# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0002071691-26-009321
**Filing Date:** 2026-4
**Character Count:** 1763049
**Document Hash:** 7cefadaf2397db53dbf67baefd32d334
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009321.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009321

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 26912569

**BUSINESS ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20000721

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP
- **DATE OF NAME CHANGE:** 19931105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HELMSMAN FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### JPMorgan Core Bond Fund (Series ID: S000003477)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009615 | Class I      | WOBDX           |
| C000009616 | Class A      | PGBOX           |
| C000009618 | Class C      | OBOCX           |
| C000009619 | Class R6     | JCBUX           |
| C000033520 | Class R5     | JCBRX           |
| C000070638 | Class R2     | JCBZX           |
| C000173234 | Class R3     | JCBPX           |
| C000173235 | Class R4     | JCBQX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan Trust II

- **b. Investment Company Act file number:** 811-04236

- **c. CIK number of Registrant:** 0000763852

- **d. LEI of Registrant:** 549300IMXLYKELY96B40

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

  - **Street Address 1:** 390 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **Telephone number:** 800-480-4111

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

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

- **b. EDGAR series identifier (if any):** S000003477

- **c. LEI of Series:** DQ695W4P67V7A4LC6I09

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2026-02-28

**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:** $54987674090.07

**Total Liabilities:** $538511882.76

**Net Assets:** $54449162207.31

**Cash Not Reported:** $386166643.86

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 28618.16316000 | **1-Year:** 1051137.35320000 | **5-Year:** 6598263.40282000 | **10-Year:** 6865858.34021000 | **30-Year:** 3066825.10156000

