063705.79   | 0.08%             | 2030-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                          | Williams Cos., Inc.                                                                   | CUSIP: 96950FAN4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    206000 | PA      | $197480.12    | 0.01%             | 2044-03-04      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                                                   | ZF North America Capital, Inc.                                                        | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |   2202000 | PA      | $2153413.53   | 0.16%             | 2032-04-23      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                                    | State Street Navigator Securities Lending Government Money Market Portfolio           | CUSIP: 857509301<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |    224988 | NS      | $224987.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-29

**Name of Applicant:** TRANSAMERICA SERIES TRUST

**Signature:** Kari Seabrands

**Name of Signer:** Kari Seabrands

**Title:** Treasurer