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

- **3-Month:** 4592.74596000 | **1-Year:** 194445.72006000 | **5-Year:** 343960.03292000 | **10-Year:** 15568.21485000 | **30-Year:** 449.61232000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009615 | -0.33%               | 0.33%                | 1.75%                |
| Class ID C000009616 | -0.35%               | 0.31%                | 1.73%                |
| Class ID C000009618 | -0.39%               | 0.26%                | 1.68%                |
| Class ID C000009619 | -0.32%               | 0.34%                | 1.76%                |
| Class ID C000033520 | -0.33%               | 0.33%                | 1.76%                |
| Class ID C000070638 | -0.38%               | 0.18%                | 1.71%                |
| Class ID C000173234 | -0.36%               | 0.30%                | 1.63%                |
| Class ID C000173235 | -0.34%               | 0.32%                | 1.75%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3538102.71             | $-339824842.95                             |
| Month 2  | $6307626.62              | $-11997540.31                              |
| Month 3  | $-4522877.44             | $705376283.05                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                  | Title                                                                                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   15800000 | PA      | $15114097.83   | 0.03%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBA7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   17700000 | PA      | $17921317.26   | 0.03%             | 2027-09-18      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   19600000 | PA      | $20357982.57   | 0.04%             | 2035-12-03      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| ACHD Trust                                                            | ACHD Trust, Series 2025-DS1, Class A                                                                                     | CUSIP: 00092TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6735505 | PA      | $6749335.06    | 0.01%             | 2034-01-09      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAK5<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    3615000 | PA      | $2779935.58    | 0.01%             | 2049-06-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $1838726.16    | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAQ2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    4030000 | PA      | $3930054.43    | 0.01%             | 2053-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   10518000 | PA      | $11058384.97   | 0.02%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    1392000 | PA      | $1220694.27    | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1686304.92    | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AHS Hospital Corp.                                                    | AHS Hospital Corp.                                                                                                       | CUSIP: 001306AB5<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |   14094000 | PA      | $13677885.78   | 0.03%             | 2045-07-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                       | AES Corp. (The)                                                                                                          | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   29565000 | PA      | $30884090.37   | 0.06%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                        | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    7535000 | PA      | $6072682.55    | 0.01%             | 2040-09-16      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    7745000 | PA      | $8197696.02    | 0.02%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   42860000 | PA      | $45672387.05   | 0.08%             | 2035-03-28      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   16965000 | PA      | $17623218.25   | 0.03%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                                             | Corebridge Global Funding                                                                                                | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    4955000 | PA      | $4991713.78    | 0.01%             | 2032-08-21      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| AIG SunAmerica Global Financing X                                     | AIG SunAmerica Global Financing X                                                                                        | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |    8295000 | PA      | $9296887.93    | 0.02%             | 2032-03-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2023-SFR2, Class D                                                                                    | CUSIP: 00178YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12065000 | PA      | $11829946.05   | 0.02%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2023-SFR2, Class E1                                                                                   | CUSIP: 00178YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11900000 | PA      | $11534499.83   | 0.02%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2024-SFR2, Class C                                                                                    | CUSIP: 00179UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11723000 | PA      | $11486161.40   | 0.02%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR1, Class E1                                                                                   | CUSIP: 00179WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   28018000 | PA      | $27716456.28   | 0.05%             | 2039-03-17      | Fixed         | 4.39%                 | Yes           |                  2 | On Loan: No      |
| ASG Resecuritization Trust                                            | ASG Resecuritization Trust, Series 2011-1, Class 2A35                                                                    | CUSIP: 00190VDB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231459 | PA      | $69445.39      | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   35836000 | PA      | $28759288.77   | 0.05%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   16997000 | PA      | $12179094.46   | 0.02%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3535000 | PA      | $3389906.49    | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   26520000 | PA      | $23685037.72   | 0.04%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   25312000 | PA      | $17136745.68   | 0.03%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    4454000 | PA      | $3124728.91    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RNG3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   29475000 | PA      | $29877400.36   | 0.05%             | 2033-04-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   12902000 | PA      | $11708268.38   | 0.02%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   15614000 | PA      | $15467582.06   | 0.03%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    2145000 | PA      | $1899518.78    | 0.00%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   33708000 | PA      | $30511966.20   | 0.06%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10194000 | PA      | $8576968.90    | 0.02%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    3881000 | PA      | $3864029.24    | 0.01%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCZ0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    9850000 | PA      | $9212155.27    | 0.02%             | 2042-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YDB2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6483396.71    | 0.01%             | 2045-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10770000 | PA      | $11181109.10   | 0.02%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YEG0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   12735000 | PA      | $12801712.17   | 0.02%             | 2036-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YEH8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   11475000 | PA      | $11545757.49   | 0.02%             | 2056-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                                           | Academic Loan Funding Trust, Series 2013-1A, Class A                                                                     | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     891127 | PA      | $876566.82     | 0.00%             | 2044-12-26      | Floating      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Accelerated Assets LLC                                                | Accelerated Assets LLC, Series 2018-1, Class A                                                                           | CUSIP: 00436MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1291452 | PA      | $1280823.38    | 0.00%             | 2033-12-02      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Accenture Capital, Inc.                                               | Accenture Capital, Inc.                                                                                                  | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |    9552000 | PA      | $9449087.04    | 0.02%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   39380000 | PA      | $38998889.02   | 0.07%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   12605000 | PA      | $11779379.05   | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3835000 | PA      | $3937644.81    | 0.01%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   22915000 | PA      | $23235628.05   | 0.04%             | 2029-09-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   14740000 | PA      | $14718387.18   | 0.03%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBU8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   12970000 | PA      | $12995396.30   | 0.02%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                           | Aetna, Inc.                                                                                                              | CUSIP: 00817YAG3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    2959000 | PA      | $3297411.12    | 0.01%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                           | Aetna, Inc.                                                                                                              | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    1777000 | PA      | $1544134.79    | 0.00%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    5299448 | PA      | $5132008.23    | 0.01%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2017-1, Class A                                                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    5107256 | PA      | $4914401.42    | 0.01%             | 2030-01-15      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2015-1, Class A                                                                    | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    2893013 | PA      | $2864873.14    | 0.01%             | 2027-03-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Airbus SE                                                             | Airbus SE                                                                                                                | CUSIP: 009279AC4<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |    1046000 | PA      | $874699.79     | 0.00%             | 2047-04-10      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Ltd.                                                        | Aircastle Ltd.                                                                                                           | CUSIP: 00929JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   11525000 | PA      | $12146181.48   | 0.02%             | 2031-10-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Aker BP ASA                                                           | Aker BP ASA                                                                                                              | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    6320000 | PA      | $5935955.47    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    1904000 | PA      | $2116716.86    | 0.00%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392FB9<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     769000 | PA      | $840573.30     | 0.00%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392FG8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     923000 | PA      | $808826.64     | 0.00%             | 2042-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust II                                            | Alexander Funding Trust II                                                                                               | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25600000 | PA      | $27264461.31   | 0.05%             | 2028-07-31      | Fixed         | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2199000 | PA      | $2197469.32    | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271BB4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2540774.52    | 0.00%             | 2053-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Alleghany Corp.                                                       | Alleghany Corp.                                                                                                          | CUSIP: 017175AE0<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |    8945000 | PA      | $8826674.65    | 0.02%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  303435000 | PA      | $262863319.09  | 0.48%             | 2056-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  162300000 | PA      | $157725305.08  | 0.29%             | 2056-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                        | Alphabet, Inc.                                                                                                           | CUSIP: 02079KBN6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   17720000 | PA      | $18044260.58   | 0.03%             | 2046-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                        | Alphabet, Inc.                                                                                                           | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   26030000 | PA      | $26635402.62   | 0.05%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                        | Alphabet, Inc.                                                                                                           | CUSIP: 02079KBQ9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   16010000 | PA      | $16304011.64   | 0.03%             | 2066-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24951161 | PA      | $25138294.46   | 0.05%             | 2035-11-15      | Fixed         | 5.60%                 | No            |                  3 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5532745 | PA      | $5588072.73    | 0.01%             | 2035-11-15      | Fixed         | 6.33%                 | No            |                  3 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11450818 | PA      | $11565326.09   | 0.02%             | 2035-11-15      | Fixed         | 6.82%                 | No            |                  3 | On Loan: No      |
| Altria Group, Inc.                                                    | Altria Group, Inc.                                                                                                       | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   27925000 | PA      | $25061676.34   | 0.05%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CC8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $4497670.31    | 0.01%             | 2061-05-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   27400000 | PA      | $21664330.87   | 0.04%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                                   | Amcor Flexibles North America, Inc.                                                                                      | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6209947.14    | 0.01%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| America Movil SAB de CV                                               | America Movil SAB de CV                                                                                                  | CUSIP: 02364WBG9<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    8284000 | PA      | $7074701.68    | 0.01%             | 2049-04-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2016-2, Class A                                                             | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4091500 | PA      | $3985956.89    | 0.01%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2021-1, Class B                                                             | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8275485 | PA      | $8040419.85    | 0.01%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6710899 | PA      | $6547737.98    | 0.01%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2014-1, Class A                                                             | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5682357 | PA      | $5663543.48    | 0.01%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2015-2, Class A                                                             | CUSIP: 02377BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14606355 | PA      | $14381170.58   | 0.03%             | 2027-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2017-2, Class A                                                             | CUSIP: 02377CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6635883 | PA      | $6344031.05    | 0.01%             | 2029-10-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2023-4, Class C                                                     | CUSIP: 02530CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6248310 | PA      | $6294100.79    | 0.01%             | 2030-09-12      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   14285000 | PA      | $14758793.31   | 0.03%             | 2031-01-30      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    5720000 | PA      | $5961354.08    | 0.01%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   16625000 | PA      | $17030179.51   | 0.03%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   28320000 | PA      | $28047713.96   | 0.05%             | 2036-10-24      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| American General Mortgage Loan Trust                                  | American General Mortgage Loan Trust, Series 2006-1, Class A5                                                            | CUSIP: 02639MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        925 | PA      | $1072.14       | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| American Municipal Power, Inc.                                        | American Municipal Power, Inc., Meldahl Hydroelectric Project, Series 2010B                                              | CUSIP: 02765UDV3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   11170000 | PA      | $13281725.36   | 0.02%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    4378000 | PA      | $4360343.74    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    8940000 | PA      | $8208543.59    | 0.02%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   19410000 | PA      | $17524939.62   | 0.03%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XCF5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   17280000 | PA      | $18645955.14   | 0.03%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAD7<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    3354000 | PA      | $3861827.76    | 0.01%             | 2037-10-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAP0<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    2241000 | PA      | $1795299.81    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                         | Cencora, Inc.                                                                                                            | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   30700000 | PA      | $31845431.12   | 0.06%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   17300000 | PA      | $15103618.99   | 0.03%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   12815000 | PA      | $10311649.21   | 0.02%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   17235000 | PA      | $17985634.06   | 0.03%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   23181000 | PA      | $23691646.83   | 0.04%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   16083000 | PA      | $16054346.53   | 0.03%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7434003.23    | 0.01%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DW7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   19115000 | PA      | $19218396.09   | 0.04%             | 2036-02-19      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Amphenol Corp.                                                        | Amphenol Corp.                                                                                                           | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   28740000 | PA      | $27830015.73   | 0.05%             | 2055-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Analog Devices, Inc.                                                  | Analog Devices, Inc.                                                                                                     | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $3968676.00    | 0.01%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                 | Anchor Mortgage Trust                                                                                                    | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   80000000 | PA      | $80518784.00   | 0.15%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                               | Anheuser-Busch Cos. LLC                                                                                                  | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21807000 | PA      | $21863310.47   | 0.04%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                  | Anheuser-Busch InBev Worldwide, Inc.                                                                                     | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     605000 | PA      | $627927.81     | 0.00%             | 2059-01-23      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    5485000 | PA      | $5500740.19    | 0.01%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                               | Aon North America, Inc.                                                                                                  | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   34340000 | PA      | $35828663.04   | 0.07%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                               | Aon North America, Inc.                                                                                                  | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9050000 | PA      | $8957700.86    | 0.02%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Co.                                                 | Appalachian Power Co., Series P                                                                                          | CUSIP: 037735CK1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    3740000 | PA      | $4227204.90    | 0.01%             | 2037-08-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   14187000 | PA      | $11235203.13   | 0.02%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    3512000 | PA      | $2898896.01    | 0.01%             | 2046-08-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   13570000 | PA      | $10919008.50   | 0.02%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833DG2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1285704.03    | 0.00%             | 2047-11-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   57605000 | PA      | $36636214.32   | 0.07%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    5260000 | PA      | $4194222.01    | 0.01%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2019-A, Class A                                                                               | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1594505 | PA      | $1563900.85    | 0.00%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2020-AA, Class B                                                                              | CUSIP: 038413AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1799220 | PA      | $1736368.38    | 0.00%             | 2046-07-17      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| Arizona Public Service Co.                                            | Arizona Public Service Co.                                                                                               | CUSIP: 040555CM4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    3036000 | PA      | $2952489.02    | 0.01%             | 2041-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                       | AstraZeneca plc                                                                                                          | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    4250000 | PA      | $4874834.41    | 0.01%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                       | AstraZeneca plc                                                                                                          | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    4270000 | PA      | $3726147.31    | 0.01%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                 | Athene Global Funding                                                                                                    | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   42215000 | PA      | $41878716.58   | 0.08%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    7215000 | PA      | $6314150.61    | 0.01%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1504465.25    | 0.00%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4944168.24    | 0.01%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty. Ltd.                                             | Ausgrid Finance Pty. Ltd.                                                                                                | CUSIP: 052113AB3<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |    1500000 | PA      | $1508573.96    | 0.00%             | 2028-08-01      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                            | Australia & New Zealand Banking Group Ltd.                                                                               | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    1834000 | PA      | $1835572.64    | 0.00%             | 2026-05-19      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| AutoZone, Inc.                                                        | AutoZone, Inc.                                                                                                           | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   12180000 | PA      | $10796927.26   | 0.02%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $20659597.80   | 0.04%             | 2029-07-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    9650000 | PA      | $9914446.09    | 0.02%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class A                                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   22973000 | PA      | $23876206.47   | 0.04%             | 2030-06-20      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   29066000 | PA      | $29073557.16   | 0.05%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   56405000 | PA      | $56379617.75   | 0.10%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   29501000 | PA      | $28662581.58   | 0.05%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    6790000 | PA      | $7063433.30    | 0.01%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   25172000 | PA      | $25507291.04   | 0.05%             | 2028-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   19965000 | PA      | $20438969.10   | 0.04%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   10505000 | PA      | $10657275.23   | 0.02%             | 2030-10-10      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   17510000 | PA      | $17566207.10   | 0.03%             | 2031-01-30      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401ABE0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   14100000 | PA      | $14062071.00   | 0.03%             | 2029-04-15      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401ABF7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   24935000 | PA      | $24739409.86   | 0.05%             | 2033-04-01      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class A                                                                          | CUSIP: 05493UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13078000 | PA      | $12447788.18   | 0.02%             | 2050-07-27      | Variable      | 2.44%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class B                                                                          | CUSIP: 05493UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17745000 | PA      | $16780259.36   | 0.03%             | 2050-07-27      | Variable      | 2.47%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class A736                                                                       | CUSIP: 05494BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15256000 | PA      | $15003168.41   | 0.03%             | 2052-09-27      | Variable      | 1.95%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class B736                                                                       | CUSIP: 05494BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18347000 | PA      | $18024371.67   | 0.03%             | 2052-09-27      | Variable      | 1.94%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class BK73                                                                       | CUSIP: 05494BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20476000 | PA      | $19178255.69   | 0.04%             | 2051-02-27      | Variable      | 2.04%                 | Yes           |                  3 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    2500000 | PA      | $2669005.50    | 0.00%             | 2041-10-11      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    5645000 | PA      | $3869327.94    | 0.01%             | 2050-09-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   14745000 | PA      | $13283788.34   | 0.02%             | 2031-02-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                            | BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C                                                    | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7700000 | PA      | $5423854.59    | 0.01%             | 2046-08-15      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    9875000 | PA      | $9223251.48    | 0.02%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   12507000 | PA      | $10556421.79   | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                                         | BAT International Finance plc                                                                                            | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   11000000 | PA      | $10983029.20   | 0.02%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   23410000 | PA      | $23784890.78   | 0.04%             | 2027-10-19      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   29400000 | PA      | $31221908.59   | 0.06%             | 2029-10-19      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   21875000 | PA      | $24584152.69   | 0.05%             | 2034-10-19      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    9560000 | PA      | $9889248.41    | 0.02%             | 2029-05-30      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   23406000 | PA      | $24700724.89   | 0.05%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   19250000 | PA      | $20239051.33   | 0.04%             | 2031-01-14      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   14995000 | PA      | $16151911.33   | 0.03%             | 2036-01-14      | Variable      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571ABE4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11500000 | PA      | $11598963.94   | 0.02%             | 2032-01-13      | Variable      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05578AE46<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2915000 | PA      | $2949074.31    | 0.01%             | 2027-07-19      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 05581KAF8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2500000 | PA      | $2568713.85    | 0.00%             | 2029-06-12      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   20560000 | PA      | $21146726.89   | 0.04%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   15245000 | PA      | $13728947.71   | 0.03%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| BG Beta I Ltd.                                                        | BG Beta Ltd.                                                                                                             | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   60140000 | PA      | $61927060.10   | 0.11%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  3 | On Loan: No      |
| BG Beta I Ltd.                                                        | BG Beta I Ltd.                                                                                                           | CUSIP: 05593PAG1<br>LEI: 254900Z3OU5JTNX05R08 | Long             | DBT              | CORP              | KY        |   54450000 | PA      | $54939875.76   | 0.10%             | 2054-07-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| BXP Trust                                                             | BXP Trust, Series 2017-GM, Class A                                                                                       | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5817000 | PA      | $5735431.70    | 0.01%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   43095000 | PA      | $44582723.87   | 0.08%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   49665000 | PA      | $52381793.21   | 0.10%             | 2036-05-28      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| BVRT LLC                                                              | BVRT LLC, Series 2025-1, Class C                                                                                         | CUSIP: 05614UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13217920 | PA      | $12656609.41   | 0.02%             | 2033-05-10      | Floating      | 3.66%                 | Yes           |                  3 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    3755000 | PA      | $2841346.20    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    8020000 | PA      | $5553433.60    | 0.01%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    7770000 | PA      | $5065039.46    | 0.01%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165ES5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   17320000 | PA      | $17507332.25   | 0.03%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                    | Banco Bilbao Vizcaya Argentaria SA                                                                                       | CUSIP: 05946KAU5<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   37200000 | PA      | $36982960.69   | 0.07%             | 2036-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2005-8, Class 30                                                                   | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21838 | PA      | $14625.88      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2004-1                                                                             | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67731 | PA      | $49204.44      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2005-6, Class 2A7                                                                  | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101932 | PA      | $94048.91      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2005-7, Class 30                                                                   | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57546 | PA      | $58752.65      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                                | Banc of America Alternative Loan Trust, Series 2004-6, Class 15                                                          | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7256 | PA      | $3201.03       | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2006-1, Class X                                                                    | CUSIP: 05949TBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27120 | PA      | $17918.08      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    6400000 | PA      | $6323437.76    | 0.01%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   37800000 | PA      | $39180747.06   | 0.07%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   21200000 | PA      | $21333327.01   | 0.04%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 060505GR9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   58670000 | PA      | $59516217.36   | 0.11%             | 2037-02-06      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                        | Banc of America Mortgage Trust, Series 2003-C, Class 3A1                                                                 | CUSIP: 0605067V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11960 | PA      | $11079.41      | 0.00%             | 2033-04-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2004-2, Class 1CB1                                                                 | CUSIP: 06051GBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54025 | PA      | $53508.07      | 0.00%             | 2034-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6055000 | PA      | $6064211.77    | 0.01%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   54117000 | PA      | $40223394.85   | 0.07%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9615000 | PA      | $9528686.24    | 0.02%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   22915000 | PA      | $21217492.78   | 0.04%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   19870000 | PA      | $18102138.48   | 0.03%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   26230000 | PA      | $27000733.14   | 0.05%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   28820000 | PA      | $30942578.59   | 0.06%             | 2034-09-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   53000000 | PA      | $55628372.29   | 0.10%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                             | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   34388000 | PA      | $33979329.57   | 0.06%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                             | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   33280000 | PA      | $34627144.78   | 0.06%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                                      | Bank of Montreal                                                                                                         | CUSIP: 06368MXV1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   20510000 | PA      | $20642350.41   | 0.04%             | 2031-09-22      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                   | Bank of New York Mellon Corp. (The)                                                                                      | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   19650000 | PA      | $22028378.03   | 0.04%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Bank of New Zealand                                                   | Bank of New Zealand                                                                                                      | CUSIP: 06407EAH8<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |   16360000 | PA      | $16907825.07   | 0.03%             | 2029-01-30      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                             | Bank of Nova Scotia (The)                                                                                                | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    7526000 | PA      | $7747197.04    | 0.01%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                             | Bank of Nova Scotia (The)                                                                                                | CUSIP: 06418GAZ0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   26940000 | PA      | $27250536.57   | 0.05%             | 2034-02-02      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Banner Health                                                         | Banner Health                                                                                                            | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |   13950000 | PA      | $12678267.50   | 0.02%             | 2031-01-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   13575000 | PA      | $14210980.06   | 0.03%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675DCU4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   16730000 | PA      | $16825066.05   | 0.03%             | 2031-01-15      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675FAY3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   23810000 | PA      | $23485141.36   | 0.04%             | 2026-10-04      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675FBB2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   24190000 | PA      | $25124222.64   | 0.05%             | 2028-07-13      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   10428000 | PA      | $9557913.33    | 0.02%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    8500000 | PA      | $8527377.65    | 0.02%             | 2027-05-09      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    7324000 | PA      | $7924224.14    | 0.01%             | 2034-05-09      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   52040000 | PA      | $52704794.87   | 0.10%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   10846000 | PA      | $11097786.42   | 0.02%             | 2030-09-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   16020000 | PA      | $16783471.71   | 0.03%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738EDJ1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    9620000 | PA      | $9641293.20    | 0.02%             | 2032-02-24      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738EDK8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   16335000 | PA      | $16319582.37   | 0.03%             | 2037-02-24      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                                 | Bastion Funding I LLC, Series 2023-1A, Class A2                                                                          | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   48348012 | PA      | $48786818.46   | 0.09%             | 2038-04-25      | Fixed         | 7.12%                 | Yes           |                  3 | On Loan: No      |
| Bastion Funding I LLC                                                 | Bastion Funding I LLC                                                                                                    | CUSIP: 07030UAG7<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   12886180 | PA      | $13018907.20   | 0.02%             | 2038-10-25      | Fixed         | 7.80%                 | No            |                  3 | On Loan: No      |
| Baxalta, Inc.                                                         | Baxalta, Inc.                                                                                                            | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |     327000 | PA      | $317790.82     | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BayCare Health System, Inc.                                           | BayCare Health System, Inc., Series 2020                                                                                 | CUSIP: 072722AE1<br>LEI: 1H90SRZU22X0SF1UZR52 | Long             | DBT              | CORP              | US        |    9475000 | PA      | $7521606.14    | 0.01%             | 2050-11-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2004-2, Class 14A                                                                         | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160799 | PA      | $150424.63     | 0.00%             | 2034-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2003-2, Class A5                                                                          | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     316361 | PA      | $315140.75     | 0.00%             | 2033-01-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                                          | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10777 | PA      | $10844.44      | 0.00%             | 2033-10-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2006-1, Class A1                                                                          | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     345126 | PA      | $336726.40     | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Commercial Mortgage Securities Trust                     | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class X1                                             | CUSIP: 07388VAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169899 | PA      | $18.35         | 0.00%             | 2045-01-12      | Variable      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| Becton Dickinson & Co.                                                | Becton Dickinson & Co.                                                                                                   | CUSIP: 075887CK3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    2098000 | PA      | $1611881.32    | 0.00%             | 2050-05-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BU4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   13241000 | PA      | $12232634.56   | 0.02%             | 2042-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    2795000 | PA      | $2533528.90    | 0.00%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   24230000 | PA      | $18831018.58   | 0.03%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Beth Israel Lahey Health, Inc.                                        | Beth Israel Lahey Health, Inc., Series L                                                                                 | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |    4180000 | PA      | $2848605.29    | 0.01%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                              | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    3406000 | PA      | $3572996.18    | 0.01%             | 2029-01-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                              | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    5080000 | PA      | $5254142.40    | 0.01%             | 2036-01-09      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Biogen, Inc.                                                          | Biogen, Inc.                                                                                                             | CUSIP: 09062XAK9<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    3480000 | PA      | $2310155.13    | 0.00%             | 2051-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                                          | Biogen, Inc.                                                                                                             | CUSIP: 09062XAM5<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    5340000 | PA      | $5729016.70    | 0.01%             | 2055-05-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. LLC                                   | Blackstone Holdings Finance Co. LLC                                                                                      | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    3107000 | PA      | $2676584.40    | 0.00%             | 2045-07-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   12958000 | PA      | $11973371.99   | 0.02%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   26260000 | PA      | $27266193.65   | 0.05%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   76360000 | PA      | $79105503.95   | 0.15%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   32240000 | PA      | $34146909.92   | 0.06%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    9560000 | PA      | $9544420.26    | 0.02%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    5076000 | PA      | $4681938.39    | 0.01%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    9155000 | PA      | $9251262.54    | 0.02%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12565000 | PA      | $13073067.53   | 0.02%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $14056561.26   | 0.03%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   14590000 | PA      | $15111441.20   | 0.03%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   11580000 | PA      | $12657761.37   | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   19270000 | PA      | $21605077.32   | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Boston Gas Co.                                                        | Boston Gas Co.                                                                                                           | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    2201000 | PA      | $1929932.21    | 0.00%             | 2042-02-15      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corp.                                               | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AE7<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $15878493.26   | 0.03%             | 2035-11-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                                               | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    5011000 | PA      | $4886109.79    | 0.01%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                      | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   25080000 | PA      | $16390496.03   | 0.03%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                   | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class A                                                           | CUSIP: 10638RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9964562 | PA      | $9903571.04    | 0.02%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class C                                                    | CUSIP: 108056AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19650000 | PA      | $19923339.36   | 0.04%             | 2029-08-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                          | Bridge Trust, Series 2024-SFR1, Class A                                                                                  | CUSIP: 10806DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52289404 | PA      | $51229926.40   | 0.09%             | 2040-08-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class D                                                    | CUSIP: 10806EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23845000 | PA      | $24200390.65   | 0.04%             | 2030-08-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D                                                    | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10805000 | PA      | $11067545.29   | 0.02%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class C                                                    | CUSIP: 10807UAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16570000 | PA      | $16778838.34   | 0.03%             | 2031-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    7096000 | PA      | $6522635.96    | 0.01%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   21446000 | PA      | $17840720.02   | 0.03%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    5046000 | PA      | $4419318.19    | 0.01%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   16992000 | PA      | $12694070.88   | 0.02%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    2669000 | PA      | $2647834.59    | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4195786 | PA      | $4139230.73    | 0.01%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6771922 | PA      | $6621609.22    | 0.01%             | 2031-09-20      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6843313 | PA      | $6534670.43    | 0.01%             | 2032-12-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                      | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    6530000 | PA      | $5936580.83    | 0.01%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   40051000 | PA      | $35018769.28   | 0.06%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    5766000 | PA      | $4974179.73    | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   16770000 | PA      | $17559874.04   | 0.03%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10780000 | PA      | $10925590.58   | 0.02%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   16008000 | PA      | $16047520.71   | 0.03%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    1075000 | PA      | $926894.27     | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    3664000 | PA      | $3655700.05    | 0.01%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    5160000 | PA      | $5254942.86    | 0.01%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                          | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $5313609.02    | 0.01%             | 2048-03-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                          | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AT1<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    5620000 | PA      | $5584998.92    | 0.01%             | 2029-03-04      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   22130000 | PA      | $20590035.04   | 0.04%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   24200000 | PA      | $24831638.15   | 0.05%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2010000 | PA      | $1830536.04    | 0.00%             | 2042-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4018000 | PA      | $3617369.44    | 0.01%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3150000 | PA      | $2900305.86    | 0.01%             | 2045-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5584000 | PA      | $4170754.82    | 0.01%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2024-2A, Class A                                                                     | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27923939 | PA      | $28330542.55   | 0.05%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2022-1A, Class A                                                                     | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34201035 | PA      | $34108709.32   | 0.06%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| BXG Receivables Note Trust                                            | BXG Receivables Note Trust, Series 2023-A, Class A                                                                       | CUSIP: 123919AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1687650 | PA      | $1722663.19    | 0.00%             | 2038-11-15      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                            | BXG Receivables Note Trust, Series 2023-A, Class B                                                                       | CUSIP: 123919AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11598825 | PA      | $11856073.45   | 0.02%             | 2038-11-15      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| CARS-DB4 LP                                                           | CARS-DB4 LP, Series 2020-1A, Class A5                                                                                    | CUSIP: 12510HAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5614635 | PA      | $5525384.96    | 0.01%             | 2050-02-15      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| CARS-DB4 LP                                                           | CARS-DB4 LP, Series 2020-1A, Class A6                                                                                    | CUSIP: 12510HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5858750 | PA      | $5600853.68    | 0.01%             | 2050-02-15      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| CF Industries, Inc.                                                   | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |   16825000 | PA      | $15451714.06   | 0.03%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CF Industries, Inc.                                                   | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAL7<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    3570000 | PA      | $3631631.94    | 0.01%             | 2035-11-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK58                                                             | CUSIP: 12529YAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28730000 | PA      | $28111127.07   | 0.05%             | 2029-09-29      | Variable      | 2.19%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK98                                                             | CUSIP: 12529YBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22370000 | PA      | $18796750.42   | 0.03%             | 2029-08-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                             | CFIN 2022-RTL1 Issuer LLC, Class A                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  151689991 | PA      | $151500378.19  | 0.28%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFIN LLC                                                              | CFIN LLC, Series 2024-1A, Class A                                                                                        | CUSIP: 125307AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   93000000 | PA      | $94674000.00   | 0.17%             | 2028-11-27      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| CFIN Issuer LLC                                                       | CFIN Issuer LLC, Series 2022-RTL1, Class AA                                                                              | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7717650 | PA      | $7682148.73    | 0.01%             | 2026-02-16      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| CGI, Inc.                                                             | CGI, Inc.                                                                                                                | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   14101000 | PA      | $13906941.05   | 0.03%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                             | CGI, Inc.                                                                                                                | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   10000000 | PA      | $8908014.30    | 0.02%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    1904000 | PA      | $1708516.76    | 0.00%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   17731000 | PA      | $14170921.59   | 0.03%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CU2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   20860000 | PA      | $21710768.22   | 0.04%             | 2031-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   27546000 | PA      | $28292230.51   | 0.05%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CK Hutchison International 16 Ltd.                                    | CK Hutchison International 16 Ltd.                                                                                       | CUSIP: 12563TAB6<br>LEI: 254900OULDVPV9SGEO05 | Long             | DBT              | CORP              | KY        |    6500000 | PA      | $6451575.00    | 0.01%             | 2026-10-03      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BQ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    3458000 | PA      | $3450099.37    | 0.01%             | 2026-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    2426000 | PA      | $2403671.05    | 0.00%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BS8<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1241328.08    | 0.00%             | 2027-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CRH America, Inc.                                                     | CRH America, Inc.                                                                                                        | CUSIP: 12626PAN3<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |    6052000 | PA      | $5803253.30    | 0.01%             | 2045-05-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| COOF Securitization Trust Ltd.                                        | COOF Securitization Trust Ltd., Series 2014-1, Class A                                                                   | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1129473 | PA      | $73152.58      | 0.00%             | 2040-06-25      | Variable      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    3498000 | PA      | $3639127.40    | 0.01%             | 2041-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    1515000 | PA      | $1300814.48    | 0.00%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    8165000 | PA      | $7374542.84    | 0.01%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $1950361.53    | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class A2                                                                                   | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   14250000 | PA      | $13411015.58   | 0.02%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class B                                                                                    | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   25890000 | PA      | $23237225.16   | 0.04%             | 2037-09-15      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class D                                                                                    | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   16830000 | PA      | $14511330.90   | 0.03%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                            | CPS Auto Receivables Trust, Series 2022-D, Class C                                                                       | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4765400 | PA      | $4800768.04    | 0.01%             | 2029-01-16      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     475079 | PA      | $495497.92     | 0.00%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3129393 | PA      | $3350164.52    | 0.01%             | 2032-01-10      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3324572 | PA      | $3431586.55    | 0.01%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3478686.96    | 0.01%             | 2035-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2122000 | PA      | $2134462.34    | 0.00%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    8553000 | PA      | $8821764.17    | 0.02%             | 2030-02-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   22000000 | PA      | $22851253.48   | 0.04%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2009                                                                                      | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3268022 | PA      | $3548129.97    | 0.01%             | 2031-07-10      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2013                                                                                      | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6859966 | PA      | $6653793.35    | 0.01%             | 2036-01-10      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2014                                                                                      | CUSIP: 12665VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     905881 | PA      | $863647.15     | 0.00%             | 2036-08-11      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                                 | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class 3A                                                           | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     219645 | PA      | $214096.20     | 0.00%             | 2034-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                                 | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1                                                           | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      33085 | PA      | $34375.37      | 0.00%             | 2034-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                           | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1                                                     | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      19108 | PA      | $19059.05      | 0.00%             | 2034-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-1CB, Class 1A6                                                                       | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     447010 | PA      | $54437.68      | 0.00%             | 2035-03-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                                                       | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1496122 | PA      | $1543662.42    | 0.00%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-37T1, Class A2                                                                       | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10436575 | PA      | $890953.72     | 0.00%             | 2035-09-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-22T1, Class A2                                                                       | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3262224 | PA      | $305511.16     | 0.00%             | 2035-06-25      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                                                      | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2048194 | PA      | $127310.18     | 0.00%             | 2035-07-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-28CB, Class 1A4                                                                      | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     797022 | PA      | $686808.98     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-28CB, Class 3A5                                                                      | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41031 | PA      | $15337.71      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-54CB, Class 1A2                                                                      | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2636352 | PA      | $175597.36     | 0.00%             | 2035-11-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-54CB, Class 1A7                                                                      | CUSIP: 12668ANZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9876 | PA      | $7383.55       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                                                     | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     666907 | PA      | $511750.42     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-64CB, Class 1A9                                                                      | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281356 | PA      | $252415.84     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                                               | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     568654 | PA      | $470608.97     | 0.00%             | 2035-11-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2002-18                                                                          | CUSIP: 12669C7X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26712 | PA      | $21789.13      | 0.00%             | 2032-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                                              | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38980 | PA      | $37571.67      | 0.00%             | 2034-05-20      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A4                                                                 | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56341 | PA      | $56904.60      | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A26                                                                | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82976 | PA      | $84141.77      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-5, Class 1A4                                                                | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     317718 | PA      | $318643.19     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                                                | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24136 | PA      | $22311.64      | 0.00%             | 2034-06-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                                              | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150418 | PA      | $143417.71     | 0.00%             | 2034-06-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                                               | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39032 | PA      | $23690.90      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3                                                              | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121668 | PA      | $117645.29     | 0.00%             | 2034-11-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2005-14, Class A2                                                                | CUSIP: 12669GK67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71798 | PA      | $26850.38      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                         | Reperforming Loan REMIC Trust, Series 2005-R1, Class 2A                                                                  | CUSIP: 12669GXG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20304 | PA      | $11213.06      | 0.00%             | 2035-03-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                                            | COPT Defense Properties LP                                                                                               | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    6270000 | PA      | $6297373.06    | 0.01%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Koda Gnb ABS LLC                                                      | Koda Gnb ABS LLC, Series 2023-1A, Class A1                                                                               | CUSIP: 127656AA4<br>LEI: 549300KYPQ0HIKDTZK59 | Long             | ABS-O            | CORP              | US        |   10658772 | PA      | $10831240.83   | 0.02%             | 2040-04-28      | Fixed         | 7.48%                 | Yes           |                  3 | On Loan: No      |
| Koda Gnb ABS LLC                                                      | Koda Gnb ABS LLC, Series 2023-1A, Class A2                                                                               | CUSIP: 127656AB2<br>LEI: 549300KYPQ0HIKDTZK59 | Long             | ABS-O            | CORP              | US        |   20360599 | PA      | $20696585.92   | 0.04%             | 2040-04-28      | Fixed         | 7.85%                 | Yes           |                  3 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   10504000 | PA      | $11791692.82   | 0.02%             | 2034-09-13      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   27576000 | PA      | $28756702.84   | 0.05%             | 2030-03-15      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   30700000 | PA      | $32944475.47   | 0.06%             | 2035-06-15      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   49395000 | PA      | $50410661.97   | 0.09%             | 2031-07-03      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   26134000 | PA      | $27114987.52   | 0.05%             | 2036-07-03      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| State of California                                                   | State of California, Various Purpose                                                                                     | CUSIP: 13063A7D0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |    2400000 | PA      | $2850213.12    | 0.01%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                    | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13607HR53<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    8000000 | PA      | $7709705.04    | 0.01%             | 2032-04-07      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                    | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13607LWV1<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    3200000 | PA      | $3358144.70    | 0.01%             | 2028-10-03      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                                          | Canadian Pacific Railway Co.                                                                                             | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    2500000 | PA      | $2272811.78    | 0.00%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    2798000 | PA      | $2754267.32    | 0.01%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   16445000 | PA      | $14891446.77   | 0.03%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   29565000 | PA      | $30945771.24   | 0.06%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7479240.38    | 0.01%             | 2036-09-11      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Cardinal Health, Inc.                                                 | Cardinal Health, Inc.                                                                                                    | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7888560.45    | 0.01%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1886000 | PA      | $1629041.95    | 0.00%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1569000 | PA      | $1355944.99    | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                         | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                                                  | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14963200 | PA      | $14491775.26   | 0.03%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                        | Carvana Auto Receivables Trust, Series 2023-P4, Class A4                                                                 | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16476000 | PA      | $17028367.79   | 0.03%             | 2029-09-10      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                        | Carvana Auto Receivables Trust, Series 2022-P1, Class A4                                                                 | CUSIP: 14688DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5089276 | PA      | $5081958.67    | 0.01%             | 2028-02-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                        | Carvana Auto Receivables Trust, Series 2023-N4, Class B                                                                  | CUSIP: 14688LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16330043 | PA      | $16476596.48   | 0.03%             | 2030-02-11      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                                | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                                         | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   31754605 | PA      | $31226897.93   | 0.06%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2006-CD3, Class XS                                                                             | CUSIP: 14986DAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     572850 | PA      | $979.92        | 0.00%             | 2048-10-15      | Variable      | 0.19%                 | Yes           |                  3 | On Loan: No      |
| Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates  | Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates, Series 2004-1, Class P                             | CUSIP: 151314GD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18452 | PA      | $14217.65      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates      | Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates, Series 2003-8, Class 1P                                | CUSIP: 15132EFF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9604 | PA      | $7256.45       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust                | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2024-RTL1, Class A1                                       | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37151000 | PA      | $37543738.08   | 0.07%             | 2029-10-25      | Variable      | 6.89%                 | Yes           |                  3 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                               | CenterPoint Energy Houston Electric LLC                                                                                  | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    1066000 | PA      | $860604.89     | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4374000 | PA      | $4568939.38    | 0.01%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9380000 | PA      | $7818135.36    | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4923000 | PA      | $4562401.23    | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13160000 | PA      | $10026090.10   | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27270000 | PA      | $17599240.99   | 0.03%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12020000 | PA      | $8659135.64    | 0.02%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7800000 | PA      | $5508046.36    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                   | Chase Funding Trust, Series 2003-4, Class 1A5                                                                            | CUSIP: 161546FV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     374773 | PA      | $374319.56     | 0.00%             | 2033-05-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                   | Chase Funding Trust, Series 2003-6, Class 1A5                                                                            | CUSIP: 161546HA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     468599 | PA      | $468922.20     | 0.00%             | 2034-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                   | Chase Funding Trust, Series 2003-6, Class 1A7                                                                            | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     798663 | PA      | $799543.57     | 0.00%             | 2034-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 1A3                                                                  | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31324 | PA      | $31504.35      | 0.00%             | 2037-02-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 2A1                                                                  | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     118310 | PA      | $114283.50     | 0.00%             | 2037-02-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 7A1                                                                  | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2646 | PA      | $2661.30       | 0.00%             | 2037-02-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A1, Class 9A1                                                                  | CUSIP: 161630AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87823 | PA      | $87382.29      | 0.00%             | 2037-02-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A2, Class 1A1                                                                  | CUSIP: 16163LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13287 | PA      | $13445.38      | 0.00%             | 2035-06-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                                                                  | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93746 | PA      | $94330.06      | 0.00%             | 2035-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                           | Cheniere Energy Partners LP                                                                                              | CUSIP: 16411QAW1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   12420000 | PA      | $12888606.35   | 0.02%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                                 | Cheniere Energy, Inc.                                                                                                    | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |   13830000 | PA      | $14543048.66   | 0.03%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Chester County Health and Education Facilities Authority              | Chester County Health and Education Facilities Authority, Main Line Health System, Series 2020C                          | CUSIP: 16557HGE9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   11130000 | PA      | $8252819.32    | 0.02%             | 2051-06-01      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Children's Hospital                                                   | Children's Hospital, Series 2020                                                                                         | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |   13680000 | PA      | $9128545.12    | 0.02%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                     | Republic of Chile                                                                                                        | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    9568000 | PA      | $8663824.00    | 0.02%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6210548.49    | 0.01%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1491000 | PA      | $1500002.34    | 0.00%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   41323000 | PA      | $41127253.36   | 0.08%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   11100000 | PA      | $11015409.23   | 0.02%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6399000 | PA      | $6408490.55    | 0.01%             | 2029-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1901000 | PA      | $1417271.39    | 0.00%             | 2042-11-03      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $54867100.50   | 0.10%             | 2033-11-17      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   31800000 | PA      | $33165893.95   | 0.06%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   18415000 | PA      | $18886047.97   | 0.03%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   23430000 | PA      | $23608855.48   | 0.04%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   19340000 | PA      | $19677615.09   | 0.04%             | 2036-09-11      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                                   | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3                                                            | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |     950000 | PA      | $1081451.50    | 0.00%             | 2039-06-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5                                                            | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      27070 | PA      | $26302.81      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A6                                                            | CUSIP: 17307GBJ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       4825 | PA      | $4115.73       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2                                                              | CUSIP: 17307GBP2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |         39 | PA      | $34.45         | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3                                                              | CUSIP: 17307GCA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       7255 | PA      | $5263.97       | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                         | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                                                                | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      26260 | PA      | $25233.11      | 0.00%             | 2034-08-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                                                           | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     109441 | PA      | $96309.07      | 0.00%             | 2035-02-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11                                                           | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     273397 | PA      | $276801.06     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2                                                            | CUSIP: 17307GXU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     298499 | PA      | $252584.25     | 0.00%             | 2035-08-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                    | Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2                                                             | CUSIP: 17310DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140714 | PA      | $130557.87     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                         | Citigroup Mortgage Loan Trust, Series 2009-10, Class 1A1                                                                 | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126014 | PA      | $125581.22     | 0.00%             | 2033-09-25      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                         | Citigroup Mortgage Loan Trust, Series 2015-A, Class B2                                                                   | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     681847 | PA      | $679798.32     | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3330000 | PA      | $3079263.89    | 0.01%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   21204000 | PA      | $21454205.50   | 0.04%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Claremont Mckenna College                                             | Claremont Mckenna College, Series 2019                                                                                   | CUSIP: 18013RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10000000 | PA      | $7235801.60    | 0.01%             | 2050-01-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)                             | Cleveland Electric Illuminating Co. (The)                                                                                | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     840000 | PA      | $892899.07     | 0.00%             | 2036-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)                             | Cleveland Electric Illuminating Co. (The)                                                                                | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3890000 | PA      | $3832391.36    | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                                    | CNO Global Funding                                                                                                       | CUSIP: 18977W2A7<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   11240000 | PA      | $11086013.35   | 0.02%             | 2026-10-07      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                                             | Coca-Cola Femsa SAB de CV                                                                                                | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |   11205000 | PA      | $9603805.50    | 0.02%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                    | Columbia Pipelines Holding Co. LLC                                                                                       | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16276000 | PA      | $17027475.45   | 0.03%             | 2034-01-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                    | Columbia Pipelines Holding Co. LLC                                                                                       | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3993000 | PA      | $4107784.10    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11670000 | PA      | $12466268.26   | 0.02%             | 2030-08-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11250000 | PA      | $12188913.64   | 0.02%             | 2033-11-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   36855000 | PA      | $38387259.52   | 0.07%             | 2035-02-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                  | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25130000 | PA      | $25521043.91   | 0.05%             | 2055-02-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   16564000 | PA      | $16406998.29   | 0.03%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3361000 | PA      | $3260834.74    | 0.01%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5553000 | PA      | $4198164.40    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1013207.06    | 0.00%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   19265000 | PA      | $15379267.80   | 0.03%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    8500000 | PA      | $5847941.95    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    8535000 | PA      | $7200022.90    | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   24803000 | PA      | $14825160.37   | 0.03%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   14886000 | PA      | $8985767.77    | 0.02%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   15473000 | PA      | $9023413.39    | 0.02%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     962000 | PA      | $536066.66     | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4960000 | PA      | $4568630.26    | 0.01%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NEJ6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $4126972.32    | 0.01%             | 2034-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   37553000 | PA      | $37810805.48   | 0.07%             | 2037-01-15      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2018-HOME, Class A                                                                     | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   53745000 | PA      | $53032679.89   | 0.10%             | 2033-04-10      | Variable      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAC7<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    5540000 | PA      | $4508187.30    | 0.01%             | 2049-10-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6205000 | PA      | $5827899.63    | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $5069272.49    | 0.01%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                               | Commonwealth Edison Co.                                                                                                  | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    3615000 | PA      | $2812092.30    | 0.01%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M2                                                          | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9750000 | PA      | $10007667.15   | 0.02%             | 2043-07-25      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                   | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M2                                                          | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17575000 | PA      | $18262906.59   | 0.03%             | 2043-01-25      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                    | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBE5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   13210000 | PA      | $12530515.51   | 0.02%             | 2053-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                    | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   10025000 | PA      | $9844770.25    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111FA6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    2760000 | PA      | $2924910.69    | 0.01%             | 2040-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc., Series 2017                                                                   | CUSIP: 209111FL2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    3355000 | PA      | $2650618.39    | 0.00%             | 2047-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    1724000 | PA      | $1433796.30    | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $3169204.74    | 0.01%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    3091000 | PA      | $2911497.78    | 0.01%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5084866.10    | 0.01%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    4555000 | PA      | $4885106.54    | 0.01%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3828730.40    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                                  | Consumers Energy Co.                                                                                                     | CUSIP: 210518CZ7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $1584592.55    | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Consumers 2023 Securitization Funding LLC                             | Consumers 2023 Securitization Funding LLC, Series A2                                                                     | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4231000 | PA      | $4379979.01    | 0.01%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    8564000 | PA      | $8552670.60    | 0.02%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   13295000 | PA      | $13225225.18   | 0.02%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    9710000 | PA      | $9598905.17    | 0.02%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-2, Class B                                                                  | CUSIP: 21872GAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3038900 | PA      | $2973859.79    | 0.01%             | 2052-06-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-2, Class C                                                                  | CUSIP: 21872GAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5526000 | PA      | $5396206.42    | 0.01%             | 2052-06-15      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-3, Class A                                                                  | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1703433 | PA      | $1700255.40    | 0.00%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| Corning, Inc.                                                         | Corning, Inc.                                                                                                            | CUSIP: 219350BK0<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    6270000 | PA      | $6230501.51    | 0.01%             | 2048-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                     | Corp. Nacional del Cobre de Chile                                                                                        | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |   17281000 | PA      | $18876330.08   | 0.03%             | 2036-01-26      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                                            | COPT Defense Properties LP                                                                                               | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    3440000 | PA      | $3247572.42    | 0.01%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Cottage Health Obligated Group                                        | Cottage Health Obligated Group, Series 2020                                                                              | CUSIP: 22170QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10450000 | PA      | $7585880.30    | 0.01%             | 2049-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                              | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    3046000 | PA      | $3031193.70    | 0.01%             | 2026-09-15      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Cox Communications, Inc.                                              | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    8375000 | PA      | $4747810.36    | 0.01%             | 2050-10-01      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class B                                                               | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4118094 | PA      | $4137934.54    | 0.01%             | 2033-05-16      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                                                               | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11798543 | PA      | $11842683.68   | 0.02%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class B                                                               | CUSIP: 224936AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43500000 | PA      | $44101557.15   | 0.08%             | 2033-10-17      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust                                                                                        | CUSIP: 22530BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   65094000 | PA      | $65816543.40   | 0.12%             | 2034-02-15      | Fixed         | 6.95%                 | No            |                  3 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust                                                                                        | CUSIP: 22530BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27013000 | PA      | $27936844.60   | 0.05%             | 2034-06-15      | Fixed         | 8.30%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22534PAE3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   12885000 | PA      | $12956802.95   | 0.02%             | 2026-07-05      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class D                                                               | CUSIP: 22534QAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50000000 | PA      | $50451800.00   | 0.09%             | 2033-04-18      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                                                               | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19100000 | PA      | $19386186.76   | 0.04%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class A                                                               | CUSIP: 22535PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6401772 | PA      | $6439423.56    | 0.01%             | 2033-12-15      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   45845000 | PA      | $48727749.65   | 0.09%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   15002000 | PA      | $15315951.80   | 0.03%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   14822000 | PA      | $15325923.40   | 0.03%             | 2031-05-27      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   22790000 | PA      | $22961966.73   | 0.04%             | 2033-09-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAU1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   32045000 | PA      | $32373083.76   | 0.06%             | 2037-01-12      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class B                                                               | CUSIP: 22536VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40000000 | PA      | $41085904.00   | 0.08%             | 2034-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                                                               | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3779074 | PA      | $3782072.11    | 0.01%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class B                                                               | CUSIP: 22537EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33379000 | PA      | $33557177.10   | 0.06%             | 2033-07-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A                                                               | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   35480000 | PA      | $35713362.60   | 0.07%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class B                                                               | CUSIP: 22537GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12000000 | PA      | $12180830.40   | 0.02%             | 2034-05-15      | Fixed         | 6.03%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2991000 | PA      | $2981427.13    | 0.01%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   13127000 | PA      | $12283819.32   | 0.02%             | 2032-05-14      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    9855000 | PA      | $10808695.94   | 0.02%             | 2034-09-22      | Variable      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    8035000 | PA      | $8057854.35    | 0.01%             | 2031-09-23      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   32415000 | PA      | $32309536.18   | 0.06%             | 2037-03-23      | Variable      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   29685000 | PA      | $29954451.64   | 0.06%             | 2037-08-10      | Variable      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 3A1                                        | CUSIP: 22541QCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25555 | PA      | $26139.63      | 0.00%             | 2033-06-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4                                          | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120684 | PA      | $122221.43     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 1P                                           | CUSIP: 22541QXK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161016 | PA      | $121219.91     | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 1A4                                                 | CUSIP: 22541SU55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     348825 | PA      | $360555.73     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4, Class 2A4                                                 | CUSIP: 22541SUD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122372 | PA      | $126450.10     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class DX                                                  | CUSIP: 2254586J2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     631264 | PA      | $105161.00     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class AP                                                  | CUSIP: 2254586K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23671 | PA      | $18735.13      | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                               | Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AX                                                        | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14851228 | PA      | $3703.90       | 0.00%             | 2049-01-15      | Variable      | 0.01%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class AP                                                 | CUSIP: 225470FW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31751 | PA      | $22646.07      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1                                           | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260019 | PA      | $270422.40     | 0.00%             | 2033-02-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Crown Castle Towers LLC                                               | Crown Castle Towers LLC                                                                                                  | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10026996.00   | 0.02%             | 2028-07-15      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    2066000 | PA      | $2066014.32    | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   12355000 | PA      | $12870358.31   | 0.02%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   12960000 | PA      | $13727307.17   | 0.03%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                   | DBWF Mortgage Trust, Series 2015-LCM, Class A2                                                                           | CUSIP: 23306NAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3938988.00    | 0.01%             | 2034-06-10      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co.                                                                                                         | CUSIP: 23338VAL0<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $5931084.54    | 0.01%             | 2050-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co., Series B                                                                                               | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1146000 | PA      | $862846.34     | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co.                                                                                                         | CUSIP: 23338VAT3<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     934000 | PA      | $917909.69     | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2022-2A, Class E                                                                             | CUSIP: 23345AAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5955000 | PA      | $5993486.57    | 0.01%             | 2029-05-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                    | DT Midstream, Inc.                                                                                                       | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17380000 | PA      | $17019223.87   | 0.03%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2022-3A, Class D                                                                             | CUSIP: 23345RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41938423 | PA      | $42888542.36   | 0.08%             | 2028-07-17      | Fixed         | 8.14%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-3A, Class C                                                                             | CUSIP: 23345WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9882905 | PA      | $9971760.27    | 0.02%             | 2029-05-15      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-3A, Class D                                                                             | CUSIP: 23345WAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13224000 | PA      | $13657871.51   | 0.03%             | 2029-05-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-2A, Class D                                                                             | CUSIP: 23346CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9358000 | PA      | $9557661.35    | 0.02%             | 2029-02-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-1A, Class D                                                                             | CUSIP: 23346KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15550000 | PA      | $15795402.33   | 0.03%             | 2028-11-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2023-1A, Class E                                                                             | CUSIP: 23346KAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27300000 | PA      | $28442073.66   | 0.05%             | 2030-01-15      | Fixed         | 10.39%                | Yes           |                  2 | On Loan: No      |
| DTE Electric Securitization Funding II LLC                            | DTE Electric Securitization Funding II LLC, Series A-1                                                                   | CUSIP: 23346TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15403846 | PA      | $16361326.48   | 0.03%             | 2032-03-01      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                                    | DP Lion Holdco LLC, Series 2023-1A, Class A                                                                              | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |   16096032 | PA      | $16547220.03   | 0.03%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  2 | On Loan: No      |
| DailyPay Securitization Trust 2025-1                                  | DailyPay Securitization Trust, Series 2025-1A, Class A                                                                   | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21000000 | PA      | $21144696.30   | 0.04%             | 2028-06-26      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   29115000 | PA      | $30385794.34   | 0.06%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   10433000 | PA      | $10569724.78   | 0.02%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   13405000 | PA      | $13781129.42   | 0.03%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABL4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   14355000 | PA      | $14419782.11   | 0.03%             | 2031-09-12      | Variable      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703DBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     242000 | PA      | $169804.11     | 0.00%             | 2051-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703DBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5508000 | PA      | $5634110.07    | 0.01%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2501000 | PA      | $2502735.24    | 0.00%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5595000 | PA      | $5614508.37    | 0.01%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6227238.66    | 0.01%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4770000 | PA      | $4905752.58    | 0.01%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   46000000 | PA      | $47833772.98   | 0.09%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Delmarva Power & Light Co.                                            | Delmarva Power & Light Co.                                                                                               | CUSIP: 247109BR1<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |    1478000 | PA      | $1266428.57    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                    | Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA                                                              | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4358340 | PA      | $4178291.96    | 0.01%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                   | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                                            | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23008 | PA      | $22520.79      | 0.00%             | 2020-02-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   10555000 | PA      | $10138432.25   | 0.02%             | 2031-09-18      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   17877000 | PA      | $16571064.06   | 0.03%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4955000 | PA      | $4894814.14    | 0.01%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    8661000 | PA      | $9058207.84    | 0.02%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   11195000 | PA      | $11922725.15   | 0.02%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   16725000 | PA      | $17438667.62   | 0.03%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    6960000 | PA      | $7110730.56    | 0.01%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   55508000 | PA      | $57320514.38   | 0.11%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   26935000 | PA      | $27432481.10   | 0.05%             | 2031-08-04      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526DD8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    9255000 | PA      | $9308061.88    | 0.02%             | 2031-12-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   14135000 | PA      | $14294821.90   | 0.03%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   24880000 | PA      | $25427195.54   | 0.05%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                    | Devon Energy Corp.                                                                                                       | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    8163000 | PA      | $7954768.73    | 0.01%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Capital One NA                                                        | Capital One NA                                                                                                           | CUSIP: 25466AAE1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |    8109000 | PA      | $8108439.91    | 0.01%             | 2026-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                        | Diversified ABS Phase LLC, Series 2024-1A, Class A1                                                                      | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16750754 | PA      | $16929485.00   | 0.03%             | 2044-05-30      | Fixed         | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                        | Diversified ABS Phase LLC, Series 2024-1A, Class A2                                                                      | CUSIP: 255123AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18321167 | PA      | $18522204.83   | 0.03%             | 2044-05-30      | Fixed         | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Diversified ABS LLC                                                   | Diversified ABS LLC, Series 2025-1A, Class A1                                                                            | CUSIP: 255126AA2<br>LEI: 2549000V3WDZQQ691H02 | Long             | ABS-O            | CORP              | US        |   22603743 | PA      | $22763303.28   | 0.04%             | 2045-02-28      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Diversified ABS LLC                                                   | Diversified ABS LLC, Series 2025-1A, Class A2                                                                            | CUSIP: 255126AC8<br>LEI: 2549000V3WDZQQ691H02 | Long             | ABS-O            | CORP              | US        |   58000000 | PA      | $58713400.00   | 0.11%             | 2045-02-28      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Diversified Abs Phase VI LLC                                          | Diversified ABS Phase LLC, Series VI, Class A                                                                            | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-O            | CORP              | US        |   21824888 | PA      | $21885997.75   | 0.04%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| DNB Bank ASA                                                          | DNB Bank ASA                                                                                                             | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   22075000 | PA      | $21539042.18   | 0.04%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| DNB Bank ASA                                                          | DNB Bank ASA                                                                                                             | CUSIP: 25601B2E4<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   17715000 | PA      | $17799808.79   | 0.03%             | 2031-11-04      | Variable      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series F                                                                                          | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    5067000 | PA      | $5246534.65    | 0.01%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc.                                                                                                    | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1076000 | PA      | $1224979.37    | 0.00%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series C                                                                                          | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1714155.26    | 0.00%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series D                                                                                          | CUSIP: 25746UCK3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1927000 | PA      | $1917406.78    | 0.00%             | 2026-08-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                               | DuPont de Nemours, Inc.                                                                                                  | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   11250000 | PA      | $11421059.18   | 0.02%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Diversified ABS IX Holdings LLC                                       | Diversified ABS Holdings LLC, Series 2024-2A, Class A                                                                    | CUSIP: 260968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41474943 | PA      | $41860659.90   | 0.08%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | On Loan: No      |
| Drive Auto Receivables Trust                                          | Drive Auto Receivables Trust, Series 2025-1, Class D                                                                     | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9190000 | PA      | $9357612.73    | 0.02%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1382000 | PA      | $1372908.32    | 0.00%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   16415000 | PA      | $12623351.68   | 0.02%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   26040000 | PA      | $26937129.04   | 0.05%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   18525000 | PA      | $18162023.37   | 0.03%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                             | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1228000 | PA      | $1094290.44    | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                             | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CBL7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    9705000 | PA      | $9505275.47    | 0.02%             | 2054-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                                | Duke Energy Ohio, Inc.                                                                                                   | CUSIP: 26442EAE0<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    3297000 | PA      | $2569194.24    | 0.00%             | 2046-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442RAD3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    2258000 | PA      | $1924374.97    | 0.00%             | 2044-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1616000 | PA      | $1267132.98    | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    9495000 | PA      | $6074446.38    | 0.01%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                               | Duke Energy Indiana LLC                                                                                                  | CUSIP: 26443TAA4<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $3560755.50    | 0.01%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                               | Duke Energy Indiana LLC, Series YYY                                                                                      | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    6895000 | PA      | $4846182.12    | 0.01%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress NC Storm Funding LLC                             | Duke Energy Progress NC Storm Funding LLC, Series A-2                                                                    | CUSIP: 26444BAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4389980.80    | 0.01%             | 2037-07-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida Project Finance LLC                               | Duke Energy Florida Project Finance LLC, Series 2032                                                                     | CUSIP: 26444GAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9430000 | PA      | $8814735.97    | 0.02%             | 2033-03-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                         | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    8002000 | PA      | $7936970.63    | 0.01%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                         | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    6275000 | PA      | $5690155.19    | 0.01%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Electricite de France SA                                              | Electricite de France SA                                                                                                 | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |   19275000 | PA      | $20754854.70   | 0.04%             | 2034-04-22      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                               | Eni SpA                                                                                                                  | CUSIP: 26874RAC2<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    4843000 | PA      | $4953673.20    | 0.01%             | 2040-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                               | Eni SpA                                                                                                                  | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   14030000 | PA      | $14393264.06   | 0.03%             | 2054-05-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     425000 | PA      | $500110.92     | 0.00%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| EQT Corp.                                                             | EQT Corp.                                                                                                                | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    3371000 | PA      | $3364656.59    | 0.01%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    3104000 | PA      | $3210707.85    | 0.01%             | 2042-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26884TAZ5<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    7330000 | PA      | $7620735.58    | 0.01%             | 2034-10-30      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Eagle Funding Luxco Sarl                                              | Eagle Funding Luxco SARL                                                                                                 | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   94917000 | PA      | $96815340.00   | 0.18%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                       | Eastern Energy Gas Holdings LLC                                                                                          | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |   10430000 | PA      | $11087823.96   | 0.02%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Eastern Gas Transmission & Storage, Inc.                              | Eastern Gas Transmission & Storage, Inc.                                                                                 | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    4476000 | PA      | $3355981.80    | 0.01%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    6730000 | PA      | $6695867.80    | 0.01%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2030708.70    | 0.00%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AY3<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   15800000 | PA      | $16103084.76   | 0.03%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Elara Hgv Timeshare Issuer LLC                                        | Elara Hgv Timeshare Issuer LLC, Series 2025-A, Class A                                                                   | CUSIP: 28416VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6152589 | PA      | $6201207.33    | 0.01%             | 2040-01-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   25300000 | PA      | $25421452.65   | 0.05%             | 2026-06-26      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   25788000 | PA      | $27208185.65   | 0.05%             | 2028-12-04      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    6890000 | PA      | $6990357.40    | 0.01%             | 2027-03-13      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   23200000 | PA      | $23781607.30   | 0.04%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Emera US Finance LP                                                   | Emera US Finance LP                                                                                                      | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   40095000 | PA      | $34666221.60   | 0.06%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $7685258.08    | 0.01%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    9791000 | PA      | $9818477.76    | 0.02%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   17080000 | PA      | $18153153.14   | 0.03%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NBZ7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    5550000 | PA      | $6241268.54    | 0.01%             | 2053-11-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   19445000 | PA      | $20583351.91   | 0.04%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29268BAF8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     897000 | PA      | $951711.23     | 0.00%             | 2039-10-07      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2695000 | PA      | $3171860.60    | 0.01%             | 2038-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4266000 | PA      | $4399944.59    | 0.01%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAZ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $3980697.23    | 0.01%             | 2043-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    4500000 | PA      | $4454818.52    | 0.01%             | 2028-04-06      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   15935000 | PA      | $16416743.25   | 0.03%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   22930000 | PA      | $23921880.26   | 0.04%             | 2034-06-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   12700000 | PA      | $12686807.88   | 0.02%             | 2035-09-30      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6419000 | PA      | $6331080.30    | 0.01%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    5655000 | PA      | $5717339.59    | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Engie SA                                                              | Engie SA                                                                                                                 | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |   13225000 | PA      | $13935936.33   | 0.03%             | 2034-04-10      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Entergy Corp.                                                         | Entergy Corp.                                                                                                            | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    2469000 | PA      | $2456069.45    | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAW8<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1551000 | PA      | $1536305.30    | 0.00%             | 2028-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    4606000 | PA      | $4372708.45    | 0.01%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    4979000 | PA      | $4937233.71    | 0.01%             | 2026-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    3430000 | PA      | $3337506.14    | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   17840000 | PA      | $18142658.28   | 0.03%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                   | Entergy Texas, Inc.                                                                                                      | CUSIP: 29365TAN4<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    8450000 | PA      | $8635718.33    | 0.02%             | 2053-09-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                                  | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    8425000 | PA      | $5095528.63    | 0.01%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                                  | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    6750000 | PA      | $6804837.95    | 0.01%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                               | Entergy Mississippi LLC                                                                                                  | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |   12395000 | PA      | $12508680.37   | 0.02%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC, Series J                                                                              | CUSIP: 293791AT6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2509000 | PA      | $2668918.29    | 0.00%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     455000 | PA      | $556117.60     | 0.00%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAT0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1259000 | PA      | $1346944.16    | 0.00%             | 2041-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAY9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     455000 | PA      | $407114.95     | 0.00%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1758000 | PA      | $1682993.21    | 0.00%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1189000 | PA      | $1074874.58    | 0.00%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Equinix Europe 2 Financing Corp. LLC                                  | Equinix Europe 2 Financing Corp. LLC                                                                                     | CUSIP: 29390XAH7<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |   28285000 | PA      | $28389743.88   | 0.05%             | 2033-03-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EQV Abs Issuer I LLC                                                  | EQV Abs Issuer I LLC                                                                                                     | CUSIP: 29476QAB2<br>LEI: 254900AKBSYT3UNVVC48 | Long             | ABS-MBS          | CORP              | US        |    1300885 | PA      | $1307779.37    | 0.00%             | 2040-12-15      | Fixed         | 5.85%                 | No            |                  3 | On Loan: No      |
| EQV Abs Issuer I LLC                                                  | EQV ABS Issuer LLC                                                                                                       | CUSIP: 29476QAC0<br>LEI: 254900AKBSYT3UNVVC48 | Long             | ABS-O            | CORP              | US        |   23967108 | PA      | $24326327.07   | 0.04%             | 2040-12-15      | Fixed         | 6.90%                 | No            |                  3 | On Loan: No      |
| Essex Portfolio LP                                                    | Essex Portfolio LP                                                                                                       | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    8950000 | PA      | $7899819.26    | 0.01%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                    | Essex Portfolio LP                                                                                                       | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    6190000 | PA      | $6456233.45    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                                          | Evergy, Inc.                                                                                                             | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    7869000 | PA      | $7563028.26    | 0.01%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                                    | Evergy Metro, Inc.                                                                                                       | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    6931000 | PA      | $7311401.28    | 0.01%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Evergy Missouri West Storm Funding I LLC                              | Evergy Missouri West Storm Funding I LLC, Series A-1                                                                     | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10463713 | PA      | $10899410.84   | 0.02%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   18303000 | PA      | $20068777.90   | 0.04%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   15265000 | PA      | $15872110.73   | 0.03%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                          | Exelon Corp.                                                                                                             | CUSIP: 30161NAU5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    1177000 | PA      | $1176034.48    | 0.00%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                          | Exelon Corp.                                                                                                             | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13622604.71   | 0.03%             | 2033-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-4A, Class D                                                             | CUSIP: 30166TAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14269000 | PA      | $14639534.54   | 0.03%             | 2029-12-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                                                             | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25900000 | PA      | $26605422.76   | 0.05%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-3A, Class D                                                             | CUSIP: 30166YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29912798 | PA      | $30227396.79   | 0.06%             | 2028-09-15      | Fixed         | 6.76%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-5A, Class D                                                             | CUSIP: 30167FAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10798256 | PA      | $10930389.30   | 0.02%             | 2029-02-15      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                                                             | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   48000000 | PA      | $48831168.00   | 0.09%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-6A, Class D                                                             | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13806000 | PA      | $14156385.24   | 0.03%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-1A, Class D                                                             | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7875574 | PA      | $7996774.52    | 0.01%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-2A, Class C                                                             | CUSIP: 30168CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9562208 | PA      | $9597247.10    | 0.02%             | 2028-07-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-5A, Class C                                                             | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20966000 | PA      | $21217837.30   | 0.04%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                            | F&G Annuities & Life, Inc.                                                                                               | CUSIP: 30190AAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10949000 | PA      | $11360473.93   | 0.02%             | 2028-01-13      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                            | F&G Annuities & Life, Inc.                                                                                               | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22393000 | PA      | $23050162.67   | 0.04%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2023-3A, Class D                                                             | CUSIP: 301989AF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $7141095.50    | 0.01%             | 2029-04-16      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                | Extra Space Storage LP                                                                                                   | CUSIP: 30225VAL1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    8937000 | PA      | $8920607.22    | 0.02%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    2726000 | PA      | $2328410.61    | 0.00%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   14245000 | PA      | $11651749.60   | 0.02%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAZ5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   17965000 | PA      | $12603250.89   | 0.02%             | 2049-08-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FMR LLC                                                               | FMR LLC                                                                                                                  | CUSIP: 30251BAB4<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    2242000 | PA      | $2501835.49    | 0.00%             | 2039-11-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                                          | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56650000 | PA      | $56480270.94   | 0.10%             | 2028-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                                          | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   43050000 | PA      | $41800413.48   | 0.08%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                                                          | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   61030000 | PA      | $59463286.66   | 0.11%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                                          | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   86250000 | PA      | $86896521.38   | 0.16%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                 | FMC GMSR Issuer Trust, Series 2024-SAT1, Class A                                                                         | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  108325000 | PA      | $110311409.69  | 0.20%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                                            | FW Energy Asset Issuer LLC                                                                                               | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   64609653 | PA      | $66436620.36   | 0.12%             | 2044-06-26      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| Energy Assets                                                         | Energy Assets                                                                                                            | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   19503946 | PA      | $20078356.71   | 0.04%             | 2044-06-26      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2016-K56, Class B                                                                           | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8451000 | PA      | $8415084.10    | 0.02%             | 2049-06-25      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW07, Class B                                                                          | CUSIP: 30297NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4607371.50    | 0.01%             | 2031-10-25      | Variable      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KHG2, Class B                                                                          | CUSIP: 302983AE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13500000 | PA      | $12412129.50   | 0.02%             | 2030-02-25      | Variable      | 3.07%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KHG2, Class C                                                                          | CUSIP: 302983AG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32666000 | PA      | $28519825.48   | 0.05%             | 2030-02-25      | Variable      | 3.07%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-K63, Class B                                                                           | CUSIP: 30300HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19856268.00   | 0.04%             | 2050-02-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K737, Class B                                                                          | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9905183.00    | 0.02%             | 2053-01-25      | Variable      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-K67, Class B                                                                           | CUSIP: 30300YAS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10500000 | PA      | $10441122.30   | 0.02%             | 2049-09-25      | Variable      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $29208603.30   | 0.05%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   11965000 | PA      | $11296573.60   | 0.02%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   41850000 | PA      | $41346143.16   | 0.08%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   42180000 | PA      | $42599996.81   | 0.08%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   16665000 | PA      | $16312122.62   | 0.03%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K90, Class B                                                                           | CUSIP: 30308QAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8517755.65    | 0.02%             | 2052-02-25      | Variable      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KL05, Class BP                                                                         | CUSIP: 30311NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5645000 | PA      | $5378581.40    | 0.01%             | 2029-06-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K102, Class B                                                                          | CUSIP: 30312WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5831360.40    | 0.01%             | 2051-12-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K93, Class B                                                                           | CUSIP: 30313FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7954910.38    | 0.01%             | 2052-05-25      | Variable      | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2021-KLU3, Class BFX                                                                        | CUSIP: 30320PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9373540 | PA      | $8823026.36    | 0.02%             | 2031-01-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                                    | F&G Global Funding                                                                                                       | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   12780000 | PA      | $12671663.56   | 0.02%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                                             | FHF Trust, Series 2023-1A, Class A2                                                                                      | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2547510 | PA      | $2559386.46    | 0.00%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                                      | FHF Issuer Trust, Series 2023-2A, Class A2                                                                               | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3528564 | PA      | $3563089.61    | 0.01%             | 2029-10-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                   | FARM Mortgage Trust, Series 2023-1, Class A                                                                              | CUSIP: 30767YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24107296 | PA      | $20121419.50   | 0.04%             | 2052-01-25      | Variable      | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                   | FARM Mortgage Trust, Series 2024-2, Class A                                                                              | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   48179725 | PA      | $44458804.70   | 0.08%             | 2054-08-01      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 11                                                                                      | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308607 | PA      | $47472.55      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 12                                                                                      | CUSIP: 31282YDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259203 | PA      | $34592.13      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 13                                                                                      | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     471750 | PA      | $66117.17      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 239, Class S30                                                                                     | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     957629 | PA      | $123365.95     | 0.00%             | 2036-08-15      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        444 | PA      | $447.35        | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12846 | PA      | $13471.59      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3918 | PA      | $3931.19       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     292739 | PA      | $301018.18     | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3097 | PA      | $3154.08       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6964 | PA      | $7303.47       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31288ENG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108277 | PA      | $110118.96     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36891 | PA      | $36947.54      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10833 | PA      | $10926.84      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LTM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20340 | PA      | $20385.86      | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     667283 | PA      | $706779.93     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6QE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     399168 | PA      | $414381.17     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6QN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316004 | PA      | $327273.95     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128DHKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     412724 | PA      | $430945.00     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 262, Class 35                                                                                      | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10661152 | PA      | $10195389.31   | 0.02%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 264, Class F1                                                                                      | CUSIP: 3128HXM85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4116889 | PA      | $4101955.13    | 0.01%             | 2042-07-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 270, Class F1                                                                                      | CUSIP: 3128HXXL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1456652 | PA      | $1447537.36    | 0.00%             | 2042-08-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38998 | PA      | $39802.34      | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JR6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190010 | PA      | $195950.80     | 0.00%             | 2036-06-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JRPE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214325 | PA      | $219517.78     | 0.00%             | 2033-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188175 | PA      | $196230.23     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KLRA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19488 | PA      | $20622.27      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KRW91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219755 | PA      | $225214.04     | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128L3L79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68637 | PA      | $69755.06      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128LUSW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18850 | PA      | $19454.82      | 0.00%             | 2037-07-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57262 | PA      | $58607.29      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXN30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17614 | PA      | $18472.56      | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4A45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88241 | PA      | $92300.10      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4J38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23295 | PA      | $24430.06      | 0.00%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4VW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14576 | PA      | $14951.15      | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M52J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165939 | PA      | $176772.79     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5CE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191675 | PA      | $198968.05     | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5MP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261766 | PA      | $283882.99     | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5Q60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164545 | PA      | $169312.39     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6ZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150316 | PA      | $160567.35     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6ZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65449 | PA      | $68833.37      | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7C38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105560 | PA      | $110256.36     | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186669 | PA      | $195261.40     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7VE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140698 | PA      | $146362.38     | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5019653 | PA      | $5090280.91    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128MXST7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5192 | PA      | $5280.19       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81212 | PA      | $82978.64      | 0.00%             | 2036-08-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101387 | PA      | $103464.46     | 0.00%             | 2036-07-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345848 | PA      | $352441.41     | 0.00%             | 2036-10-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78796 | PA      | $79981.48      | 0.00%             | 2036-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFKE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79830 | PA      | $80591.88      | 0.00%             | 2037-05-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93481 | PA      | $97479.08      | 0.00%             | 2036-10-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167696 | PA      | $172917.66     | 0.00%             | 2036-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13294 | PA      | $13866.96      | 0.00%             | 2036-03-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4639 | PA      | $4800.87       | 0.00%             | 2036-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157727 | PA      | $161440.27     | 0.00%             | 2036-12-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14588 | PA      | $15035.70      | 0.00%             | 2037-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHWZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179639 | PA      | $185943.54     | 0.00%             | 2037-04-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHY72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     658628 | PA      | $685135.58     | 0.00%             | 2036-12-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135653 | PA      | $141460.38     | 0.00%             | 2037-05-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NKHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35114 | PA      | $35976.65      | 0.00%             | 2037-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NUBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83492 | PA      | $86542.12      | 0.00%             | 2036-10-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7JB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18039 | PA      | $18315.77      | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     368142 | PA      | $364731.08     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     961968 | PA      | $953257.51     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74095 | PA      | $76442.47      | 0.00%             | 2036-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGH21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95249 | PA      | $97506.75      | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGMA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132300 | PA      | $135006.57     | 0.00%             | 2037-02-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15715 | PA      | $15732.05      | 0.00%             | 2037-05-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHUA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37041 | PA      | $37853.66      | 0.00%             | 2037-05-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137632 | PA      | $142046.92     | 0.00%             | 2036-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72494 | PA      | $74634.03      | 0.00%             | 2037-01-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104206 | PA      | $107451.24     | 0.00%             | 2037-02-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QLSF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207844 | PA      | $217324.17     | 0.00%             | 2036-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QLSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43889 | PA      | $45881.10      | 0.00%             | 2036-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QPNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321825 | PA      | $332851.99     | 0.00%             | 2036-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QPQF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12388 | PA      | $12931.23      | 0.00%             | 2037-03-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60209 | PA      | $61662.23      | 0.00%             | 2036-11-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129087 | PA      | $133533.92     | 0.00%             | 2036-03-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSVG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39794 | PA      | $41507.23      | 0.00%             | 2036-05-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSZC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87787 | PA      | $90224.43      | 0.00%             | 2036-10-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355465 | PA      | $368186.39     | 0.00%             | 2036-06-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S42Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128909 | PA      | $132945.90     | 0.00%             | 2037-05-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S42W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15695 | PA      | $16152.24      | 0.00%             | 2038-05-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4A23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30539 | PA      | $31742.54      | 0.00%             | 2036-02-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4AG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28647 | PA      | $28882.96      | 0.00%             | 2035-12-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93036 | PA      | $95994.92      | 0.00%             | 2036-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     279088 | PA      | $287231.27     | 0.00%             | 2037-05-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84087 | PA      | $86879.86      | 0.00%             | 2038-04-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67953 | PA      | $69949.78      | 0.00%             | 2036-11-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204234 | PA      | $207767.07     | 0.00%             | 2037-03-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292GQD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $12.74         | 0.00%             | 2026-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41553 | PA      | $44114.93      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66959 | PA      | $69756.41      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129352C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35809 | PA      | $37554.69      | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2693144 | PA      | $2776409.82    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 312941XL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     719303 | PA      | $741540.37     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31295NZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3058 | PA      | $3139.00       | 0.00%             | 2032-09-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72702 | PA      | $74026.43      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296QYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56553 | PA      | $58074.45      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296SLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66856 | PA      | $68702.98      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297APY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167353 | PA      | $171732.46     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        957 | PA      | $992.89        | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31298GDU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178439 | PA      | $185198.99     | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LAQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63118 | PA      | $64936.55      | 0.00%             | 2036-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93757 | PA      | $96794.63      | 0.00%             | 2036-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112694 | PA      | $115898.92     | 0.00%             | 2036-02-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75014 | PA      | $78089.93      | 0.00%             | 2040-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                  | FHLB                                                                                                                     | CUSIP: 3130AL3G7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   32500000 | PA      | $26211686.80   | 0.05%             | 2036-02-08      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                  | FHLB                                                                                                                     | CUSIP: 3130AL5Y6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   40000000 | PA      | $32123514.80   | 0.06%             | 2036-02-11      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31322YU25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143053 | PA      | $140680.17     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132AEN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3236688 | PA      | $3191125.16    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132AEPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13728426 | PA      | $13536600.56   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 20 Year                                                                                                      | CUSIP: 3132D9DH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4768366 | PA      | $4671366.61    | 0.01%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DM3S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5646635 | PA      | $5124272.47    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DN3W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30616360 | PA      | $31180237.38   | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10065093 | PA      | $9211730.39    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47919612 | PA      | $46752166.07   | 0.09%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPFD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   53169237 | PA      | $46895413.54   | 0.09%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9661441 | PA      | $9665358.14    | 0.02%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11976900 | PA      | $11983027.23   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQ6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15694141 | PA      | $15701614.43   | 0.03%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQWX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21856291 | PA      | $19966565.26   | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DTMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12041141 | PA      | $10998167.50   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DTZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   90880237 | PA      | $82724577.03   | 0.15%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DUDP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10179803 | PA      | $9242938.97    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74820900 | PA      | $65530794.66   | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   54754165 | PA      | $48434033.87   | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10497842 | PA      | $9548390.91    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   64678062 | PA      | $56370883.12   | 0.10%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   98745228 | PA      | $89496352.54   | 0.16%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38843947 | PA      | $34258668.48   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0P55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32190502 | PA      | $28460770.13   | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17413773 | PA      | $17196471.90   | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7449199 | PA      | $7554122.85    | 0.01%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7F91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     625170 | PA      | $614641.58     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7L29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1681239 | PA      | $1663775.64    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7LX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251505 | PA      | $247605.86     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3NT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360034 | PA      | $347058.92     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     656201 | PA      | $653284.83     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6477879 | PA      | $6244028.39    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4727451 | PA      | $4695767.34    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1998859 | PA      | $1926696.12    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22981918 | PA      | $22884587.07   | 0.04%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     892861 | PA      | $889080.53     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     789413 | PA      | $760906.59     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 299, Class 300                                                                                     | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     751272 | PA      | $702430.07     | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 310                                                                                                | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2538259 | PA      | $2009692.96    | 0.00%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132L5L84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9771981 | PA      | $9207451.05    | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132VMGN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1056483 | PA      | $1042198.92    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132VMGR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1684731 | PA      | $1662823.36    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WVA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6721275 | PA      | $6758523.21    | 0.01%             | 2032-11-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WWXQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2013469 | PA      | $1942559.38    | 0.00%             | 2037-04-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WWZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25062782 | PA      | $24361246.82   | 0.04%             | 2032-11-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50852000 | PA      | $48414561.43   | 0.09%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XHSP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19397473.20   | 0.04%             | 2034-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XHSX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61098754 | PA      | $57827723.93   | 0.11%             | 2033-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132XVEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1100684 | PA      | $1084590.95    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132Y13D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3036637 | PA      | $3128749.97    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31334WEW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2969451 | PA      | $2937912.11    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31334Y2K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1161587 | PA      | $1105429.15    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2332, Class ZH                                                                                      | CUSIP: 313398L98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53456 | PA      | $55964.05      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2344, Class ZD                                                                                      | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     291008 | PA      | $304403.98     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2344, Class ZJ                                                                                      | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49954 | PA      | $52435.61      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2351, Class PZ                                                                                      | CUSIP: 313399HV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27802 | PA      | $28795.54      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2345, Class NE                                                                                      | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36313 | PA      | $38126.85      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2418, Class FO                                                                                      | CUSIP: 31339D2Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34301 | PA      | $34470.05      | 0.00%             | 2032-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2420, Class XK                                                                                      | CUSIP: 31339DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57842 | PA      | $60321.90      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2412, Class SP                                                                                      | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75464 | PA      | $82789.21      | 0.00%             | 2032-02-15      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2367, Class ME                                                                                      | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38316 | PA      | $40224.35      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2388, Class FB                                                                                      | CUSIP: 31339M2J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14372 | PA      | $14396.88      | 0.00%             | 2029-01-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2399, Class OH                                                                                      | CUSIP: 31339MTG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39476 | PA      | $41197.72      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2399, Class TH                                                                                      | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50804 | PA      | $53393.61      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class QX                                                                                      | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20963 | PA      | $1654.05       | 0.00%             | 2032-02-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class QS                                                                                      | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76500 | PA      | $83299.87      | 0.00%             | 2032-02-15      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class NG                                                                                      | CUSIP: 31339NLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53135 | PA      | $55782.23      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2430, Class WF                                                                                      | CUSIP: 31339NW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88024 | PA      | $92727.58      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class TB                                                                                      | CUSIP: 31339WBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48016 | PA      | $49909.64      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class MC                                                                                      | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49095 | PA      | $51477.59      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class MT                                                                                      | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56392 | PA      | $59424.53      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A2EY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5501295 | PA      | $5035078.51    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A6X97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9027297 | PA      | $7840371.87    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A7W88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9963437 | PA      | $8653394.61    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A9FU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2345768 | PA      | $2037296.89    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133AEQX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4173136 | PA      | $3619158.19    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133AFZD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6675544 | PA      | $5789396.73    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133ALJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14250039 | PA      | $11950220.31   | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133C5R29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9259008 | PA      | $8542283.38    | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FFCB Funding Corp.                                                    | FFCB Funding Corp.                                                                                                       | CUSIP: 3133EMNM0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |   25000000 | PA      | $19836645.00   | 0.04%             | 2036-01-25      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9630821 | PA      | $9481262.13    | 0.02%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KHRB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5785804 | PA      | $5795131.69    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KM4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14807108 | PA      | $13437940.10   | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KM4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15910375 | PA      | $13955647.64   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15007478 | PA      | $13236732.66   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28008600 | PA      | $25431505.71   | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25793063 | PA      | $22369051.31   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNKT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19213951 | PA      | $17578830.79   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28383524 | PA      | $24755725.66   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39051047 | PA      | $35341568.33   | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5953904 | PA      | $5228844.81    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25952291 | PA      | $25476686.02   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPRC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20681791 | PA      | $20941536.99   | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34246158 | PA      | $33403850.20   | 0.06%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KQW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20034408 | PA      | $20290049.77   | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KRJC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21419484 | PA      | $21687434.61   | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 406                                                                                                | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39297630 | PA      | $35104846.14   | 0.06%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1890, Class H                                                                                       | CUSIP: 3133T85L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $114.04        | 0.00%             | 2026-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1899, Class ZE                                                                                      | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1704 | PA      | $1711.09       | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1927, Class PH                                                                                      | CUSIP: 3133T8TQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4726 | PA      | $4769.12       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1927, Class ZA                                                                                      | CUSIP: 3133T8U70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $234.06        | 0.00%             | 2027-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1935, Class FL                                                                                      | CUSIP: 3133T8Z83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $90.48         | 0.00%             | 2027-02-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1963, Class Z                                                                                       | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1612 | PA      | $1620.58       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1970, Class PG                                                                                      | CUSIP: 3133TAK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        557 | PA      | $563.58        | 0.00%             | 2027-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1981, Class Z                                                                                       | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        594 | PA      | $594.21        | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1987, Class PE                                                                                      | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4780 | PA      | $4821.01       | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2019, Class Z                                                                                       | CUSIP: 3133TCC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5837 | PA      | $5892.70       | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2040, Class PE                                                                                      | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16850 | PA      | $17113.82      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2038, Class PN                                                                                      | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7741 | PA      | $334.32        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2054, Class PV                                                                                      | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4896 | PA      | $4952.69       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2063, Class PG                                                                                      | CUSIP: 3133TEB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10489 | PA      | $10647.53      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2064, Class TE                                                                                      | CUSIP: 3133TELZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        702 | PA      | $713.66        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2070, Class C                                                                                       | CUSIP: 3133TEMS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12414 | PA      | $12504.39      | 0.00%             | 2028-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2075, Class PH                                                                                      | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30892 | PA      | $31407.66      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2075, Class PM                                                                                      | CUSIP: 3133TGCK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33059 | PA      | $33518.39      | 0.00%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2086, Class GB                                                                                      | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4266 | PA      | $4339.53       | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2089, Class PJ                                                                                      | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12707 | PA      | $596.67        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2095, Class PE                                                                                      | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27169 | PA      | $27659.92      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2106, Class ZD                                                                                      | CUSIP: 3133THDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69032 | PA      | $70299.22      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2110, Class PG                                                                                      | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71903 | PA      | $72667.85      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2126, Class CB                                                                                      | CUSIP: 3133TJDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30546 | PA      | $30838.54      | 0.00%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2125, Class JZ                                                                                      | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21179 | PA      | $21570.41      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2132, Class SB                                                                                      | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2210 | PA      | $2482.36       | 0.00%             | 2029-03-15      | Floating      | 14.10%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2141                                                                                                | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        823 | PA      | $33.52         | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2169, Class TB                                                                                      | CUSIP: 3133TL5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61389 | PA      | $63326.47      | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2163, Class PC                                                                                      | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4012 | PA      | $196.21        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2172, Class QC                                                                                      | CUSIP: 3133TLLL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45555 | PA      | $47015.37      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2176, Class OJ                                                                                      | CUSIP: 3133TLTY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26182 | PA      | $26509.73      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2201, Class C                                                                                       | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7205 | PA      | $7363.37       | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2196, Class TL                                                                                      | CUSIP: 3133TMSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $145.95        | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2209, Class TC                                                                                      | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10745 | PA      | $11186.12      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2210, Class Z                                                                                       | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50230 | PA      | $52371.62      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2208, Class PG                                                                                      | CUSIP: 3133TNFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53028 | PA      | $54842.49      | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2224, Class CB                                                                                      | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12079 | PA      | $12544.12      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2230, Class Z                                                                                       | CUSIP: 3133TNSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12817 | PA      | $13301.37      | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2234, Class PZ                                                                                      | CUSIP: 3133TNXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13476 | PA      | $14073.32      | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2247, Class Z                                                                                       | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16152 | PA      | $16835.11      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2256, Class MC                                                                                      | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19073 | PA      | $19899.44      | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2262, Class Z                                                                                       | CUSIP: 3133TQ5B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3011 | PA      | $3167.94       | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2259, Class ZM                                                                                      | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46160 | PA      | $47750.20      | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2271, Class PC                                                                                      | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45299 | PA      | $47303.92      | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2296, Class PD                                                                                      | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27918 | PA      | $29148.13      | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2313, Class LA                                                                                      | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4844 | PA      | $4957.56       | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2325, Class PM                                                                                      | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15734 | PA      | $16444.06      | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2359, Class ZB                                                                                      | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47939 | PA      | $51580.51      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2441, Class GF                                                                                      | CUSIP: 3133TVJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21485 | PA      | $22621.33      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2436, Class MC                                                                                      | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16587 | PA      | $16961.11      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2434, Class TC                                                                                      | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113491 | PA      | $119490.91     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2434, Class ZA                                                                                      | CUSIP: 3133TVUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101189 | PA      | $102818.85     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31348SG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1679 | PA      | $1675.46       | 0.00%             | 2026-07-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38915 | PA      | $39860.51      | 0.00%             | 2033-12-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182687 | PA      | $189921.12     | 0.00%             | 2036-11-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UFK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150270 | PA      | $154676.26     | 0.00%             | 2034-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     315057 | PA      | $328245.77     | 0.00%             | 2035-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100186 | PA      | $103058.99     | 0.00%             | 2035-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 197                                                                                                | CUSIP: 31351BWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45324 | PA      | $43866.45      | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2001-T3, Class A1                                                                | CUSIP: 31358S7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338856 | PA      | $341470.40     | 0.00%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-52                                                                                              | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4024 | PA      | $451.00        | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1996-48, Class Z                                                                                     | CUSIP: 31359KXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.39         | 0.00%             | 2026-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-27, Class J                                                                                     | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1555 | PA      | $1566.12       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-29, Class J                                                                                     | CUSIP: 31359PFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2883 | PA      | $2902.96       | 0.00%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-32, Class PG                                                                                    | CUSIP: 31359PMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $71.90         | 0.00%             | 2027-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-39, Class PD                                                                                    | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9659 | PA      | $9728.63       | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-42, Class ZC                                                                                    | CUSIP: 31359PX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $16.86         | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-81, Class PI                                                                                    | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4202 | PA      | $133.13        | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-33, Class ID                                                                                    | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61157 | PA      | $5802.69       | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-7, Class PF                                                                                     | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3810 | PA      | $3981.44       | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1998-36, Class ZB                                                                                    | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6962 | PA      | $7025.03       | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-17, Class C                                                                                     | CUSIP: 31359VSW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4592 | PA      | $4656.56       | 0.00%             | 2029-04-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 1999-T2, Class A1                                                                | CUSIP: 31359VYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203963 | PA      | $210706.47     | 0.00%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-62, Class PB                                                                                    | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4493 | PA      | $4552.05       | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-2, Class ZE                                                                                     | CUSIP: 31359XSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37627 | PA      | $39100.37      | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2113 | PA      | $2096.38       | 0.00%             | 2027-09-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-75, Class FA                                                                                    | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141779 | PA      | $141757.77     | 0.00%             | 2041-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class MT                                                                                   | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2512144 | PA      | $2694579.64    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class LB                                                                                   | CUSIP: 3136A12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1989577 | PA      | $2147366.16    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class NT                                                                                   | CUSIP: 3136A1Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2262296 | PA      | $2444960.71    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-149, Class MF                                                                                   | CUSIP: 3136A3FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332591 | PA      | $332326.65     | 0.00%             | 2041-11-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-149, Class EF                                                                                   | CUSIP: 3136A3FM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69917 | PA      | $69876.45      | 0.00%             | 2041-07-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-97, Class FB                                                                                    | CUSIP: 3136A72Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1421487 | PA      | $1413071.39    | 0.00%             | 2042-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-101, Class FC                                                                                   | CUSIP: 3136A76U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444345 | PA      | $441614.15     | 0.00%             | 2042-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-108, Class F                                                                                    | CUSIP: 3136A8Q52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1117803 | PA      | $1111245.59    | 0.00%             | 2042-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-99, Class FA                                                                                    | CUSIP: 3136A8VS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     735750 | PA      | $729294.28     | 0.00%             | 2042-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-120, Class ZB                                                                                   | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4271547 | PA      | $4117152.73    | 0.01%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-4, Class AJ                                                                                     | CUSIP: 3136ACGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     791186 | PA      | $765126.87     | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-81, Class TA                                                                                    | CUSIP: 3136AFK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     848440 | PA      | $841663.04     | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-92                                                                                              | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3051398 | PA      | $2421524.61    | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-100, Class WB                                                                                   | CUSIP: 3136AGWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3867216 | PA      | $3769966.76    | 0.01%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-101, Class DO                                                                                   | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2772470 | PA      | $2076170.27    | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-128                                                                                             | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4792591 | PA      | $3715821.94    | 0.01%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-135                                                                                             | CUSIP: 3136AHYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1682726 | PA      | $1297099.75    | 0.00%             | 2044-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2014-29, Class PS                                                                                    | CUSIP: 3136AJT89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1574782 | PA      | $183422.00     | 0.00%             | 2044-05-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2015-M10, Class A2                                                                                     | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25576165 | PA      | $25394431.14   | 0.05%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                                                   | FNMA, Grantor Trust, Series 2017-T1, Class A                                                                             | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85696510 | PA      | $84550190.64   | 0.16%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M3, Class A2                                                                                      | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6193496 | PA      | $6127777.25    | 0.01%             | 2026-12-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M8, Class A2                                                                                      | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21250609 | PA      | $21069481.58   | 0.04%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M5, Class A2                                                                                      | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3542221 | PA      | $3483001.10    | 0.01%             | 2029-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M11, Class A2                                                                                     | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12071442 | PA      | $11809227.57   | 0.02%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M12, Class A2                                                                                     | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21372316 | PA      | $21165968.68   | 0.04%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M15, Class A2                                                                                     | CUSIP: 3136AY6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7915450 | PA      | $7832823.15    | 0.01%             | 2027-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M2, Class A2                                                                                      | CUSIP: 3136B0YM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16836746 | PA      | $16579701.57   | 0.03%             | 2028-01-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M3, Class A2                                                                                      | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10209568 | PA      | $9990212.07    | 0.02%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M4, Class A2                                                                                      | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15573195 | PA      | $15401605.08   | 0.03%             | 2028-03-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-63, Class DA                                                                                    | CUSIP: 3136B23T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1028938 | PA      | $971648.56     | 0.00%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-42, Class B                                                                                     | CUSIP: 3136B2AQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27570789 | PA      | $25443299.81   | 0.05%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M8, Class A2                                                                                      | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27752273 | PA      | $27563532.92   | 0.05%             | 2028-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M10, Class A2                                                                                     | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41525657 | PA      | $41265539.86   | 0.08%             | 2028-07-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M9, Class APT2                                                                                    | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54048207 | PA      | $53295261.62   | 0.10%             | 2028-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-94, Class DZ                                                                                    | CUSIP: 3136B3WZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8718422 | PA      | $8440611.29    | 0.02%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M10, Class X                                                                                      | CUSIP: 3136B4D62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57042679 | PA      | $1219578.19    | 0.00%             | 2049-05-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M7, Class A2                                                                                      | CUSIP: 3136B4QB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31714498 | PA      | $31216682.09   | 0.06%             | 2029-04-25      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M5, Class A2                                                                                      | CUSIP: 3136B8TG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38826953 | PA      | $36803994.59   | 0.07%             | 2030-01-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M38, Class X2                                                                                     | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40265696 | PA      | $1431385.10    | 0.00%             | 2028-11-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M50, Class A2                                                                                     | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9679611 | PA      | $9367710.02    | 0.02%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M50, Class X1                                                                                     | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  158580238 | PA      | $5141028.58    | 0.01%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2020-90, Class PE                                                                                    | CUSIP: 3136BCL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9911267 | PA      | $8157020.17    | 0.01%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2021-M3, Class X1                                                                                      | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  108391784 | PA      | $6458448.58    | 0.01%             | 2033-11-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M5, Class A1                                                                                      | CUSIP: 3136BLN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13817406 | PA      | $13172416.72   | 0.02%             | 2034-01-01      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M1G, Class A2                                                                                     | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28657084 | PA      | $25633784.56   | 0.05%             | 2031-09-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M3, Class A2                                                                                      | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45000000 | PA      | $39981307.50   | 0.07%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M10, Class A2                                                                                     | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5550751 | PA      | $4999326.87    | 0.01%             | 2032-01-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M1S, Class A2                                                                                     | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48740000 | PA      | $44057665.18   | 0.08%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M13, Class A2                                                                                     | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60253000 | PA      | $55865491.02   | 0.10%             | 2032-06-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M2S, Class A2                                                                                     | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55694220 | PA      | $55102574.92   | 0.10%             | 2032-08-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2023-40                                                                                              | CUSIP: 3136BQGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12678824 | PA      | $10846713.64   | 0.02%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2024-M2, Class A1                                                                                      | CUSIP: 3136BQM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10289492 | PA      | $10620484.44   | 0.02%             | 2033-04-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2023-M8, Class A1                                                                                      | CUSIP: 3136BQNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10303779 | PA      | $10529139.54   | 0.02%             | 2032-11-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2023-M8, Class A2                                                                                      | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71539958 | PA      | $73456048.47   | 0.13%             | 2033-03-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2024-M2, Class A2                                                                                      | CUSIP: 3136BQT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  112205000 | PA      | $109719165.55  | 0.20%             | 2033-08-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-18, Class MA                                                                                    | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  138060751 | PA      | $118535261.09  | 0.22%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-31, Class MA                                                                                    | CUSIP: 3136BVYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8703288 | PA      | $7422110.81    | 0.01%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 329, Class 1                                                                                        | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17275 | PA      | $15733.54      | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 345, Class 6                                                                                        | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26115 | PA      | $2836.87       | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 374, Class 5                                                                                        | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76409 | PA      | $11341.45      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 365, Class 8                                                                                        | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113424 | PA      | $19540.76      | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 383, Class 33                                                                                       | CUSIP: 3136FFPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80123 | PA      | $13860.21      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 393, Class 6                                                                                        | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25248 | PA      | $2127.28       | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3373 | PA      | $3456.41       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15334 | PA      | $15599.25      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115653 | PA      | $119007.95     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371ML88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47886 | PA      | $48678.62      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371MPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10588 | PA      | $11099.16      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2588 | PA      | $2652.51       | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MWM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6248 | PA      | $6478.16       | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18163 | PA      | $18613.05      | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12844 | PA      | $13162.73      | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NNY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34924 | PA      | $35789.33      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58186 | PA      | $59628.26      | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371NVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71499 | PA      | $73791.70      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     576884 | PA      | $620864.58     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1147 | PA      | $1138.44       | 0.00%             | 2029-03-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        244 | PA      | $255.81        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31376J5Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157625 | PA      | $162150.58     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31377UYB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14699992 | PA      | $14667402.15   | 0.03%             | 2028-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3688, Class GT                                                                                      | CUSIP: 3137A0ML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1389594 | PA      | $1495285.59    | 0.00%             | 2046-11-15      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class CT                                                                                      | CUSIP: 3137A0XM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2971705 | PA      | $3202631.65    | 0.01%             | 2036-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class DT                                                                                      | CUSIP: 3137A0Y41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1340552 | PA      | $1450624.45    | 0.00%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class ET                                                                                      | CUSIP: 3137A0YK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1177784 | PA      | $1302022.63    | 0.00%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3779, Class GZ                                                                                      | CUSIP: 3137A4F51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5148796 | PA      | $5220786.21    | 0.01%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3779, Class Z                                                                                       | CUSIP: 3137A4FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14573691 | PA      | $14761327.62   | 0.03%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3802, Class LS                                                                                      | CUSIP: 3137A6CE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1246861 | PA      | $116676.73     | 0.00%             | 2040-01-15      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3819, Class ZQ                                                                                      | CUSIP: 3137A8N20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1708377 | PA      | $1813143.16    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3860, Class PZ                                                                                      | CUSIP: 3137AAYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8257141 | PA      | $8541627.91    | 0.02%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3852, Class QN                                                                                      | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     452613 | PA      | $438593.67     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3852, Class TP                                                                                      | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1282044 | PA      | $1276355.47    | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3895, Class WA                                                                                      | CUSIP: 3137ACX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191553 | PA      | $200791.20     | 0.00%             | 2038-10-15      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3920, Class LP                                                                                      | CUSIP: 3137AF3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     605888 | PA      | $624400.57     | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3957, Class B                                                                                       | CUSIP: 3137AHAX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     830060 | PA      | $826478.32     | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3966, Class NA                                                                                      | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     744319 | PA      | $743806.30     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4012, Class FN                                                                                      | CUSIP: 3137AMMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2283158 | PA      | $2273609.41    | 0.00%             | 2042-03-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4032, Class TO                                                                                      | CUSIP: 3137APJ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     843824 | PA      | $727868.55     | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4048, Class FB                                                                                      | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     995478 | PA      | $992901.91     | 0.00%             | 2041-10-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4048, Class FJ                                                                                      | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1249715 | PA      | $1236730.36    | 0.00%             | 2037-07-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4077, Class FB                                                                                      | CUSIP: 3137ASAP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1066281 | PA      | $1059800.93    | 0.00%             | 2042-07-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4217, Class KY                                                                                      | CUSIP: 3137B2KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1794000 | PA      | $1637317.96    | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4238, Class WY                                                                                      | CUSIP: 3137B4FZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1273151 | PA      | $1241194.52    | 0.00%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4257, Class DZ                                                                                      | CUSIP: 3137B57H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6662811 | PA      | $6020736.33    | 0.01%             | 2043-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K118, Class XAM                                         | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21864540 | PA      | $1045770.02    | 0.00%             | 2030-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class A2                                          | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17323000 | PA      | $17204652.73   | 0.03%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class A2                                          | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14689000 | PA      | $14615337.60   | 0.03%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class AM                                          | CUSIP: 3137FEBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $18904595.30   | 0.03%             | 2027-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series W5FX, Class AFX                                         | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21769000 | PA      | $21564138.47   | 0.04%             | 2028-04-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4809, Class ZM                                                                                      | CUSIP: 3137FGPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18535790 | PA      | $17962107.11   | 0.03%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4837, Class ZB                                                                                      | CUSIP: 3137FJDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6322386 | PA      | $6107687.11    | 0.01%             | 2048-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K081, Class A2                                          | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1531000 | PA      | $1538502.05    | 0.00%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K082, Class AM                                          | CUSIP: 3137FJKF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12035000 | PA      | $12092257.72   | 0.02%             | 2028-09-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K087, Class A2                                          | CUSIP: 3137FKUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4023340 | PA      | $4031792.85    | 0.01%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class A2                                          | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355000 | PA      | $354979.23     | 0.00%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1515, Class A2                                        | CUSIP: 3137FTZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $18418598.00   | 0.03%             | 2035-02-25      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5008, Class LB                                                                                      | CUSIP: 3137FVYW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18521738 | PA      | $15371673.46   | 0.03%             | 2050-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K115, Class XAM                                         | CUSIP: 3137FWGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44580829 | PA      | $2684278.59    | 0.00%             | 2030-07-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT2                                        | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12227614 | PA      | $11904448.90   | 0.02%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3740, Class SB                                                                                      | CUSIP: 3137GARP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     663976 | PA      | $63055.27      | 0.00%             | 2040-10-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3740, Class SC                                                                                      | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     647900 | PA      | $72782.06      | 0.00%             | 2040-10-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5190, Class PH                                                                                      | CUSIP: 3137H5HE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16850978 | PA      | $15849317.51   | 0.03%             | 2052-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K138, Class AM                                          | CUSIP: 3137H5XV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24220000 | PA      | $21592028.28   | 0.04%             | 2055-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K142, Class A2                                          | CUSIP: 3137H73P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58400000 | PA      | $53693170.24   | 0.10%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K145, Class A2                                          | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40795000 | PA      | $37765273.66   | 0.07%             | 2032-05-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class A2                                          | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27100000 | PA      | $25566112.90   | 0.05%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class AM                                          | CUSIP: 3137H7ZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27000000 | PA      | $25363076.40   | 0.05%             | 2032-07-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ42, Class A2                                          | CUSIP: 3137H92P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8460000 | PA      | $8494054.04    | 0.02%             | 2032-11-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ45, Class A2                                          | CUSIP: 3137HA4L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19800000 | PA      | $20339484.66   | 0.04%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5354                                                                                                | CUSIP: 3137HAT71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5260270 | PA      | $3977694.46    | 0.01%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K753, Class A2                                          | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40970000 | PA      | $41962907.95   | 0.08%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K754, Class AM                                          | CUSIP: 3137HBC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18128000 | PA      | $18947980.20   | 0.03%             | 2030-11-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2741 | PA      | $2809.04       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381R4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4529291 | PA      | $4537634.67    | 0.01%             | 2026-08-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1876229 | PA      | $1876594.07    | 0.00%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31385XLM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76531 | PA      | $78533.59      | 0.00%             | 2033-08-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31358 | PA      | $32513.32      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ABXM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157365 | PA      | $159908.92     | 0.00%             | 2031-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289696 | PA      | $300937.23     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246982 | PA      | $254478.40     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138EJ3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176679 | PA      | $173996.66     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4267866 | PA      | $4254844.09    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 3138EN4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4650732 | PA      | $4622155.72    | 0.01%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3190241 | PA      | $3071595.68    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6887726 | PA      | $6682394.87    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11856107 | PA      | $11519564.67   | 0.02%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQLH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2772507 | PA      | $2808376.95    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L1T33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3203974 | PA      | $3170211.19    | 0.01%             | 2027-11-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L74B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16595466 | PA      | $16489017.63   | 0.03%             | 2026-12-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L74G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4669045 | PA      | $4514809.91    | 0.01%             | 2034-11-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7EW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8569036 | PA      | $8522978.06    | 0.02%             | 2026-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7YH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2481025 | PA      | $2466578.13    | 0.00%             | 2026-12-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L83S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10353228 | PA      | $10259843.47   | 0.02%             | 2027-02-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8B86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14695670 | PA      | $14602123.85   | 0.03%             | 2026-12-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $12883312.13   | 0.02%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8UK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5416575 | PA      | $5291398.93    | 0.01%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L92X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11320000 | PA      | $10960126.67   | 0.02%             | 2030-05-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9AZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7019006 | PA      | $6815736.13    | 0.01%             | 2030-02-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9BV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11414965 | PA      | $11059953.73   | 0.02%             | 2030-05-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9MY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4224616 | PA      | $4031561.70    | 0.01%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9MZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1713760 | PA      | $1635445.42    | 0.00%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13418909 | PA      | $13087135.77   | 0.02%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9US9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $24346001.00   | 0.04%             | 2030-04-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9X98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3536988 | PA      | $3493633.20    | 0.01%             | 2027-06-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6909493 | PA      | $6702427.27    | 0.01%             | 2030-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22759892 | PA      | $21025924.13   | 0.04%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6675931 | PA      | $6631054.18    | 0.01%             | 2027-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LASW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3219768 | PA      | $3104030.35    | 0.01%             | 2035-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LCMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5082557 | PA      | $4939454.13    | 0.01%             | 2035-12-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9848000 | PA      | $9790255.37    | 0.02%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7998000 | PA      | $7949827.01    | 0.01%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDUX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11034000 | PA      | $10973128.29   | 0.02%             | 2026-06-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5634847 | PA      | $5540826.05    | 0.01%             | 2028-06-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LE4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8805449 | PA      | $8241546.03    | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6630385 | PA      | $6358218.08    | 0.01%             | 2031-06-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8925624 | PA      | $8733309.30    | 0.02%             | 2028-07-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5549750 | PA      | $5504852.85    | 0.01%             | 2026-08-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $23448019.00   | 0.04%             | 2031-10-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LHTX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26680000 | PA      | $25865300.85   | 0.05%             | 2032-04-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LJU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9143890 | PA      | $8703210.55    | 0.02%             | 2033-07-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LKTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12540944 | PA      | $12213887.44   | 0.02%             | 2029-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LKZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5877600 | PA      | $5802119.04    | 0.01%             | 2027-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43718643 | PA      | $43387579.39   | 0.08%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LLQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18330161 | PA      | $18068209.79   | 0.03%             | 2027-12-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LLZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13627508 | PA      | $13481654.68   | 0.02%             | 2028-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LMAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7067981 | PA      | $6985806.59    | 0.01%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNE49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3774552 | PA      | $3765770.50    | 0.01%             | 2030-05-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60000000 | PA      | $59730653.40   | 0.11%             | 2030-09-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNRG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25393997 | PA      | $25303749.09   | 0.05%             | 2028-06-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $23636921.52   | 0.04%             | 2033-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29250730 | PA      | $29178900.29   | 0.05%             | 2028-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNXZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32550000 | PA      | $31784206.24   | 0.06%             | 2033-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LPBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8345795 | PA      | $8193595.43    | 0.02%             | 2033-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1068095 | PA      | $1059780.28    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 3138LYTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258204 | PA      | $255337.27     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1418761 | PA      | $1407717.74    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138M1MB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1693794 | PA      | $1684226.94    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138MN2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     638492 | PA      | $626994.70     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138MSDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2281697 | PA      | $2149858.23    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138NJA73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4187324 | PA      | $4191497.59    | 0.01%             | 2026-12-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4838431 | PA      | $4558856.03    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138W5J66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1173235 | PA      | $1163629.74    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WGFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17029877 | PA      | $16562401.20   | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WRQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533282 | PA      | $513450.35     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WTRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7990653 | PA      | $7527336.87    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WTSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2999736 | PA      | $2888197.57    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WU4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406118 | PA      | $401407.25     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138XMJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1746828 | PA      | $1737539.04    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138YBK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4974687 | PA      | $4798813.98    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31390MLR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2784 | PA      | $2801.39       | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3615 | PA      | $3639.47       | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108171 | PA      | $109503.48     | 0.00%             | 2033-09-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2652 | PA      | $2718.17       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24095 | PA      | $24691.94      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391XJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72730 | PA      | $75410.50      | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class PD                                                                                    | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10480 | PA      | $10954.52      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class PU                                                                                    | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13409 | PA      | $14131.30      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class MY                                                                                    | CUSIP: 3139205U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77805 | PA      | $81571.80      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-30, Class PM                                                                                    | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28488 | PA      | $29366.59      | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-36, Class DE                                                                                    | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68511 | PA      | $71514.41      | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-60, Class PX                                                                                    | CUSIP: 3139213T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101844 | PA      | $105399.49     | 0.00%             | 2031-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-60, Class QS                                                                                    | CUSIP: 3139214L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36348 | PA      | $42531.23      | 0.00%             | 2031-09-25      | Floating      | 11.26%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-49, Class Z                                                                                     | CUSIP: 313921AG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18727 | PA      | $19584.47      | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-52, Class KB                                                                                    | CUSIP: 313921KW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13238 | PA      | $13630.68      | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-61, Class Z                                                                                     | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114888 | PA      | $119792.83     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 313929RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121591 | PA      | $124963.89     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-13, Class SJ                                                                                    | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48732 | PA      | $818.71        | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-13, Class ST                                                                                    | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        834 | PA      | $871.73        | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A1                                                                | CUSIP: 31392B6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3881532 | PA      | $4025325.40    | 0.01%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-72, Class SX                                                                                    | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1674 | PA      | $1796.94       | 0.00%             | 2031-12-25      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-81, Class LO                                                                                    | CUSIP: 31392BNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2288 | PA      | $2028.11       | 0.00%             | 2032-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-1, Class SA                                                                                     | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11231 | PA      | $13336.11      | 0.00%             | 2032-02-25      | Floating      | 12.90%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-28, Class PK                                                                                    | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92792 | PA      | $97161.37      | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-15, Class ZA                                                                                    | CUSIP: 31392CKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263134 | PA      | $273311.33     | 0.00%             | 2032-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-21, Class LO                                                                                    | CUSIP: 31392CNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3124 | PA      | $2779.50       | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-21, Class PE                                                                                    | CUSIP: 31392CPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45622 | PA      | $47857.23      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-37, Class Z                                                                                     | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45292 | PA      | $47045.57      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2002-W6, Class 1A6                                                                 | CUSIP: 31392DF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7358651 | PA      | $7414161.29    | 0.01%             | 2042-06-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-48, Class GH                                                                                    | CUSIP: 31392DS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106594 | PA      | $112138.61     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-77, Class S                                                                                     | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18644 | PA      | $19466.54      | 0.00%             | 2032-12-25      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-78, Class Z                                                                                     | CUSIP: 31392FA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247251 | PA      | $255871.71     | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2002-T16, Class A2                                                               | CUSIP: 31392FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494177 | PA      | $527728.83     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-71, Class AP                                                                                    | CUSIP: 31392FES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10065 | PA      | $10023.10      | 0.00%             | 2032-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2002-90, Class A1                                                                        | CUSIP: 31392GEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217373 | PA      | $220636.14     | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                                                 | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366769 | PA      | $370542.97     | 0.00%             | 2042-12-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                                                  | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105848 | PA      | $107133.21     | 0.00%             | 2042-12-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-9, Class NZ                                                                                     | CUSIP: 31392HA45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51905 | PA      | $54724.15      | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W2, Class 1A1                                                                        | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345537 | PA      | $363484.35     | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W2, Class 2A9                                                                        | CUSIP: 31392JAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203689 | PA      | $206899.72     | 0.00%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-14, Class TI                                                                                    | CUSIP: 31392JFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7784 | PA      | $46.27         | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2435, Class CJ                                                                                      | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115656 | PA      | $121605.87     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2455, Class GK                                                                                      | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70506 | PA      | $74462.11      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2450, Class SW                                                                                      | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36165 | PA      | $3384.11       | 0.00%             | 2032-03-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2450, Class GZ                                                                                      | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70245 | PA      | $74668.06      | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2444, Class ES                                                                                      | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55444 | PA      | $4867.96       | 0.00%             | 2032-03-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A                                           | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249212 | PA      | $234261.54     | 0.00%             | 2032-07-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-42, Class A5                                           | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1006732 | PA      | $1098498.19    | 0.00%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2466, Class DH                                                                                      | CUSIP: 31392MM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24692 | PA      | $26053.60      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2466, Class PH                                                                                      | CUSIP: 31392MN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88805 | PA      | $93606.96      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2458, Class ZM                                                                                      | CUSIP: 31392PAG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31941 | PA      | $32450.21      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2474, Class NR                                                                                      | CUSIP: 31392R3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82005 | PA      | $85769.38      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2484, Class LZ                                                                                      | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99010 | PA      | $104475.82     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2475, Class S                                                                                       | CUSIP: 31392RB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137675 | PA      | $15192.35      | 0.00%             | 2032-02-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2500, Class MC                                                                                      | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66340 | PA      | $69210.10      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-48, Class 1A                                           | CUSIP: 31392UZ56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     696075 | PA      | $680567.68     | 0.00%             | 2033-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A                                           | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     223942 | PA      | $229793.45     | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-39                                                                                              | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18877 | PA      | $2539.94       | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-22, Class UD                                                                                    | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497511 | PA      | $496519.70     | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                                                  | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49965 | PA      | $50967.27      | 0.00%             | 2042-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-33, Class IA                                                                                    | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184300 | PA      | $22602.95      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-35, Class EA                                                                                    | CUSIP: 31393BP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15469 | PA      | $13849.14      | 0.00%             | 2033-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W6, Class 2A4                                                                        | CUSIP: 31393BU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136224 | PA      | $1140665.08    | 0.00%             | 2042-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W6, Class 3A                                                                         | CUSIP: 31393BU94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407795 | PA      | $422054.68     | 0.00%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-42, Class GB                                                                                    | CUSIP: 31393BUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35957 | PA      | $35758.56      | 0.00%             | 2033-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class GE                                                                                    | CUSIP: 31393CAU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215829 | PA      | $225675.36     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class AX                                                                                    | CUSIP: 31393CDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77679 | PA      | $81792.04      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class ED                                                                                    | CUSIP: 31393CDP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330532 | PA      | $344598.46     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-47, Class PE                                                                                    | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146128 | PA      | $153142.18     | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-52, Class SX                                                                                    | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24229 | PA      | $27583.54      | 0.00%             | 2031-10-25      | Floating      | 11.60%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W8, Class 2A                                                                         | CUSIP: 31393CW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443154 | PA      | $458759.07     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W8, Class 3F1                                                                        | CUSIP: 31393CX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93442 | PA      | $93334.91      | 0.00%             | 2042-05-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-73, Class HC                                                                                    | CUSIP: 31393DB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223480 | PA      | $233396.34     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-64, Class SX                                                                                    | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50920 | PA      | $50932.68      | 0.00%             | 2033-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-72, Class IE                                                                                    | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590740 | PA      | $66242.88      | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-105, Class AZ                                                                                   | CUSIP: 31393E7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1635681 | PA      | $1707766.10    | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-74, Class SH                                                                                    | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40679 | PA      | $37182.31      | 0.00%             | 2033-08-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-71, Class DS                                                                                    | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264316 | PA      | $253808.92     | 0.00%             | 2033-08-25      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-91, Class SD                                                                                    | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33995 | PA      | $36037.92      | 0.00%             | 2033-09-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2544, Class HC                                                                                      | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56119 | PA      | $58978.42      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2543, Class YX                                                                                      | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195156 | PA      | $204100.88     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2552, Class ME                                                                                      | CUSIP: 31393HXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133168 | PA      | $138630.61     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2567, Class QD                                                                                      | CUSIP: 31393KA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126136 | PA      | $132129.14     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2575, Class ME                                                                                      | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536232 | PA      | $561135.09     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class FY                                                                                      | CUSIP: 31393L6N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94036 | PA      | $94634.60      | 0.00%             | 2032-12-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class SY                                                                                      | CUSIP: 31393LB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55459 | PA      | $61692.33      | 0.00%             | 2032-12-15      | Floating      | 9.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A                                           | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1296871 | PA      | $1317955.25    | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A                                           | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417385 | PA      | $440194.05     | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2586, Class WI                                                                                      | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43085 | PA      | $5438.88       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2596, Class QG                                                                                      | CUSIP: 31393NXU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70752 | PA      | $74327.44      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A5                                           | CUSIP: 31393RGG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2660891 | PA      | $2589882.51    | 0.00%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2631, Class SA                                                                                      | CUSIP: 31393RY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151097 | PA      | $160416.92     | 0.00%             | 2033-06-15      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-116, Class SB                                                                                   | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213414 | PA      | $18502.80      | 0.00%             | 2033-11-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2                                                                        | CUSIP: 31393U4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     710872 | PA      | $749811.59     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-122, Class ZJ                                                                                   | CUSIP: 31393UKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1323960 | PA      | $1393386.56    | 0.00%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-132, Class OA                                                                                   | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        994 | PA      | $977.26        | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-130, Class SX                                                                                   | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2355 | PA      | $2458.28       | 0.00%             | 2034-01-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2642, Class SL                                                                                      | CUSIP: 31393VYC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4017 | PA      | $3632.86       | 0.00%             | 2033-07-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2653, Class PZ                                                                                      | CUSIP: 31393WQ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     592390 | PA      | $608001.36     | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-36, Class FA                                                                                    | CUSIP: 31393X5U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428205 | PA      | $427188.32     | 0.00%             | 2034-05-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-36, Class SA                                                                                    | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183091 | PA      | $205977.94     | 0.00%             | 2034-05-25      | Floating      | 9.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T2, Class 1A4                                                               | CUSIP: 31393X7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595781 | PA      | $601739.53     | 0.00%             | 2043-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T2, Class 2A                                                                | CUSIP: 31393X7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241175 | PA      | $245160.03     | 0.00%             | 2043-07-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A2                                                               | CUSIP: 31393XFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60644 | PA      | $62777.66      | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                                                        | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88121 | PA      | $91603.48      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-25, Class SA                                                                                    | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63030 | PA      | $69300.15      | 0.00%             | 2034-04-25      | Floating      | 9.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-17, Class H                                                                                     | CUSIP: 31393XZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     552163 | PA      | $574229.90     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-51, Class SY                                                                                    | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30613 | PA      | $32034.79      | 0.00%             | 2034-07-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class SK                                                                                    | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14475 | PA      | $15658.14      | 0.00%             | 2034-05-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class QB                                                                                    | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42436 | PA      | $45942.07      | 0.00%             | 2034-05-25      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A2                                                               | CUSIP: 31393YU60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1171977 | PA      | $1203797.60    | 0.00%             | 2044-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A3                                                               | CUSIP: 31393YU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     506504 | PA      | $522539.31     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class PT1                                                               | CUSIP: 31393YV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87272 | PA      | $93758.83      | 0.00%             | 2044-01-25      | Variable      | 8.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2004-W11, Class 1A1                                                                | CUSIP: 31394AB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314515 | PA      | $331499.66     | 0.00%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-50, Class VZ                                                                                    | CUSIP: 31394AJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1048108 | PA      | $1097282.10    | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W8, Class 3A                                                                         | CUSIP: 31394ALN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69065 | PA      | $71042.46      | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2004-W10, Class A6                                                                 | CUSIP: 31394ALV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1242247 | PA      | $1286751.97    | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-74, Class SW                                                                                    | CUSIP: 31394AR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35405 | PA      | $37299.19      | 0.00%             | 2031-11-25      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-61, Class SH                                                                                    | CUSIP: 31394ARP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12379 | PA      | $13292.34      | 0.00%             | 2032-11-25      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-61, Class SK                                                                                    | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33400 | PA      | $34816.16      | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-59, Class BG                                                                                    | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22697 | PA      | $20553.44      | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF                                                                       | CUSIP: 31394B2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290493 | PA      | $287820.24     | 0.00%             | 2044-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-87, Class F                                                                                     | CUSIP: 31394BNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293346 | PA      | $295310.14     | 0.00%             | 2034-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2005-W1, Class 1A2                                                                 | CUSIP: 31394CB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534645 | PA      | $559963.92     | 0.00%             | 2044-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-56, Class S                                                                                     | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162951 | PA      | $12171.97      | 0.00%             | 2035-07-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-25, Class PF                                                                                    | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258213 | PA      | $256864.39     | 0.00%             | 2035-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-42, Class PS                                                                                    | CUSIP: 31394DRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4689 | PA      | $4897.48       | 0.00%             | 2035-05-25      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-68, Class PG                                                                                    | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165509 | PA      | $170612.10     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-73, Class ZB                                                                                    | CUSIP: 31394EB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1897379 | PA      | $1981104.89    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-73, Class PS                                                                                    | CUSIP: 31394EC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59771 | PA      | $62521.91      | 0.00%             | 2035-08-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-66, Class SG                                                                                    | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78898 | PA      | $88340.65      | 0.00%             | 2035-07-25      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-59, Class SU                                                                                    | CUSIP: 31394ETN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78877 | PA      | $90098.96      | 0.00%             | 2035-06-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-72, Class SB                                                                                    | CUSIP: 31394EWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33254 | PA      | $35454.20      | 0.00%             | 2035-08-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-75, Class SV                                                                                    | CUSIP: 31394FAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10158 | PA      | $11796.35      | 0.00%             | 2035-09-25      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-84, Class XM                                                                                    | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105713 | PA      | $109407.18     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                                                        | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2382870 | PA      | $2362911.96    | 0.00%             | 2045-03-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-90, Class ES                                                                                    | CUSIP: 31394FVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57503 | PA      | $61102.29      | 0.00%             | 2035-10-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2671, Class S                                                                                       | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45358 | PA      | $50409.73      | 0.00%             | 2033-09-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-57, Class 1A3                                          | CUSIP: 31394JDA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     237062 | PA      | $259055.92     | 0.00%             | 2043-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-57, Class 1AP                                          | CUSIP: 31394JDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83428 | PA      | $50886.55      | 0.00%             | 2043-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class 4A                                           | CUSIP: 31394JY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1222549 | PA      | $1283638.90    | 0.00%             | 2043-09-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class A                                            | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80644 | PA      | $67436.23      | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2692, Class SC                                                                                      | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74177 | PA      | $80101.96      | 0.00%             | 2033-07-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2204, Class GB                                                                                      | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1480 | PA      | $149.95        | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2722, Class PF                                                                                      | CUSIP: 31394NG93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375098 | PA      | $376099.78     | 0.00%             | 2033-12-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2733, Class SB                                                                                      | CUSIP: 31394NUY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1130932 | PA      | $1135839.23    | 0.00%             | 2033-10-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1A2                                          | CUSIP: 31394PPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1206788 | PA      | $1280353.98    | 0.00%             | 2043-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP                                          | CUSIP: 31394PPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98319 | PA      | $51237.92      | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2744, Class PE                                                                                      | CUSIP: 31394PR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        720 | PA      | $720.14        | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-106, Class US                                                                                   | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147110 | PA      | $155481.42     | 0.00%             | 2035-11-25      | Floating      | 10.70%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-110, Class GL                                                                                   | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1263205 | PA      | $1315012.59    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-109, Class PC                                                                                   | CUSIP: 31394UZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12478 | PA      | $12741.08      | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-16, Class OA                                                                                    | CUSIP: 31394V4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34540 | PA      | $31455.38      | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-16, Class HZ                                                                                    | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127053 | PA      | $132503.42     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-11, Class PS                                                                                    | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50253 | PA      | $60549.48      | 0.00%             | 2036-03-25      | Floating      | 10.70%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2005-W4, Class 1A1                                                                        | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108106 | PA      | $111292.74     | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-12, Class BZ                                                                                    | CUSIP: 31394VQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475009 | PA      | $499159.73     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class JZ                                                                                     | CUSIP: 31394VW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     603489 | PA      | $626312.43     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class WQ                                                                                     | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471726 | PA      | $401292.40     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class WN                                                                                     | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1729661 | PA      | $171012.25     | 0.00%             | 2036-03-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2780, Class SY                                                                                      | CUSIP: 31394XSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28315 | PA      | $32331.86      | 0.00%             | 2033-11-15      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2802, Class OH                                                                                      | CUSIP: 31394YPD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88308 | PA      | $91361.90      | 0.00%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-23, Class FK                                                                                    | CUSIP: 31395B4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303247 | PA      | $300534.28     | 0.00%             | 2036-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-23, Class KO                                                                                    | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31116 | PA      | $28504.34      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-22, Class AO                                                                                    | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134534 | PA      | $121746.71     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-27, Class OH                                                                                    | CUSIP: 31395BZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51614 | PA      | $45737.16      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class FW                                                                                    | CUSIP: 31395D7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80500 | PA      | $80210.28      | 0.00%             | 2036-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class SW                                                                                    | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12883 | PA      | $14711.16      | 0.00%             | 2036-06-25      | Floating      | 10.33%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Whole Loan, Series 2007-W1, Class 1AF1                                                                             | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1831785 | PA      | $1816896.00    | 0.00%             | 2046-11-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-43                                                                                              | CUSIP: 31395DC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40490 | PA      | $36795.21      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-43, Class DO                                                                                    | CUSIP: 31395DF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127847 | PA      | $113613.00     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-33, Class LS                                                                                    | CUSIP: 31395DKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40444 | PA      | $49477.89      | 0.00%             | 2036-05-25      | Floating      | 13.13%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-50, Class PS                                                                                    | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331943 | PA      | $303338.54     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-50, Class JO                                                                                    | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266954 | PA      | $235382.88     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2835, Class QO                                                                                      | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11856 | PA      | $10759.32      | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-62, Class 1A1                                          | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1261371 | PA      | $1169081.55    | 0.00%             | 2044-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2929, Class MS                                                                                      | CUSIP: 31395MB65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104841 | PA      | $115980.82     | 0.00%             | 2035-02-15      | Floating      | 11.56%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1                                                                       | CUSIP: 31395N5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1041729 | PA      | $1031141.04    | 0.00%             | 2046-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2006-W2, Class 2A                                                                         | CUSIP: 31395N5E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315229 | PA      | $324456.15     | 0.00%             | 2045-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-62, Class PS                                                                                    | CUSIP: 31395N7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34532 | PA      | $50367.06      | 0.00%             | 2036-07-25      | Floating      | 17.21%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-44, Class P                                                                                     | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230079 | PA      | $204863.27     | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-44, Class GO                                                                                    | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80076 | PA      | $72065.69      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class FL                                                                                    | CUSIP: 31395NC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80531 | PA      | $80349.87      | 0.00%             | 2036-07-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58                                                                                              | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49812 | PA      | $44175.33      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class AP                                                                                    | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27672 | PA      | $22984.14      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class IG                                                                                    | CUSIP: 31395NE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90755 | PA      | $7653.81       | 0.00%             | 2036-07-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-53, Class US                                                                                    | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322961 | PA      | $26066.07      | 0.00%             | 2036-06-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-63, Class ZH                                                                                    | CUSIP: 31395NQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469754 | PA      | $509028.52     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-60, Class AK                                                                                    | CUSIP: 31395NUZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48701 | PA      | $56791.18      | 0.00%             | 2036-07-25      | Floating      | 13.67%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-56, Class FC                                                                                    | CUSIP: 31395NXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     655165 | PA      | $652256.81     | 0.00%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 411, Class F1                                                                                       | CUSIP: 31395QDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3370769 | PA      | $3359267.84    | 0.01%             | 2042-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 412, Class F2                                                                                       | CUSIP: 31395QDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1525495 | PA      | $1479671.49    | 0.00%             | 2042-08-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2968, Class EH                                                                                      | CUSIP: 31395RQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2136714 | PA      | $2214016.04    | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2981, Class FA                                                                                      | CUSIP: 31395U5N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110312 | PA      | $109948.67     | 0.00%             | 2035-05-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2988, Class AF                                                                                      | CUSIP: 31395UVT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220919 | PA      | $219494.78     | 0.00%             | 2035-06-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class GO                                                                                      | CUSIP: 31395V2T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86944 | PA      | $77273.88      | 0.00%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class WP                                                                                      | CUSIP: 31395V4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1517 | PA      | $1581.94       | 0.00%             | 2035-06-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3014, Class OD                                                                                      | CUSIP: 31395XBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21094 | PA      | $18862.20      | 0.00%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3029, Class SO                                                                                      | CUSIP: 31396AH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61808 | PA      | $57958.02      | 0.00%             | 2035-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3064, Class SG                                                                                      | CUSIP: 31396ERQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82447 | PA      | $89958.23      | 0.00%             | 2035-11-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3085, Class WF                                                                                      | CUSIP: 31396FSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131674 | PA      | $132804.88     | 0.00%             | 2035-08-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3101, Class UZ                                                                                      | CUSIP: 31396GLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     309044 | PA      | $330848.46     | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3102, Class HS                                                                                      | CUSIP: 31396H5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8154 | PA      | $9552.12       | 0.00%             | 2036-01-15      | Floating      | 10.73%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class AO                                                                                      | CUSIP: 31396HUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89607 | PA      | $82870.60      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class EO                                                                                      | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67849 | PA      | $61352.34      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class OG                                                                                      | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28565 | PA      | $25511.02      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class OK                                                                                      | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63295 | PA      | $56289.90      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3134                                                                                                | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17087 | PA      | $14446.91      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class OH                                                                                      | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55308 | PA      | $48647.07      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class OP                                                                                      | CUSIP: 31396JLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51300 | PA      | $47406.86      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class ZB                                                                                      | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31976 | PA      | $34572.98      | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Reference REMIC, Series R006, Class ZA                                                                            | CUSIP: 31396JT21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     787219 | PA      | $833415.80     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-94, Class GK                                                                                    | CUSIP: 31396K4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $537.60        | 0.00%             | 2026-10-25      | Floating      | 14.34%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-95, Class SG                                                                                    | CUSIP: 31396K4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52487 | PA      | $66481.15      | 0.00%             | 2036-10-25      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-65, Class QO                                                                                    | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90516 | PA      | $79231.42      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-85, Class MZ                                                                                    | CUSIP: 31396KB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23222 | PA      | $24847.63      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-78, Class BZ                                                                                    | CUSIP: 31396KDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69078 | PA      | $74352.51      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-77, Class PC                                                                                    | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138098 | PA      | $143124.25     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-72, Class TO                                                                                    | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28376 | PA      | $24002.68      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-86, Class OB                                                                                    | CUSIP: 31396KJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100198 | PA      | $87213.32      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA REMIC Trust, Series 2006-72, Class GO                                                                               | CUSIP: 31396KJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142999 | PA      | $128234.10     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-90, Class AO                                                                                    | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45177 | PA      | $41047.65      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-71, Class ZL                                                                                    | CUSIP: 31396KUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1059098 | PA      | $1122720.43    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class OP                                                                                    | CUSIP: 31396KXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102028 | PA      | $86177.59      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class DF                                                                                    | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255147 | PA      | $254042.67     | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class DO                                                                                    | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60406 | PA      | $52206.42      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-118, Class A1                                                                                   | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160619 | PA      | $156965.29     | 0.00%             | 2036-12-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-118, Class A2                                                                                   | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     705299 | PA      | $692716.97     | 0.00%             | 2036-12-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 2A                                                                  | CUSIP: 31396L7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245904 | PA      | $254193.63     | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-117, Class GS                                                                                   | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381785 | PA      | $37739.18      | 0.00%             | 2036-12-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-119                                                                                             | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44768 | PA      | $40268.46      | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-109                                                                                             | CUSIP: 31396LQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29438 | PA      | $25793.81      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-111, Class EO                                                                                   | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78346 | PA      | $64518.16      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-115, Class ES                                                                                   | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5754 | PA      | $6578.17       | 0.00%             | 2036-12-25      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-115, Class OK                                                                                   | CUSIP: 31396LU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75669 | PA      | $62391.11      | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-110                                                                                             | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134074 | PA      | $118389.51     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3137, Class XP                                                                                      | CUSIP: 31396N2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234496 | PA      | $249093.69     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3138                                                                                                | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100213 | PA      | $88878.46      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3147                                                                                                | CUSIP: 31396NLC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104894 | PA      | $96856.97      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Reference REMIC, Series R007, Class ZA                                                                            | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1025697 | PA      | $1087961.14    | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3151                                                                                                | CUSIP: 31396NU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108317 | PA      | $93532.27      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-18, Class MZ                                                                                    | CUSIP: 31396P5P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202041 | PA      | $215314.24     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-130, Class GI                                                                                   | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101960 | PA      | $5494.34       | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-14, Class ES                                                                                    | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577427 | PA      | $64171.72      | 0.00%             | 2037-03-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-14, Class OP                                                                                    | CUSIP: 31396PE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64649 | PA      | $57571.98      | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-128                                                                                             | CUSIP: 31396PEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91662 | PA      | $80559.69      | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-128, Class BP                                                                                   | CUSIP: 31396PES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12715 | PA      | $12904.79      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-1, Class SD                                                                                     | CUSIP: 31396PHH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72928 | PA      | $128230.74     | 0.00%             | 2037-02-25      | Floating      | 16.31%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-10, Class FD                                                                                    | CUSIP: 31396PNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91436 | PA      | $90751.89      | 0.00%             | 2037-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-7, Class SG                                                                                     | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     807233 | PA      | $83811.60      | 0.00%             | 2036-08-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-22, Class SC                                                                                    | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3285 | PA      | $114.48        | 0.00%             | 2037-03-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-16, Class FC                                                                                    | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108290 | PA      | $108909.11     | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-69, Class WA                                                                                    | CUSIP: 31396Q5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215138 | PA      | $219026.99     | 0.00%             | 2039-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-65, Class MT                                                                                    | CUSIP: 31396QH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67748 | PA      | $70444.72      | 0.00%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-47, Class MT                                                                                    | CUSIP: 31396QHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5789 | PA      | $6049.92       | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-52, Class PI                                                                                    | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199598 | PA      | $28460.36      | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-60, Class HT                                                                                    | CUSIP: 31396QPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1038861 | PA      | $1103699.61    | 0.00%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-59, Class HB                                                                                    | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823806 | PA      | $843947.67     | 0.00%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-63, Class P                                                                                     | CUSIP: 31396QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9042 | PA      | $8992.58       | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-70, Class CO                                                                                    | CUSIP: 31396QYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271165 | PA      | $226189.69     | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3149, Class SO                                                                                      | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57385 | PA      | $47101.40      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3153, Class EO                                                                                      | CUSIP: 31396RKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128578 | PA      | $113311.55     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3164, Class MG                                                                                      | CUSIP: 31396TDX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43240 | PA      | $46393.47      | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3171, Class MO                                                                                      | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136282 | PA      | $124880.68     | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3195, Class PD                                                                                      | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99403 | PA      | $103266.54     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3194, Class SA                                                                                      | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35688 | PA      | $3755.72       | 0.00%             | 2036-07-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3179, Class OA                                                                                      | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55163 | PA      | $48596.77      | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3181, Class AZ                                                                                      | CUSIP: 31396UQN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197523 | PA      | $210803.82     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-28, Class EO                                                                                    | CUSIP: 31396VLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212336 | PA      | $186924.59     | 0.00%             | 2037-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA REMIC Trust, Series 2007-42, Class AO                                                                               | CUSIP: 31396VM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6863 | PA      | $6068.88       | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-35, Class SI                                                                                    | CUSIP: 31396VMR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214993 | PA      | $11398.16      | 0.00%             | 2037-04-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W3, Class 1A3                                                                 | CUSIP: 31396VQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91870 | PA      | $94005.24      | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-29, Class SG                                                                                    | CUSIP: 31396VQJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121583 | PA      | $139274.28     | 0.00%             | 2037-04-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-42, Class B                                                                                     | CUSIP: 31396VR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366839 | PA      | $390957.59     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-43, Class FL                                                                                    | CUSIP: 31396VVL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133806 | PA      | $132504.03     | 0.00%             | 2037-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-78, Class CB                                                                                    | CUSIP: 31396W5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40697 | PA      | $43363.23      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-78, Class PE                                                                                    | CUSIP: 31396W5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86423 | PA      | $91926.96      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-53, Class SH                                                                                    | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     447119 | PA      | $37845.38      | 0.00%             | 2037-06-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-54, Class WI                                                                                    | CUSIP: 31396WFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105205 | PA      | $10872.18      | 0.00%             | 2037-06-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                                        | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     644567 | PA      | $640809.71     | 0.00%             | 2037-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W5                                                                            | CUSIP: 31396WLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77581 | PA      | $64367.65      | 0.00%             | 2037-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-65, Class KI                                                                                    | CUSIP: 31396WLY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383902 | PA      | $38958.71      | 0.00%             | 2037-07-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-67                                                                                              | CUSIP: 31396WQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158020 | PA      | $142525.41     | 0.00%             | 2037-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-72, Class EK                                                                                    | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1158522 | PA      | $131147.99     | 0.00%             | 2037-07-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-70, Class Z                                                                                     | CUSIP: 31396WRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410622 | PA      | $430504.34     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-60, Class AX                                                                                    | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1652646 | PA      | $227753.44     | 0.00%             | 2037-07-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-76, Class AZ                                                                                    | CUSIP: 31396WT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49600 | PA      | $52068.64      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4                                                                 | CUSIP: 31396WVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52148 | PA      | $72712.58      | 0.00%             | 2037-07-25      | Floating      | 16.49%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-64, Class FB                                                                        | CUSIP: 31396WVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171246 | PA      | $170504.65     | 0.00%             | 2037-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-76, Class ZG                                                                                    | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102718 | PA      | $106716.88     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-62, Class SE                                                                                    | CUSIP: 31396WZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88498 | PA      | $97193.29      | 0.00%             | 2037-07-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-112, Class SA                                                                                   | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     584362 | PA      | $77263.35      | 0.00%             | 2037-12-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-112, Class MJ                                                                                   | CUSIP: 31396X4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431210 | PA      | $458954.75     | 0.00%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-116, Class HI                                                                                   | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     814361 | PA      | $54146.43      | 0.00%             | 2038-01-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-81, Class GE                                                                                    | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182716 | PA      | $194591.59     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-97, Class FC                                                                                    | CUSIP: 31396XB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104056 | PA      | $103829.81     | 0.00%             | 2037-07-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-97, Class KI                                                                                    | CUSIP: 31396XB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363630 | PA      | $23831.19      | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-101, Class A2                                                                       | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1288320 | PA      | $1300867.06    | 0.00%             | 2036-06-27      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W10, Class 2A                                                                 | CUSIP: 31396XD35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27213 | PA      | $28246.01      | 0.00%             | 2047-08-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-79, Class SB                                                                                    | CUSIP: 31396XDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118300 | PA      | $141947.12     | 0.00%             | 2037-08-25      | Floating      | 10.15%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                                                       | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133317 | PA      | $135591.82     | 0.00%             | 2037-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-98, Class FB                                                                                    | CUSIP: 31396XJ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64791 | PA      | $64000.86      | 0.00%             | 2037-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-77, Class FG                                                                                    | CUSIP: 31396XJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161029 | PA      | $160686.38     | 0.00%             | 2037-03-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-92, Class YS                                                                                    | CUSIP: 31396XMZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109451 | PA      | $8955.17       | 0.00%             | 2037-06-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-92, Class YA                                                                                    | CUSIP: 31396XNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65673 | PA      | $70029.61      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-85, Class SL                                                                                    | CUSIP: 31396XQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27475 | PA      | $28910.51      | 0.00%             | 2037-09-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-108, Class SA                                                                                   | CUSIP: 31396XR55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22832 | PA      | $1705.74       | 0.00%             | 2037-12-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-88, Class VI                                                                                    | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     544150 | PA      | $46592.17      | 0.00%             | 2037-09-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-100, Class SM                                                                                   | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373941 | PA      | $41019.84      | 0.00%             | 2037-10-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-109, Class AI                                                                                   | CUSIP: 31396XY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497888 | PA      | $44458.53      | 0.00%             | 2037-12-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-91, Class ES                                                                                    | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     607533 | PA      | $65891.84      | 0.00%             | 2037-10-25      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-27, Class SN                                                                                    | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214590 | PA      | $22998.70      | 0.00%             | 2038-04-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-32, Class SA                                                                                    | CUSIP: 31396Y5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101159 | PA      | $8917.10       | 0.00%             | 2038-04-25      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-1, Class BI                                                                                     | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461312 | PA      | $38464.02      | 0.00%             | 2038-02-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-4, Class SD                                                                                     | CUSIP: 31396YEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1299340 | PA      | $129266.78     | 0.00%             | 2038-02-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-10, Class XI                                                                                    | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195776 | PA      | $18020.03      | 0.00%             | 2038-03-25      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-16, Class IS                                                                                    | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168132 | PA      | $13658.94      | 0.00%             | 2038-03-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-20, Class SA                                                                                    | CUSIP: 31396YTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179609 | PA      | $20000.62      | 0.00%             | 2038-03-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-18, Class FA                                                                                    | CUSIP: 31396YWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102385 | PA      | $103546.42     | 0.00%             | 2038-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-18, Class SP                                                                                    | CUSIP: 31396YXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78927 | PA      | $79500.52      | 0.00%             | 2038-03-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-28, Class QS                                                                                    | CUSIP: 31396YY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67766 | PA      | $80488.85      | 0.00%             | 2038-04-25      | Floating      | 9.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3202, Class HI                                                                                      | CUSIP: 31397ABD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1259738 | PA      | $124274.45     | 0.00%             | 2036-08-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3200, Class AY                                                                                      | CUSIP: 31397AGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     425781 | PA      | $444285.20     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3200                                                                                                | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103044 | PA      | $89732.10      | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3213, Class OA                                                                                      | CUSIP: 31397B2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57901 | PA      | $52254.01      | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3219, Class DI                                                                                      | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166056 | PA      | $26977.54      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3218, Class AO                                                                                      | CUSIP: 31397BHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45746 | PA      | $38047.55      | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3232, Class ST                                                                                      | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209600 | PA      | $16564.27      | 0.00%             | 2036-10-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3225, Class EO                                                                                      | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110480 | PA      | $93883.14      | 0.00%             | 2036-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3233, Class OP                                                                                      | CUSIP: 31397BYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24118 | PA      | $20542.30      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3256                                                                                                | CUSIP: 31397EBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59611 | PA      | $51225.97      | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3260, Class CS                                                                                      | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107245 | PA      | $10161.67      | 0.00%             | 2037-01-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3261, Class OA                                                                                      | CUSIP: 31397EPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63874 | PA      | $55060.48      | 0.00%             | 2037-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3274, Class B                                                                                       | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164103 | PA      | $174786.30     | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3274, Class JO                                                                                      | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20061 | PA      | $17809.08      | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3275, Class FL                                                                                      | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91711 | PA      | $91263.62      | 0.00%             | 2037-02-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3290, Class SB                                                                                      | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204240 | PA      | $17779.98      | 0.00%             | 2037-03-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3286                                                                                                | CUSIP: 31397G4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6137 | PA      | $5442.17       | 0.00%             | 2037-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3302, Class UT                                                                                      | CUSIP: 31397GB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161789 | PA      | $172558.93     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3305, Class MG                                                                                      | CUSIP: 31397GU73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103307 | PA      | $105175.96     | 0.00%             | 2034-07-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3315, Class HZ                                                                                      | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129444 | PA      | $138110.88     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3318, Class AO                                                                                      | CUSIP: 31397HCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2241 | PA      | $2053.70       | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3316                                                                                                | CUSIP: 31397HKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108919 | PA      | $93663.93      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3331                                                                                                | CUSIP: 31397J5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63035 | PA      | $55610.27      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3326, Class JO                                                                                      | CUSIP: 31397JJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12184 | PA      | $10997.16      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3344, Class SL                                                                                      | CUSIP: 31397JYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122560 | PA      | $11112.72      | 0.00%             | 2037-07-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3365                                                                                                | CUSIP: 31397KNK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91375 | PA      | $78894.98      | 0.00%             | 2037-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3371, Class FA                                                                                      | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46124 | PA      | $46182.67      | 0.00%             | 2037-09-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3373, Class TO                                                                                      | CUSIP: 31397KUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64756 | PA      | $56931.84      | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A                                           | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4564825 | PA      | $4234635.10    | 0.01%             | 2037-10-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-55, Class S                                                                                     | CUSIP: 31397L4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121805 | PA      | $3095.25       | 0.00%             | 2028-07-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-53, Class CI                                                                                    | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99057 | PA      | $10163.62      | 0.00%             | 2038-07-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-60, Class JC                                                                                    | CUSIP: 31397LJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138550 | PA      | $143534.07     | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-44                                                                                              | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7486 | PA      | $6773.27       | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-42, Class AO                                                                                    | CUSIP: 31397LPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40776 | PA      | $35760.85      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-46, Class HI                                                                                    | CUSIP: 31397LRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190036 | PA      | $11526.51      | 0.00%             | 2038-06-25      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-6, Class GS                                                                                     | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271481 | PA      | $22896.23      | 0.00%             | 2039-02-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-56, Class AC                                                                                    | CUSIP: 31397MAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106240 | PA      | $107724.60     | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-80, Class SA                                                                                    | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432197 | PA      | $38531.07      | 0.00%             | 2038-09-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-81, Class SB                                                                                    | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464325 | PA      | $36384.57      | 0.00%             | 2038-09-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-4, Class BD                                                                                     | CUSIP: 31397MW94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3560 | PA      | $3301.27       | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-17, Class QS                                                                                    | CUSIP: 31397NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99920 | PA      | $9264.93       | 0.00%             | 2039-03-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-19, Class PW                                                                                    | CUSIP: 31397NUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420529 | PA      | $427059.01     | 0.00%             | 2036-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3383, Class SA                                                                                      | CUSIP: 31397P4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422441 | PA      | $33280.02      | 0.00%             | 2037-11-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3387, Class SA                                                                                      | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     839909 | PA      | $69587.16      | 0.00%             | 2037-11-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3393, Class JO                                                                                      | CUSIP: 31397PGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234749 | PA      | $215533.00     | 0.00%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3404, Class SC                                                                                      | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     898167 | PA      | $89100.11      | 0.00%             | 2038-01-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-2, Class WA                                                                                     | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185534 | PA      | $194655.13     | 0.00%             | 2051-02-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-19, Class ZY                                                                                    | CUSIP: 31397QP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622438 | PA      | $674477.77     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-147, Class SA                                                                                   | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1931357 | PA      | $230060.16     | 0.00%             | 2041-01-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3422, Class SE                                                                                      | CUSIP: 31397RDJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42469 | PA      | $46868.98      | 0.00%             | 2038-02-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3423, Class PB                                                                                      | CUSIP: 31397RVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     769797 | PA      | $807402.12     | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-31, Class DB                                                                                    | CUSIP: 31397SHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1494457 | PA      | $1476929.00    | 0.00%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-30, Class LS                                                                                    | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1231435 | PA      | $94329.51      | 0.00%             | 2041-04-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-39, Class ZA                                                                                    | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     870710 | PA      | $911549.00     | 0.00%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3424, Class PI                                                                                      | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     463129 | PA      | $47881.57      | 0.00%             | 2038-04-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3443, Class SY                                                                                      | CUSIP: 31397T7H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54263 | PA      | $60149.97      | 0.00%             | 2037-03-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3453, Class B                                                                                       | CUSIP: 31397THP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70135 | PA      | $72840.16      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3461, Class LZ                                                                                      | CUSIP: 31397TXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50197 | PA      | $53557.31      | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3461, Class Z                                                                                       | CUSIP: 31397TXU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     924945 | PA      | $975184.70     | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-47, Class ZA                                                                                    | CUSIP: 31397UEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     488611 | PA      | $507774.97     | 0.00%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-58, Class WA                                                                                    | CUSIP: 31397UZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151563 | PA      | $151431.15     | 0.00%             | 2051-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3455, Class SE                                                                                      | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     428659 | PA      | $50120.36      | 0.00%             | 2038-06-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3481, Class SJ                                                                                      | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     535552 | PA      | $53126.60      | 0.00%             | 2038-08-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3501, Class CB                                                                                      | CUSIP: 31397YS69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     443748 | PA      | $462559.28     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3511, Class SA                                                                                      | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236426 | PA      | $19997.02      | 0.00%             | 2039-02-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3510, Class OD                                                                                      | CUSIP: 31397YZP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130479 | PA      | $115976.24     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3523, Class SD                                                                                      | CUSIP: 31398CGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69707 | PA      | $74415.64      | 0.00%             | 2036-06-15      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3531, Class SA                                                                                      | CUSIP: 31398CVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     346984 | PA      | $31703.30      | 0.00%             | 2039-05-15      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3531, Class SM                                                                                      | CUSIP: 31398CVX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40892 | PA      | $2835.74       | 0.00%             | 2039-05-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3546, Class A                                                                                       | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174650 | PA      | $177761.55     | 0.00%             | 2039-02-15      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3549, Class FA                                                                                      | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39951 | PA      | $40893.33      | 0.00%             | 2039-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-99, Class SC                                                                                    | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168698 | PA      | $13378.17      | 0.00%             | 2039-12-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-99, Class WA                                                                                    | CUSIP: 31398F4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466412 | PA      | $477688.64     | 0.00%             | 2039-12-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                                                   | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     711782 | PA      | $744173.89     | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-84, Class WS                                                                                    | CUSIP: 31398FHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134736 | PA      | $11302.06      | 0.00%             | 2039-10-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-86, Class OT                                                                                    | CUSIP: 31398FRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1370886 | PA      | $1192568.99    | 0.00%             | 2037-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-86, Class IP                                                                                    | CUSIP: 31398FTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529050 | PA      | $86001.42      | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-103, Class MB                                                                                   | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     448352 | PA      | $451719.06     | 0.00%             | 2039-12-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-112, Class ST                                                                                   | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362928 | PA      | $38935.47      | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-1, Class WA                                                                                     | CUSIP: 31398GL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99844 | PA      | $101633.65     | 0.00%             | 2040-02-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-113, Class AO                                                                                   | CUSIP: 31398GWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114162 | PA      | $95805.91      | 0.00%             | 2040-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3608, Class SC                                                                                      | CUSIP: 31398LQC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196137 | PA      | $10789.02      | 0.00%             | 2039-12-15      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class AO                                                                                      | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171880 | PA      | $150016.09     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class BO                                                                                      | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314978 | PA      | $280237.02     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class OP                                                                                      | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     598059 | PA      | $519523.46     | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607                                                                                                | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     616425 | PA      | $521228.88     | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class TO                                                                                      | CUSIP: 31398LR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300155 | PA      | $257154.38     | 0.00%             | 2039-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3611                                                                                                | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260153 | PA      | $234652.33     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3621, Class BO                                                                                      | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288931 | PA      | $255484.18     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-16, Class WA                                                                                    | CUSIP: 31398MRP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320979 | PA      | $328656.44     | 0.00%             | 2040-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-16, Class WB                                                                                    | CUSIP: 31398MRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498308 | PA      | $506980.60     | 0.00%             | 2040-03-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-102, Class PN                                                                                   | CUSIP: 31398NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517636 | PA      | $533269.89     | 0.00%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-111, Class AM                                                                                   | CUSIP: 31398NXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2657267 | PA      | $2793584.93    | 0.01%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-49, Class SC                                                                                    | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     554084 | PA      | $561528.94     | 0.00%             | 2040-03-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-35, Class SJ                                                                                    | CUSIP: 31398PGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302017 | PA      | $308823.13     | 0.00%             | 2040-04-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-35, Class SB                                                                                    | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229359 | PA      | $15713.61      | 0.00%             | 2040-04-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-40, Class FJ                                                                                    | CUSIP: 31398PQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17599 | PA      | $17605.52      | 0.00%             | 2040-04-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-42, Class S                                                                                     | CUSIP: 31398PSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148616 | PA      | $12837.41      | 0.00%             | 2040-05-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-39, Class OT                                                                                    | CUSIP: 31398PU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52030 | PA      | $46181.40      | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-43, Class FD                                                                                    | CUSIP: 31398RCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150311 | PA      | $150497.09     | 0.00%             | 2040-05-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-64, Class DM                                                                                    | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695719 | PA      | $708713.64     | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-63, Class AP                                                                                    | CUSIP: 31398RPH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185621 | PA      | $164696.77     | 0.00%             | 2040-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-58, Class MB                                                                                    | CUSIP: 31398RYR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1685586 | PA      | $1728331.88    | 0.00%             | 2040-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-125, Class SA                                                                                   | CUSIP: 31398SES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1050350 | PA      | $51924.66      | 0.00%             | 2040-11-25      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-71, Class HJ                                                                                    | CUSIP: 31398TDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     708063 | PA      | $737757.70     | 0.00%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-103, Class SB                                                                                   | CUSIP: 31398TY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313513 | PA      | $29089.47      | 0.00%             | 2049-11-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3645, Class KZ                                                                                      | CUSIP: 31398VFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151968 | PA      | $158431.31     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3632, Class BS                                                                                      | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     703042 | PA      | $715479.80     | 0.00%             | 2040-02-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3654, Class DC                                                                                      | CUSIP: 31398WV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1837191 | PA      | $1865683.74    | 0.00%             | 2030-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400AXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173732 | PA      | $179030.66     | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400CEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3866 | PA      | $3976.66       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6086 | PA      | $6236.82       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1703 | PA      | $1715.84       | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4130 | PA      | $4163.17       | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2219 | PA      | $2273.70       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40065 | PA      | $41329.60      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401WBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24871 | PA      | $25268.93      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401WQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26284 | PA      | $26778.75      | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37178 | PA      | $37538.14      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194677 | PA      | $200159.26     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92089 | PA      | $94619.77      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30999 | PA      | $31279.99      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15618 | PA      | $16004.99      | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216574 | PA      | $227393.11     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29165 | PA      | $29923.92      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403BBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82731 | PA      | $84078.29      | 0.00%             | 2033-11-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88044 | PA      | $90549.39      | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112960 | PA      | $116197.82     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158535 | PA      | $165641.88     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61678 | PA      | $63434.66      | 0.00%             | 2036-01-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68228 | PA      | $70079.02      | 0.00%             | 2035-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93633 | PA      | $99663.23      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23277 | PA      | $24097.45      | 0.00%             | 2033-09-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26785 | PA      | $27036.63      | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22910 | PA      | $23276.09      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43842 | PA      | $44586.45      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403MXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148544 | PA      | $146719.97     | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403Q3S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6975 | PA      | $7149.17       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23414 | PA      | $23926.49      | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23798 | PA      | $24250.70      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11088 | PA      | $11326.86      | 0.00%             | 2034-01-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404J3N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188734 | PA      | $189868.56     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404R3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94617 | PA      | $96834.94      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404SLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89844 | PA      | $92700.94      | 0.00%             | 2034-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9005 | PA      | $9210.02       | 0.00%             | 2034-11-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2331 | PA      | $2379.49       | 0.00%             | 2034-07-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405H4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40001 | PA      | $40979.56      | 0.00%             | 2034-08-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4553 | PA      | $4675.78       | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24570 | PA      | $25213.69      | 0.00%             | 2034-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86806 | PA      | $87601.25      | 0.00%             | 2034-08-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406GDY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7682 | PA      | $7891.10       | 0.00%             | 2035-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297429 | PA      | $308884.34     | 0.00%             | 2035-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31406H7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74491 | PA      | $74445.46      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406HTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32577 | PA      | $33391.23      | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10163 | PA      | $10398.51      | 0.00%             | 2035-02-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148411 | PA      | $152858.10     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406UU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43909 | PA      | $44969.92      | 0.00%             | 2035-03-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32764 | PA      | $33136.45      | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21092 | PA      | $21631.10      | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407DT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28594 | PA      | $28730.61      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5712 | PA      | $5866.48       | 0.00%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407LEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6879 | PA      | $7207.16       | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219120 | PA      | $224086.10     | 0.00%             | 2036-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31408G4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151460 | PA      | $157052.58     | 0.00%             | 2035-10-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8828 | PA      | $9087.29       | 0.00%             | 2036-05-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31409GMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20057 | PA      | $21305.18      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31409JVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86384 | PA      | $88959.60      | 0.00%             | 2036-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31409V4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50393 | PA      | $52167.69      | 0.00%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ABE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   84584615 | PA      | $85038834.77   | 0.16%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140AELH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39174906 | PA      | $39385273.56   | 0.07%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1512845 | PA      | $1492172.42    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855421 | PA      | $843731.33     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2804907 | PA      | $2823938.91    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34380004 | PA      | $32332877.51   | 0.06%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2216131 | PA      | $2078683.11    | 0.00%             | 2056-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33533461 | PA      | $35143297.14   | 0.06%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXLX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14334496 | PA      | $14775237.45   | 0.03%             | 2059-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25270657 | PA      | $21788565.13   | 0.04%             | 2059-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39198111 | PA      | $36669804.47   | 0.07%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51517869 | PA      | $45726851.84   | 0.08%             | 2061-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   64123396 | PA      | $54173777.61   | 0.10%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47297486 | PA      | $43830549.39   | 0.08%             | 2061-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26578383 | PA      | $23491697.28   | 0.04%             | 2062-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17775445 | PA      | $16610223.05   | 0.03%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28073266 | PA      | $26015414.23   | 0.05%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14188068 | PA      | $13624649.55   | 0.03%             | 2062-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10583823 | PA      | $9098955.11    | 0.02%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18142038 | PA      | $16035206.03   | 0.03%             | 2061-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25274549 | PA      | $24270941.26   | 0.04%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10730601 | PA      | $10835511.82   | 0.02%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14966658 | PA      | $12644271.16   | 0.02%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   73003227 | PA      | $61675417.53   | 0.11%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19584598 | PA      | $18300961.70   | 0.03%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17883537 | PA      | $17455948.07   | 0.03%             | 2062-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30805212 | PA      | $27227707.14   | 0.05%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38022904 | PA      | $35235834.26   | 0.06%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXX72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14870649 | PA      | $13780456.28   | 0.03%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38896684 | PA      | $32860889.15   | 0.06%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58736075 | PA      | $49621441.09   | 0.09%             | 2062-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39100918 | PA      | $37548218.66   | 0.07%             | 2062-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7693668 | PA      | $7148755.09    | 0.01%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27622887 | PA      | $24414750.51   | 0.04%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21447144 | PA      | $19954619.13   | 0.04%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44208917 | PA      | $42453301.66   | 0.08%             | 2063-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54956928 | PA      | $46429176.99   | 0.09%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140GWQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2619030 | PA      | $2605098.82    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H7ME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3490156 | PA      | $3423480.60    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H9BS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3017222 | PA      | $2979961.83    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H9DQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5835290 | PA      | $5753757.36    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HAEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3243985 | PA      | $3198655.26    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HAFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2173101 | PA      | $2142735.87    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HEDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1035845 | PA      | $1021692.01    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HEHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3593933 | PA      | $3543721.92    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HGBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17151932 | PA      | $14896757.31   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HM2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2700109 | PA      | $2795882.60    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1791705 | PA      | $1790720.24    | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2521825 | PA      | $2524696.82    | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11970783 | PA      | $11985370.43   | 0.02%             | 2028-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42090000 | PA      | $42209103.76   | 0.08%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22359662 | PA      | $22276878.16   | 0.04%             | 2029-01-01      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HUUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6827967 | PA      | $6517300.79    | 0.01%             | 2031-08-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38513419 | PA      | $36957984.20   | 0.07%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10612595 | PA      | $9842992.90    | 0.02%             | 2031-10-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4263170 | PA      | $4072790.71    | 0.01%             | 2029-09-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HWC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27630000 | PA      | $26334833.53   | 0.05%             | 2029-11-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HXNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12062871 | PA      | $11139002.90   | 0.02%             | 2032-03-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HXUA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22962000 | PA      | $20069475.71   | 0.04%             | 2035-04-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12365638 | PA      | $10291300.76   | 0.02%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HYAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5081000 | PA      | $4333975.53    | 0.01%             | 2035-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140J2RQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8970169.80    | 0.02%             | 2030-12-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J5K32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6745806 | PA      | $6693245.04    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20698296 | PA      | $20768718.44   | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J7XD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4109805 | PA      | $4058735.59    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J8CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25436580 | PA      | $25122450.04   | 0.05%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JAPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7772117 | PA      | $7048279.79    | 0.01%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56888745 | PA      | $50492977.92   | 0.09%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37362256 | PA      | $36515408.26   | 0.07%             | 2059-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27299350 | PA      | $27105985.59   | 0.05%             | 2032-11-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  105042140 | PA      | $89671762.83   | 0.16%             | 2032-10-01      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44428637 | PA      | $38336640.54   | 0.07%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   98301228 | PA      | $84921205.70   | 0.16%             | 2033-01-01      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26397254 | PA      | $25603317.75   | 0.05%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  102598780 | PA      | $91283762.22   | 0.17%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JGJR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     865299 | PA      | $870635.10     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JHN90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1391500 | PA      | $1396521.21    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JMHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231971 | PA      | $242645.60     | 0.00%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JVR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4187631 | PA      | $4117464.92    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JWR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3239470 | PA      | $3190168.85    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JY3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3538138 | PA      | $3379057.33    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140K1GR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1852521 | PA      | $1763535.91    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KAL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3987792 | PA      | $3646123.73    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KC3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4558868 | PA      | $4497701.07    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KEFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34179743 | PA      | $29944752.53   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KH4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565604 | PA      | $491228.54     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KJBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     771020 | PA      | $669632.63     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KLH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15618946 | PA      | $13565129.28   | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KQAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6964299 | PA      | $5819133.55    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KTQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     686180 | PA      | $595958.93     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LC5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9138563 | PA      | $7938953.68    | 0.01%             | 2033-08-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33900000 | PA      | $30815098.31   | 0.06%             | 2031-06-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCVQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36050000 | PA      | $32251260.09   | 0.06%             | 2031-07-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7883000 | PA      | $6794624.62    | 0.01%             | 2033-09-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LDQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6842000 | PA      | $5882519.38    | 0.01%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10924000 | PA      | $9310186.23    | 0.02%             | 2033-11-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LE3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9026907.40    | 0.02%             | 2032-01-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36000000 | PA      | $32508063.36   | 0.06%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19594485 | PA      | $17684399.50   | 0.03%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LESN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10951857 | PA      | $9910896.22    | 0.02%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEU21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34650000 | PA      | $31268001.30   | 0.06%             | 2032-02-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26665000 | PA      | $23849182.13   | 0.04%             | 2032-01-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LF3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36743000 | PA      | $34980313.36   | 0.06%             | 2032-05-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LF4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14317000 | PA      | $13467023.05   | 0.02%             | 2032-05-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7529934 | PA      | $6825340.07    | 0.01%             | 2032-01-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60280000 | PA      | $53580562.78   | 0.10%             | 2034-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2469000 | PA      | $2304703.41    | 0.00%             | 2032-04-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45507465 | PA      | $42349402.31   | 0.08%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFYA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6186000 | PA      | $5743098.61    | 0.01%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG5U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     537636 | PA      | $526996.43     | 0.00%             | 2032-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10967723 | PA      | $10903477.59   | 0.02%             | 2032-08-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10250000 | PA      | $9492347.98    | 0.02%             | 2035-12-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10561000 | PA      | $10084441.00   | 0.02%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14180000 | PA      | $13600763.17   | 0.02%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10964000 | PA      | $10516133.10   | 0.02%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10756000 | PA      | $10493838.74   | 0.02%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2081000 | PA      | $2076057.83    | 0.00%             | 2032-07-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5987808.00    | 0.01%             | 2032-09-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LH2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34142000 | PA      | $35390395.40   | 0.06%             | 2032-12-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LH5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10740188 | PA      | $11264664.15   | 0.02%             | 2033-01-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19145000 | PA      | $18778926.16   | 0.03%             | 2032-08-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54320000 | PA      | $53453870.86   | 0.10%             | 2032-09-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19848732.00   | 0.04%             | 2032-09-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65061306 | PA      | $64365995.82   | 0.12%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $21809945.74   | 0.04%             | 2032-09-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2206000 | PA      | $2182926.10    | 0.00%             | 2032-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHK58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14504000 | PA      | $14407866.91   | 0.03%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13781000 | PA      | $13445882.74   | 0.02%             | 2032-09-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHLB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32089000 | PA      | $31834121.89   | 0.06%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHPZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45001000 | PA      | $45094753.73   | 0.08%             | 2029-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8255000 | PA      | $8335490.05    | 0.02%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHS76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11615000 | PA      | $11720736.34   | 0.02%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7463000 | PA      | $7743453.49    | 0.01%             | 2032-11-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43000000 | PA      | $43519344.11   | 0.08%             | 2032-10-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36000000 | PA      | $37032370.92   | 0.07%             | 2032-10-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19825000 | PA      | $20041460.65   | 0.04%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33325000 | PA      | $34449434.49   | 0.06%             | 2032-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJ5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14699000 | PA      | $15233105.07   | 0.03%             | 2033-04-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14287000 | PA      | $14968927.23   | 0.03%             | 2032-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10638855 | PA      | $11426916.02   | 0.02%             | 2032-12-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10416952 | PA      | $10768365.20   | 0.02%             | 2030-03-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12042107 | PA      | $12241658.33   | 0.02%             | 2033-01-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15134000 | PA      | $15460741.09   | 0.03%             | 2033-01-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9381000 | PA      | $9619659.39    | 0.02%             | 2033-01-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8784684.72    | 0.02%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJQX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8177000 | PA      | $8446741.32    | 0.02%             | 2030-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4758000 | PA      | $4919180.30    | 0.01%             | 2030-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8725000 | PA      | $8768626.83    | 0.02%             | 2033-03-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38093835 | PA      | $38440186.55   | 0.07%             | 2033-04-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60000000 | PA      | $59495926.80   | 0.11%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9126095 | PA      | $9456291.08    | 0.02%             | 2031-01-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LK2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35052000 | PA      | $35940380.32   | 0.07%             | 2033-07-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LK6E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15496000 | PA      | $16056159.95   | 0.03%             | 2032-10-01      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKAL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44672000 | PA      | $45222221.45   | 0.08%             | 2033-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13528000 | PA      | $13634867.01   | 0.03%             | 2033-05-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10254000 | PA      | $10403222.26   | 0.02%             | 2028-05-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKD59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6368000 | PA      | $6540839.62    | 0.01%             | 2033-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17895209 | PA      | $18103564.65   | 0.03%             | 2033-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $4012354.16    | 0.01%             | 2033-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8651000 | PA      | $8847131.41    | 0.02%             | 2033-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7514000 | PA      | $7678041.37    | 0.01%             | 2028-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5246000 | PA      | $5360527.68    | 0.01%             | 2028-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9425000 | PA      | $9730412.98    | 0.02%             | 2031-01-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9263000 | PA      | $9501535.96    | 0.02%             | 2029-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1184000 | PA      | $1222795.77    | 0.00%             | 2031-02-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32295000 | PA      | $32899289.18   | 0.06%             | 2033-05-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKQZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6239000 | PA      | $6389657.00    | 0.01%             | 2033-06-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6148900 | PA      | $6326078.22    | 0.01%             | 2033-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4615000 | PA      | $4733819.77    | 0.01%             | 2033-05-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22337941 | PA      | $22700064.27   | 0.04%             | 2033-06-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4663000 | PA      | $4757769.55    | 0.01%             | 2033-06-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5025000 | PA      | $5110304.25    | 0.01%             | 2033-06-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9217338 | PA      | $9394563.16    | 0.02%             | 2030-10-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18345000 | PA      | $18429025.60   | 0.03%             | 2033-06-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34350000 | PA      | $34749014.75   | 0.06%             | 2030-07-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31800000 | PA      | $32724620.62   | 0.06%             | 2033-07-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26043000 | PA      | $26678173.40   | 0.05%             | 2033-10-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29035000 | PA      | $29946287.86   | 0.05%             | 2033-10-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLQY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17758000 | PA      | $18233304.06   | 0.03%             | 2033-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLQZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16368000 | PA      | $16806099.83   | 0.03%             | 2033-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLTP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7554000 | PA      | $7988584.49    | 0.01%             | 2031-02-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $4596618.82    | 0.01%             | 2032-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5142614 | PA      | $5361652.10    | 0.01%             | 2031-08-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39369038 | PA      | $34357570.31   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M9MK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17302528 | PA      | $15252102.93   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MDRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8082614 | PA      | $7374872.97    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MEB88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10521614 | PA      | $10601025.09   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MGV99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7949095 | PA      | $6997048.17    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43384660 | PA      | $37700713.63   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MJ5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48527612 | PA      | $42294710.64   | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1347481 | PA      | $1337515.39    | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397857 | PA      | $394896.01     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1104577 | PA      | $1096469.24    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3251011 | PA      | $3240061.82    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     987821 | PA      | $980080.33     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     822421 | PA      | $815976.92     | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MNJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15154457 | PA      | $14773300.55   | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MSPN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39619856 | PA      | $39999572.22   | 0.07%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N83D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7854056 | PA      | $8072785.30    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  127140043 | PA      | $128151392.65  | 0.24%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16298877 | PA      | $16752801.83   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11529385 | PA      | $11732418.87   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   85875587 | PA      | $86343708.53   | 0.16%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NP3K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6146893 | PA      | $6318084.86    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NP4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8719289 | PA      | $9066559.37    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21000000 | PA      | $21139693.05   | 0.04%             | 2034-01-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38469000 | PA      | $39204467.65   | 0.07%             | 2031-02-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19031000 | PA      | $19394843.22   | 0.04%             | 2031-02-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $40582470.80   | 0.07%             | 2034-02-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NVNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15307000 | PA      | $15857946.38   | 0.03%             | 2030-08-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NWN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47210000 | PA      | $47167596.92   | 0.09%             | 2031-11-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 3140QALK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3757703 | PA      | $3621835.21    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QBDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     969657 | PA      | $991833.59     | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 3140QCU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5836674 | PA      | $5448971.47    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39242403 | PA      | $34633368.28   | 0.06%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4350464 | PA      | $3969408.49    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39170007 | PA      | $34019625.85   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40489644 | PA      | $35841408.03   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25636757 | PA      | $22737868.98   | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55812945 | PA      | $49373683.09   | 0.09%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15866835 | PA      | $14360010.18   | 0.03%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27914900 | PA      | $24429741.54   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22299338 | PA      | $19709456.41   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58135989 | PA      | $53045896.38   | 0.10%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40800880 | PA      | $35838895.17   | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QLR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43777921 | PA      | $39945083.70   | 0.07%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54548707 | PA      | $48145585.19   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5585098 | PA      | $5071195.54    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3399913 | PA      | $3088585.70    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7983729 | PA      | $7326726.74    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34640897 | PA      | $30823171.55   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMJL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6558609 | PA      | $5955176.45    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14334547 | PA      | $12581087.73   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10900381 | PA      | $9507178.80    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7588292 | PA      | $6876554.79    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25568927 | PA      | $23329648.84   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20537529 | PA      | $20043547.14   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQCZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15345191 | PA      | $15242340.87   | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQEA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71483630 | PA      | $72381408.33   | 0.13%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11851026 | PA      | $12261676.49   | 0.02%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17527972 | PA      | $17441854.82   | 0.03%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRAN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6042167 | PA      | $5889050.10    | 0.01%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37737467 | PA      | $36816147.54   | 0.07%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20868005 | PA      | $21051965.48   | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRRU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15977236 | PA      | $16174552.87   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QSAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13859947 | PA      | $13994921.62   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W13S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47064382 | PA      | $43090037.98   | 0.08%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W1QH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34065836 | PA      | $33240310.16   | 0.06%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W2G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17332072 | PA      | $15226089.36   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X5EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9241572 | PA      | $9255394.54    | 0.02%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 3140X6XQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371825 | PA      | $369977.09     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X7CH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4376277 | PA      | $4497027.43    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X7QD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16974324 | PA      | $14930455.25   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10533187 | PA      | $9617722.22    | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XBYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17577541 | PA      | $15504141.90   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCCJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19407712 | PA      | $17708651.55   | 0.03%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40295388 | PA      | $35584614.88   | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XD6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8656904 | PA      | $7579944.97    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44439544 | PA      | $39195858.60   | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XDSM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12173855 | PA      | $10881238.02   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39929090 | PA      | $35347330.12   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XFGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60667556 | PA      | $52613744.70   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XG2B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22885314 | PA      | $22650138.98   | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30182228 | PA      | $27357133.19   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XH5F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16076054 | PA      | $14596547.42   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32837895 | PA      | $30366215.14   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25149370 | PA      | $22947053.66   | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJ7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75538242 | PA      | $66352263.35   | 0.12%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9633872 | PA      | $8530960.57    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22825625 | PA      | $23084208.67   | 0.04%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XK3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12069746 | PA      | $10949272.34   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5813064 | PA      | $5139674.26    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2503504 | PA      | $2504785.02    | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15041019 | PA      | $14720415.46   | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4123028 | PA      | $4031736.88    | 0.01%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44833316 | PA      | $39193924.34   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XL6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69729684 | PA      | $61674978.48   | 0.11%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5728066 | PA      | $5034121.67    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8111042 | PA      | $7403373.10    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13644599 | PA      | $13331213.81   | 0.02%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41293004 | PA      | $36078441.78   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMLM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24554935 | PA      | $22281435.14   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XNAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16124992 | PA      | $14712940.23   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XPRT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31225299 | PA      | $27521661.32   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XQJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18888506 | PA      | $17851136.64   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XQZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17809563 | PA      | $16170551.12   | 0.03%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XRBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19413360 | PA      | $17578520.82   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140Y66N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19417519 | PA      | $20138884.28   | 0.04%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410B4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16548 | PA      | $17022.01      | 0.00%             | 2036-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410BFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35278 | PA      | $36383.92      | 0.00%             | 2036-06-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172036 | PA      | $177077.51     | 0.00%             | 2036-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410EFM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136688 | PA      | $140795.12     | 0.00%             | 2036-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410F3Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49228 | PA      | $50662.49      | 0.00%             | 2037-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410F6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25144 | PA      | $26775.81      | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207578 | PA      | $216879.22     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410FXM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62115 | PA      | $64063.18      | 0.00%             | 2037-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410FYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138141 | PA      | $144331.99     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168731 | PA      | $172762.42     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410GAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19570 | PA      | $20121.17      | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369629 | PA      | $383336.51     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48695 | PA      | $50475.69      | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66763 | PA      | $67972.49      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359323 | PA      | $381857.52     | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165293 | PA      | $176088.48     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109455 | PA      | $118585.32     | 0.00%             | 2037-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440056 | PA      | $456276.19     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31410LAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39257 | PA      | $40229.90      | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199118 | PA      | $212101.23     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71627 | PA      | $73643.27      | 0.00%             | 2036-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38635 | PA      | $39768.35      | 0.00%             | 2036-09-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410QPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35877 | PA      | $36825.83      | 0.00%             | 2036-10-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410QWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90246 | PA      | $93474.11      | 0.00%             | 2036-09-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54494 | PA      | $56403.77      | 0.00%             | 2034-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410XC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45367 | PA      | $47073.46      | 0.00%             | 2036-10-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207395 | PA      | $216900.37     | 0.00%             | 2036-10-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1099 | PA      | $1134.37       | 0.00%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411BE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87585 | PA      | $89997.66      | 0.00%             | 2036-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31411JEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234884 | PA      | $249643.80     | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93764 | PA      | $95659.04      | 0.00%             | 2037-02-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55028 | PA      | $56131.46      | 0.00%             | 2037-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25177 | PA      | $25396.90      | 0.00%             | 2036-02-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412BWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99180 | PA      | $101680.00     | 0.00%             | 2036-09-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532928 | PA      | $552888.70     | 0.00%             | 2036-03-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112877 | PA      | $115593.72     | 0.00%             | 2037-01-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31412CEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161244 | PA      | $165907.90     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412LUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81190 | PA      | $86496.50      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412LW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150831 | PA      | $158031.95     | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412MPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65823 | PA      | $68608.98      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412TXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186136 | PA      | $197593.95     | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412X5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61424 | PA      | $63354.33      | 0.00%             | 2037-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244562 | PA      | $254007.59     | 0.00%             | 2037-08-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31413HJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135765 | PA      | $143524.93     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413HWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29571 | PA      | $30572.13      | 0.00%             | 2037-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413HZ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17970 | PA      | $18541.87      | 0.00%             | 2037-09-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62992 | PA      | $64120.21      | 0.00%             | 2037-07-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42951 | PA      | $44763.11      | 0.00%             | 2037-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31414UW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290780 | PA      | $301498.17     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415RBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241284 | PA      | $253987.59     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415W3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191517 | PA      | $205040.01     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416B3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112474 | PA      | $119096.99     | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416B3N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9318 | PA      | $9753.66       | 0.00%             | 2038-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57324 | PA      | $59538.85      | 0.00%             | 2035-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48543 | PA      | $50154.31      | 0.00%             | 2037-11-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     805992 | PA      | $858120.70     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93181 | PA      | $97097.02      | 0.00%             | 2035-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416CBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150170 | PA      | $157338.68     | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31416CFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65587 | PA      | $68821.83      | 0.00%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31416CK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141224 | PA      | $145654.27     | 0.00%             | 2037-07-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431778 | PA      | $438989.53     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762822 | PA      | $799783.73     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JDZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105215 | PA      | $110894.66     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416YFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200988 | PA      | $211602.13     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417G5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5731045 | PA      | $5391610.56    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6507258 | PA      | $6131310.53    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477185 | PA      | $474648.72     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1170482 | PA      | $1126957.70    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994922 | PA      | $971826.68     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417KPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29965 | PA      | $29826.89      | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417MH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332590 | PA      | $342489.04     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417NEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140882 | PA      | $143915.02     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417UDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203964 | PA      | $211033.48     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417YD95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93266 | PA      | $94817.50      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6689789 | PA      | $6768157.05    | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2163055 | PA      | $2151556.02    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1986303 | PA      | $2009575.67    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     932263 | PA      | $925006.63     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1538900 | PA      | $1527832.62    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5302677 | PA      | $5261403.95    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2420455 | PA      | $2330477.71    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6141816 | PA      | $5913494.58    | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4370904 | PA      | $4347673.32    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     883948 | PA      | $851083.59     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1500818 | PA      | $1445016.32    | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4359838 | PA      | $4197730.77    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4793057 | PA      | $4614834.95    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5973046 | PA      | $5750931.76    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5142125 | PA      | $5202362.93    | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1337756 | PA      | $1330643.23    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1526548 | PA      | $1510884.79    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BZ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2259368 | PA      | $2236184.79    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   77039017 | PA      | $67264616.76   | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5580062 | PA      | $5082823.98    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49833829 | PA      | $43464435.04   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418M2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     476460 | PA      | $516401.85     | 0.00%             | 2039-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31418MCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132337 | PA      | $134153.14     | 0.00%             | 2037-11-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31418MFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59117 | PA      | $61175.13      | 0.00%             | 2037-12-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418MSM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163787 | PA      | $166912.11     | 0.00%             | 2048-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658010 | PA      | $704573.48     | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418VUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1805447 | PA      | $1859201.70    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418XEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     616375 | PA      | $635773.09     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31419ABT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24865 | PA      | $25480.76      | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31427MKF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1976744 | PA      | $1804616.51    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31427ND63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28407253 | PA      | $26023064.13   | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3142GTGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15315320 | PA      | $15728904.88   | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3142GTGY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57005368 | PA      | $58270783.67   | 0.11%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                                             | Fells Point Funding Trust                                                                                                | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   51620000 | PA      | $51155121.64   | 0.09%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                                      | FHF Issuer Trust, Series 2024-1A, Class A2                                                                               | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9839912 | PA      | $9913881.52    | 0.02%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                                             | FHF Trust, Series 2022-2A, Class A                                                                                       | CUSIP: 31568EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1303711 | PA      | $1304920.33    | 0.00%             | 2027-12-15      | Fixed         | 6.14%                 | Yes           |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                   | Fifth Third Bancorp                                                                                                      | CUSIP: 316773DL1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    8401000 | PA      | $8861644.39    | 0.02%             | 2032-01-29      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                   | Fifth Third Bancorp                                                                                                      | CUSIP: 316773DN7<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   14810000 | PA      | $14897749.84   | 0.03%             | 2032-04-29      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                   | Fifth Third Bancorp                                                                                                      | CUSIP: 316773DP2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   22670000 | PA      | $22739854.66   | 0.04%             | 2037-01-29      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                   | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19                                         | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400655 | PA      | $173505.46     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                   | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2                                          | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4454319 | PA      | $410158.59     | 0.00%             | 2037-08-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                          | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    8353000 | PA      | $8212503.12    | 0.02%             | 2044-07-15      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                          | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     830000 | PA      | $718598.31     | 0.00%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2021-SFR1, Class D                                                                          | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14400000 | PA      | $14227604.64   | 0.03%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                                                         | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15500000 | PA      | $15294310.35   | 0.03%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR3, Class D                                                                          | CUSIP: 33768EAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7187000 | PA      | $7140789.75    | 0.01%             | 2038-07-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR3, Class E1                                                                         | CUSIP: 33768EAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6954203.20    | 0.01%             | 2038-07-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR1, Class E1                                                                         | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   36486000 | PA      | $36212249.19   | 0.07%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    6035000 | PA      | $6015122.46    | 0.01%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    5835000 | PA      | $4617180.24    | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   18135000 | PA      | $18082024.94   | 0.03%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Five Corners Funding Trust II                                         | Five Corners Funding Trust II                                                                                            | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14227081.80   | 0.03%             | 2030-05-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Florida Power & Light Co.                                             | Florida Power & Light Co.                                                                                                | CUSIP: 341081GL5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    5440000 | PA      | $5669680.17    | 0.01%             | 2033-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                             | Florida Power & Light Co.                                                                                                | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    9410000 | PA      | $9160585.03    | 0.02%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Ford Foundation (The)                                                 | Ford Foundation (The), Series 2020                                                                                       | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2384158.76    | 0.00%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                                          | Fortis, Inc.                                                                                                             | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    8472000 | PA      | $8419019.08    | 0.02%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust                      | Fortiva Retail Credit Master Note Business Trust, Series 2025-TWO, Class A                                               | CUSIP: 34962ABD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   49535000 | PA      | $49658837.50   | 0.09%             | 2031-05-15      | Fixed         | 5.92%                 | Yes           |                  3 | On Loan: No      |
| Foundation Finance Trust                                              | Foundation Finance Trust, Series 2023-2A, Class A                                                                        | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21970050 | PA      | $22998419.39   | 0.04%             | 2049-06-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| County of Franklin OH                                                 | County of Franklin, Hospital Facilities, Nationwide Children's Hospital Project                                          | CUSIP: 353187EV5<br>LEI: 549300VCBUC1RZE7KL42 | Long             | DBT              | MUN               | US        |    4675000 | PA      | $3185300.50    | 0.01%             | 2050-11-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                                                      | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   81429991 | PA      | $72485501.26   | 0.13%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT                                                       | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23976866 | PA      | $22397996.24   | 0.04%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C                                                     | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7600116 | PA      | $7177881.31    | 0.01%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT                                                       | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12393903 | PA      | $11556127.63   | 0.02%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MA                                                       | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22829975 | PA      | $22501394.86   | 0.04%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MZ                                                       | CUSIP: 35563PHJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15505577 | PA      | $12830363.78   | 0.02%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                                                       | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32497143 | PA      | $30007994.98   | 0.06%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M55D                                                     | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17087705 | PA      | $16491748.82   | 0.03%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                                                       | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   52080172 | PA      | $45021173.05   | 0.08%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA                                                       | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11587837 | PA      | $11380030.85   | 0.02%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                                                       | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26441516 | PA      | $22790749.25   | 0.04%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA                                                       | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29373646 | PA      | $27771763.19   | 0.05%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G                                                     | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26945050 | PA      | $24690204.77   | 0.05%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-2, Class MB                                                       | CUSIP: 35563PQQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20428949 | PA      | $14693625.51   | 0.03%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MT                                                       | CUSIP: 35563PSB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40539678 | PA      | $33364921.54   | 0.06%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MTU                                                      | CUSIP: 35563PSE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36951169 | PA      | $31764965.05   | 0.06%             | 2060-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                                                       | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   80881732 | PA      | $73645138.36   | 0.14%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MTU                                                            | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   65975578 | PA      | $58305382.96   | 0.11%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2023-MN7, Class M1                                                                              | CUSIP: 35563QAA5<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |   17827972 | PA      | $17890120.79   | 0.03%             | 2043-09-25      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class MTU                                                            | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   71479542 | PA      | $62279896.31   | 0.11%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction                                 | Seasoned Loans Structured Transaction, Series 2018-1, Class A1                                                           | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6134774 | PA      | $6046395.54    | 0.01%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services, Inc. Trust                              | GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M                                                       | CUSIP: 36157RD93<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      27046 | PA      | $24439.21      | 0.00%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  199359350 | PA      | $176040615.35  | 0.32%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29306394 | PA      | $25878362.91   | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35654319 | PA      | $32722832.22   | 0.06%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50145178 | PA      | $44279420.92   | 0.08%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  171303716 | PA      | $157406866.19  | 0.29%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  125313994 | PA      | $121605931.30  | 0.22%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XLC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34473535 | PA      | $30482589.55   | 0.06%             | 2052-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29654122 | PA      | $27262353.74   | 0.05%             | 2053-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  103198819 | PA      | $95019955.66   | 0.17%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41162243 | PA      | $38069897.41   | 0.07%             | 2053-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YFF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16838279 | PA      | $15469150.96   | 0.03%             | 2053-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YUZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14680290 | PA      | $13489663.55   | 0.02%             | 2054-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617ALMQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1356048 | PA      | $1337911.48    | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFRA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1017124 | PA      | $983592.94     | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFRD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4005973 | PA      | $3968206.90    | 0.01%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1569023 | PA      | $1569782.84    | 0.00%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BTGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3073335 | PA      | $3056202.84    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BTGR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4490202 | PA      | $4468656.06    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BYW64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4729356 | PA      | $4711015.96    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617F7PT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27304535 | PA      | $28828687.95   | 0.05%             | 2072-06-20      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617FBML8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28905954 | PA      | $30689671.25   | 0.06%             | 2072-07-20      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617FDC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6912986 | PA      | $7086791.16    | 0.01%             | 2052-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FL5S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15063457 | PA      | $15017145.13   | 0.03%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617G82F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123397 | PA      | $128327.42     | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617GJCQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     788277 | PA      | $810840.75     | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617GRB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5225668 | PA      | $5390751.35    | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617H9YZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6317023 | PA      | $6480070.66    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HAA31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     765595 | PA      | $777487.37     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HAA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     574904 | PA      | $580156.71     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HABH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     590479 | PA      | $589741.67     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HE2V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7864763 | PA      | $8047955.99    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HE2W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10913476 | PA      | $11227521.86   | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617HGTZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1836389 | PA      | $1879878.62    | 0.00%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HNPF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3924700 | PA      | $4091673.74    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HU2P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     484703 | PA      | $491277.86     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HU2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     935421 | PA      | $963098.95     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HXVP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1437886 | PA      | $1460221.87    | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HYCH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     896510 | PA      | $922171.69     | 0.00%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J22T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1216904 | PA      | $1240912.59    | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J76E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4401952 | PA      | $4481975.53    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4487047 | PA      | $4586407.06    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2097958 | PA      | $2077526.72    | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     630681 | PA      | $645840.66     | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J8AJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3272721 | PA      | $3354271.07    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J92K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2029420 | PA      | $2001262.38    | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JKQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     293583 | PA      | $301601.95     | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JKQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     628435 | PA      | $646423.66     | 0.00%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JL5B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4495620 | PA      | $4605009.88    | 0.01%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617JMJW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36935493 | PA      | $38887344.93   | 0.07%             | 2072-04-20      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JNLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2524601 | PA      | $2611680.27    | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617JR4K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1441920 | PA      | $1475742.35    | 0.00%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     341018 | PA      | $346200.27     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     294684 | PA      | $298930.83     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1WZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4849959 | PA      | $4882438.80    | 0.01%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1XL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10506967 | PA      | $10778499.43   | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2513070 | PA      | $2441071.36    | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1YJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1607475 | PA      | $1595787.42    | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K54N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8299593 | PA      | $8195052.81    | 0.02%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K55J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2102196 | PA      | $1989961.65    | 0.00%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K7L73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1674413 | PA      | $1722344.02    | 0.00%             | 2049-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230764 | PA      | $234089.66     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     755666 | PA      | $773064.60     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     593928 | PA      | $602954.05     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     308781 | PA      | $312698.93     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     410472 | PA      | $415105.70     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     721915 | PA      | $733129.54     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     342932 | PA      | $346708.98     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37923946 | PA      | $39945891.25   | 0.07%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     367966 | PA      | $373393.47     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3786610 | PA      | $3928041.02    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     615508 | PA      | $622679.47     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     407696 | PA      | $412402.70     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LAWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9334024 | PA      | $9604442.96    | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LAZA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12498849 | PA      | $12689435.54   | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LE6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3658552 | PA      | $3357644.52    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LMSM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11646206 | PA      | $11597455.44   | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNGD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1664850 | PA      | $1681242.73    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9822656 | PA      | $9371235.96    | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4693760 | PA      | $4443262.96    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3801731 | PA      | $3617364.89    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LTUT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     528810 | PA      | $532263.36     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LTUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     615417 | PA      | $622135.99     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LXWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3692831 | PA      | $3607637.78    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1742614 | PA      | $1738559.39    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3804418 | PA      | $3822216.09    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2086663 | PA      | $2087001.28    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2651421 | PA      | $2685447.71    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     732451 | PA      | $730746.56     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     664787 | PA      | $666903.31     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     978996 | PA      | $1003198.60    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1B26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1881229 | PA      | $1894308.70    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1318165 | PA      | $1342619.29    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     916257 | PA      | $914124.95     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1686432 | PA      | $1704843.33    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211718 | PA      | $210782.59     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     596796 | PA      | $592903.58     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     827483 | PA      | $821928.86     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1131862 | PA      | $1137235.12    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     663040 | PA      | $672886.83     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2KD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8282877 | PA      | $7974113.17    | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1646722 | PA      | $1650854.04    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1260308 | PA      | $1274061.67    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1647166 | PA      | $1677711.51    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MKJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2419090 | PA      | $2494502.78    | 0.00%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     667688 | PA      | $646919.19     | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4574098 | PA      | $4426173.39    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6630521 | PA      | $6411998.21    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6242873 | PA      | $6091066.30    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8152986 | PA      | $7984924.25    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5750549 | PA      | $5643544.53    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617NYZF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16731652 | PA      | $15714649.49   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11501069 | PA      | $12029676.42   | 0.02%             | 2071-08-20      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUD46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16703249 | PA      | $17428580.61   | 0.03%             | 2071-08-20      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37747596 | PA      | $39472015.84   | 0.07%             | 2071-09-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30782165 | PA      | $32260201.33   | 0.06%             | 2071-09-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33598389 | PA      | $35198173.08   | 0.06%             | 2071-09-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUER4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36149522 | PA      | $37817186.15   | 0.07%             | 2071-10-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18086020 | PA      | $18914793.61   | 0.03%             | 2071-10-20      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36291514 | PA      | $37992022.34   | 0.07%             | 2071-11-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VYMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8090941 | PA      | $8373284.88    | 0.02%             | 2071-09-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617X2A80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18780625 | PA      | $17639502.77   | 0.03%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XEJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22428961 | PA      | $21066156.56   | 0.04%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XVVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6891539 | PA      | $6507384.18    | 0.01%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XVX57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13858419 | PA      | $13394871.94   | 0.02%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31196785 | PA      | $32665311.54   | 0.06%             | 2072-02-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42361242 | PA      | $44411784.13   | 0.08%             | 2072-03-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40931220 | PA      | $42870221.58   | 0.08%             | 2072-03-20      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43971179 | PA      | $46077314.56   | 0.08%             | 2072-03-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   87081885 | PA      | $91171528.63   | 0.17%             | 2072-02-20      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22910402 | PA      | $24019615.76   | 0.04%             | 2072-03-20      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27927673 | PA      | $29224204.24   | 0.05%             | 2072-03-20      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42802009 | PA      | $44864787.73   | 0.08%             | 2072-04-20      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y24W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23687836 | PA      | $22515138.94   | 0.04%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y92F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10230386 | PA      | $9723887.19    | 0.02%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y92G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5323599 | PA      | $5124979.10    | 0.01%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y9ZS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17169253 | PA      | $16319201.07   | 0.03%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YGA62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19209315 | PA      | $20067519.54   | 0.04%             | 2072-03-20      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YGC45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22790505 | PA      | $24118840.19   | 0.04%             | 2072-07-20      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28965372 | PA      | $30359706.84   | 0.06%             | 2072-02-20      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19574297 | PA      | $20621242.25   | 0.04%             | 2072-02-20      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30503814 | PA      | $31933183.49   | 0.06%             | 2072-03-20      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YLKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12416422 | PA      | $11801658.93   | 0.02%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7010561 | PA      | $6433864.21    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YWBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17795997 | PA      | $18639062.98   | 0.03%             | 2072-03-20      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YXD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34222135 | PA      | $35875902.97   | 0.07%             | 2072-05-20      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36180B5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     394829 | PA      | $383541.39     | 0.00%             | 2038-09-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36180B5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     811567 | PA      | $779901.23     | 0.00%             | 2039-01-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36183SXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1075009 | PA      | $1029579.51    | 0.00%             | 2045-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                             | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                                                    | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150034 | PA      | $147769.95     | 0.00%             | 2035-06-19      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618AW2Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34984979 | PA      | $35720608.29   | 0.07%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618AWYA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29088762 | PA      | $29700402.75   | 0.05%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3618BHKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9804484 | PA      | $10212764.49   | 0.02%             | 2053-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618LEU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28168029 | PA      | $29585897.54   | 0.05%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36196RVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2966972 | PA      | $2904494.08    | 0.01%             | 2048-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200MGS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32547 | PA      | $33464.92      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200QW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129170 | PA      | $133851.15     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200WN31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11714 | PA      | $12106.11      | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10601 | PA      | $10761.67      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4096 | PA      | $4177.21       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $100.98        | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        107 | PA      | $106.72        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        111 | PA      | $111.78        | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         74 | PA      | $73.78         | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1502 | PA      | $1520.74       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1316 | PA      | $1331.10       | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        866 | PA      | $875.75        | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3912 | PA      | $3991.73       | 0.00%             | 2028-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        754 | PA      | $759.83        | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DCS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105780 | PA      | $110029.16     | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48205 | PA      | $51076.35      | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1214713 | PA      | $1310223.35    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36202EXN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10004 | PA      | $10088.53      | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39823 | PA      | $41198.18      | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28361 | PA      | $29283.46      | 0.00%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36206HPN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1626 | PA      | $1640.87       | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36209DEH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13730 | PA      | $13980.01      | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3334 | PA      | $3399.85       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1005 | PA      | $1016.44       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36213GR52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11320 | PA      | $11561.37      | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225B2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28712 | PA      | $29562.10      | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132962 | PA      | $138607.83     | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46936 | PA      | $49542.35      | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4                                                                       | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142467 | PA      | $143057.63     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4                                                                       | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127313 | PA      | $131909.12     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2003-3F, Class 4A3                                                                       | CUSIP: 36228FPT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21768 | PA      | $22011.02      | 0.00%             | 2033-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622A2MQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3204594 | PA      | $3101569.09    | 0.01%             | 2044-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622A3DB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8392006 | PA      | $8629532.68    | 0.02%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1146677 | PA      | $1141246.10    | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10201979 | PA      | $10271172.26   | 0.02%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16879412 | PA      | $16694203.00   | 0.03%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAJY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12017800 | PA      | $11694795.06   | 0.02%             | 2069-11-20      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAS21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15742233 | PA      | $14477021.95   | 0.03%             | 2070-08-20      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAUG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31977300 | PA      | $29449471.83   | 0.05%             | 2070-10-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44868788 | PA      | $41588929.79   | 0.08%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AB5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33127215 | PA      | $29972129.86   | 0.06%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ABML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11987598 | PA      | $11035105.56   | 0.02%             | 2071-12-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3622ABZP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38994326 | PA      | $41332375.47   | 0.08%             | 2072-06-20      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AC3N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   69881914 | PA      | $65994446.36   | 0.12%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ACE55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39116129 | PA      | $38928234.82   | 0.07%             | 2073-01-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ACP38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   76577343 | PA      | $72919047.44   | 0.13%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ACVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27858738 | PA      | $26366027.39   | 0.05%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ADE61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21425766 | PA      | $21034190.56   | 0.04%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35339122 | PA      | $36189236.45   | 0.07%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3                                                                       | CUSIP: 3623416K0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14019 | PA      | $157655.17     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4                                                                       | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1390880 | PA      | $568819.47     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF                                                                    | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2770217 | PA      | $2396033.80    | 0.00%             | 2035-09-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS                                                                    | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2042005 | PA      | $45455.43      | 0.00%             | 2035-09-25      | Variable      | 0.42%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9                                                                       | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     305355 | PA      | $309108.73     | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-AR6, Class 3A1                                                                      | CUSIP: 362341RZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17770 | PA      | $16291.82      | 0.00%             | 2035-09-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241K3Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     284266 | PA      | $300669.63     | 0.00%             | 2035-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241KHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117687 | PA      | $121779.52     | 0.00%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241KN53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89119 | PA      | $93536.87      | 0.00%             | 2037-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241LPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     837061 | PA      | $868369.01     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36241LXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     464076 | PA      | $489243.40     | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36241LZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     298720 | PA      | $308740.34     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-5F, Class 8A3                                                                       | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58374 | PA      | $56557.94      | 0.00%             | 2035-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2004-4, Class 1AF                                                                      | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220007 | PA      | $199191.90     | 0.00%             | 2034-06-25      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                                                      | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81241 | PA      | $82491.01      | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                             | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                                                    | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     389756 | PA      | $365413.22     | 0.00%             | 2035-03-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Corp. Trust                             | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1                                                    | CUSIP: 36261WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29777492 | PA      | $28213026.91   | 0.05%             | 2060-12-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class D                                                               | CUSIP: 36265NAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11781535 | PA      | $11862905.39   | 0.02%             | 2028-04-17      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                                     | GLS Auto Select Receivables Trust, Series 2023-1A, Class A3                                                              | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8354787 | PA      | $8413953.99    | 0.02%             | 2028-10-16      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class D                                                               | CUSIP: 36267PAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9293000 | PA      | $9535367.02    | 0.02%             | 2029-05-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36290QWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7530 | PA      | $7633.14       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36290T6X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42680 | PA      | $43398.67      | 0.00%             | 2037-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36291MSC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16975 | PA      | $17176.88      | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2023-4A, Class C                                                               | CUSIP: 362929AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19000000 | PA      | $19224277.90   | 0.04%             | 2029-08-15      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                   | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                                                          | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19023015 | PA      | $18816384.85   | 0.03%             | 2061-09-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                   | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                                                          | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   41706540 | PA      | $41095042.86   | 0.08%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                     | Galaxy Pipeline Assets Bidco Ltd.                                                                                        | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |   14425227 | PA      | $12365160.33   | 0.02%             | 2040-09-30      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                                    | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK61                                                                         | CUSIP: 36459DAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16520000 | PA      | $15805643.81   | 0.03%             | 2049-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Gilead Sciences, Inc.                                                 | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   36128000 | PA      | $27063032.12   | 0.05%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   16105000 | PA      | $14930910.39   | 0.03%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   23352000 | PA      | $24697327.17   | 0.05%             | 2034-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    9690000 | PA      | $8725684.15    | 0.02%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    6266000 | PA      | $6436723.44    | 0.01%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3625000 | PA      | $3453942.30    | 0.01%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   41950000 | PA      | $42197160.59   | 0.08%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   20900000 | PA      | $20789440.67   | 0.04%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                                                               | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21900000 | PA      | $22536289.17   | 0.04%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2025-3A, Class C                                                               | CUSIP: 37989YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5205000 | PA      | $5275600.62    | 0.01%             | 2031-05-15      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   26250000 | PA      | $27788580.75   | 0.05%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   25535000 | PA      | $26195998.75   | 0.05%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   53955000 | PA      | $55694314.96   | 0.10%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13596343.02   | 0.02%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   39376000 | PA      | $40762379.35   | 0.07%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   44510000 | PA      | $44351695.73   | 0.08%             | 2036-10-21      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1435000 | PA      | $1611919.33    | 0.00%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   18675000 | PA      | $18566938.61   | 0.03%             | 2029-04-23      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   16126000 | PA      | $15015480.59   | 0.03%             | 2039-04-23      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   11700000 | PA      | $10745162.88   | 0.02%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $771896.12     | 0.00%             | 2042-04-22      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   12855000 | PA      | $11594614.56   | 0.02%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   13705000 | PA      | $13520522.48   | 0.02%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   23688000 | PA      | $21979039.19   | 0.04%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZN7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5469000 | PA      | $4292997.48    | 0.01%             | 2043-02-24      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   15385000 | PA      | $15314485.47   | 0.03%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38145GAR1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $20123497.40   | 0.04%             | 2032-01-21      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   37520000 | PA      | $37783899.17   | 0.07%             | 2037-01-21      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4156257.32    | 0.01%             | 2038-10-31      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                             | GoodLeap Home Improvement Solutions Trust, Series 2024-1A, Class A                                                       | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5271152 | PA      | $5373678.21    | 0.01%             | 2046-10-20      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Goodleap LLC                                                          | Goodleap LLC, Class A                                                                                                    | CUSIP: N/A<br>LEI: 549300YN94MOAVYW0F52       | Long             | DBT              | CORP              | US        |   99641515 | PA      | $102132552.56  | 0.19%             | 2038-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Goodgreen                                                             | Goodgreen, Series 2023-1A, Class A                                                                                       | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   40329469 | PA      | $40989924.71   | 0.08%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2016-1A, Class A                                                                                 | CUSIP: 38217KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6398484 | PA      | $6003943.69    | 0.01%             | 2052-10-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-1A, Class A                                                                                 | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1824967 | PA      | $1722287.70    | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Ltd.                                                        | Goodgreen Ltd., Series 2024-1A, Class A                                                                                  | CUSIP: 38217YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   58284650 | PA      | $59197621.19   | 0.11%             | 2056-07-15      | Fixed         | 6.29%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen                                                             | Goodgreen, Series 2019-2A, Class A                                                                                       | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   14935510 | PA      | $13316206.32   | 0.02%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-2A, Class A                                                                                 | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8523491 | PA      | $7880723.61    | 0.01%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                             | GoodLeap Home Improvement Solutions Trust, Series 2025-3A, Class A                                                       | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   49593924 | PA      | $49991845.63   | 0.09%             | 2049-10-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Goodman US Finance Six LLC                                            | Goodman US Finance Six LLC                                                                                               | CUSIP: 38239EAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11095000 | PA      | $11294077.14   | 0.02%             | 2034-10-07      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                                          | Goodman US Finance Three LLC                                                                                             | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5157000 | PA      | $5117924.59    | 0.01%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-64, Class SN                                                                                           | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     430563 | PA      | $20967.88      | 0.00%             | 2039-07-16      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-72, Class SM                                                                                           | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     611330 | PA      | $48343.57      | 0.00%             | 2039-08-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-81, Class S                                                                                            | CUSIP: 38373M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1186572 | PA      | $6711.61       | 0.00%             | 2038-09-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-46, Class MG                                                                                           | CUSIP: 38373Q2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168508 | PA      | $168133.36     | 0.00%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-25, Class PZ                                                                                           | CUSIP: 38373QDV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     472216 | PA      | $471257.08     | 0.00%             | 2033-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-52, Class AP                                                                                           | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87976 | PA      | $79341.25      | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2001-35, Class SA                                                                                           | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27105 | PA      | $71.94         | 0.00%             | 2031-08-16      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-12, Class SP                                                                                           | CUSIP: 38373SNF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51149 | PA      | $458.11        | 0.00%             | 2033-02-20      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2002-52, Class GH                                                                                           | CUSIP: 38373XE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160785 | PA      | $160447.27     | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-79, Class SY                                                                                           | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     537822 | PA      | $2002.69       | 0.00%             | 2037-12-20      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-17                                                                                                     | CUSIP: 383742TE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80976 | PA      | $79.54         | 0.00%             | 2038-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-58, Class BE                                                                                           | CUSIP: 38374BNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227084 | PA      | $226524.99     | 0.00%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-75, Class ZX                                                                                           | CUSIP: 38374CDG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259722 | PA      | $259328.36     | 0.00%             | 2033-09-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-36, Class SH                                                                                           | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     561125 | PA      | $3211.26       | 0.00%             | 2038-04-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-34                                                                                                     | CUSIP: 38374DBJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22439 | PA      | $18980.61      | 0.00%             | 2036-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-33, Class Z                                                                                            | CUSIP: 38374DEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     763448 | PA      | $783910.93     | 0.00%             | 2036-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-97, Class SA                                                                                           | CUSIP: 38374EVW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71428 | PA      | $407.51        | 0.00%             | 2033-11-16      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-112, Class SA                                                                                          | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190095 | PA      | $1120.38       | 0.00%             | 2033-12-16      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-46                                                                                                     | CUSIP: 38374G5Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163408 | PA      | $139408.13     | 0.00%             | 2034-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-28, Class S                                                                                            | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82909 | PA      | $90683.99      | 0.00%             | 2034-04-16      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-49, Class Z                                                                                            | CUSIP: 38374GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     677287 | PA      | $682805.98     | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-73, Class JL                                                                                           | CUSIP: 38374H2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     696563 | PA      | $62969.53      | 0.00%             | 2034-09-16      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-71, Class SB                                                                                           | CUSIP: 38374JBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70826 | PA      | $76026.83      | 0.00%             | 2034-09-20      | Floating      | 10.89%                | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-71, Class ST                                                                                           | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70826 | PA      | $71198.91      | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-96, Class SC                                                                                           | CUSIP: 38374JG75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     603289 | PA      | $3240.99       | 0.00%             | 2034-11-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-89, Class LS                                                                                           | CUSIP: 38374JLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47953 | PA      | $48110.84      | 0.00%             | 2034-10-16      | Floating      | 10.54%                | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-90, Class SI                                                                                           | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     957236 | PA      | $39224.94      | 0.00%             | 2034-10-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-7, Class JM                                                                                            | CUSIP: 38374KF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1064 | PA      | $1143.00       | 0.00%             | 2034-05-18      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-3, Class SK                                                                                            | CUSIP: 38374KRV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     629377 | PA      | $26993.47      | 0.00%             | 2035-01-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-68, Class KI                                                                                           | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1383484 | PA      | $121632.77     | 0.00%             | 2035-09-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-68, Class DP                                                                                           | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125010 | PA      | $138174.59     | 0.00%             | 2035-06-17      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-72, Class AZ                                                                                           | CUSIP: 38374L7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     237315 | PA      | $241607.91     | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-65, Class SA                                                                                           | CUSIP: 38374LK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26894 | PA      | $28490.92      | 0.00%             | 2035-08-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-56, Class IC                                                                                           | CUSIP: 38374LRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66325 | PA      | $6445.85       | 0.00%             | 2035-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-66, Class SP                                                                                           | CUSIP: 38374LU82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40294 | PA      | $45818.98      | 0.00%             | 2035-08-16      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-22, Class AO                                                                                           | CUSIP: 38374M2N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170319 | PA      | $144488.36     | 0.00%             | 2036-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-82                                                                                                     | CUSIP: 38374MBR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92789 | PA      | $79340.85      | 0.00%             | 2035-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-16, Class OP                                                                                           | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116543 | PA      | $99236.23      | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-91, Class PI                                                                                           | CUSIP: 38374MSK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135207 | PA      | $10147.65      | 0.00%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-59, Class SD                                                                                           | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     248207 | PA      | $14974.76      | 0.00%             | 2036-10-20      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-38, Class ZK                                                                                           | CUSIP: 38374NQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     937871 | PA      | $935762.91     | 0.00%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-57, Class PZ                                                                                           | CUSIP: 38374NXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     416542 | PA      | $415610.27     | 0.00%             | 2036-10-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-10, Class SA                                                                                           | CUSIP: 38374TAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     447468 | PA      | $32827.29      | 0.00%             | 2039-02-20      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-11, Class SC                                                                                           | CUSIP: 38374TJF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     305923 | PA      | $4269.92       | 0.00%             | 2039-02-16      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-35, Class ZB                                                                                           | CUSIP: 38374TP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6117642 | PA      | $6417015.15    | 0.01%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-22, Class SA                                                                                           | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     638002 | PA      | $49578.44      | 0.00%             | 2039-04-20      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-31, Class TS                                                                                           | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111970 | PA      | $2217.38       | 0.00%             | 2039-03-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-43, Class SA                                                                                           | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     431388 | PA      | $19344.40      | 0.00%             | 2039-06-20      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-33, Class TI                                                                                           | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130164 | PA      | $7830.38       | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-33, Class CI                                                                                           | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94683 | PA      | $5241.45       | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-42, Class SC                                                                                           | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     607473 | PA      | $49877.99      | 0.00%             | 2039-06-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-14, Class NI                                                                                           | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     347082 | PA      | $17014.24      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-14, Class KI                                                                                           | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155917 | PA      | $7343.38       | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-25, Class SE                                                                                           | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     246655 | PA      | $4331.66       | 0.00%             | 2038-09-20      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H14, Class FC                                                                                          | CUSIP: 38375B3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103924 | PA      | $103901.87     | 0.00%             | 2063-06-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H14, Class FG                                                                                          | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136175 | PA      | $136150.16     | 0.00%             | 2063-05-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H01, Class FA                                                                                          | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        258 | PA      | $235.24        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H01, Class JA                                                                                          | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     786913 | PA      | $785037.47     | 0.00%             | 2063-01-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H03, Class FA                                                                                          | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        320 | PA      | $318.83        | 0.00%             | 2060-08-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H02, Class HF                                                                                          | CUSIP: 38375BH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        646 | PA      | $643.06        | 0.00%             | 2062-11-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H05, Class FB                                                                                          | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244761 | PA      | $244819.21     | 0.00%             | 2060-12-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H06, Class FA                                                                                          | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     237846 | PA      | $237773.05     | 0.00%             | 2061-02-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H04, Class SA                                                                                          | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     465361 | PA      | $464851.20     | 0.00%             | 2063-02-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H08, Class FC                                                                                          | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     485904 | PA      | $485674.99     | 0.00%             | 2063-02-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H19, Class FA                                                                                          | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174240 | PA      | $174211.29     | 0.00%             | 2061-08-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H07, Class HA                                                                                          | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     589034 | PA      | $588314.84     | 0.00%             | 2063-03-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H08, Class FB                                                                                          | CUSIP: 38375BQN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     399747 | PA      | $400375.82     | 0.00%             | 2062-03-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H08, Class FS                                                                                          | CUSIP: 38375BQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1259411 | PA      | $1263683.85    | 0.00%             | 2062-04-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H07, Class MA                                                                                          | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        416 | PA      | $415.80        | 0.00%             | 2062-04-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H09, Class HA                                                                                          | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62754 | PA      | $60301.18      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H10, Class FA                                                                                          | CUSIP: 38375BRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1397838 | PA      | $1399164.58    | 0.00%             | 2061-12-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H15, Class FA                                                                                          | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        132 | PA      | $131.75        | 0.00%             | 2062-05-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H18, Class NA                                                                                          | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103727 | PA      | $103747.82     | 0.00%             | 2062-08-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H21, Class CF                                                                                          | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4191 | PA      | $4207.60       | 0.00%             | 2061-05-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FA                                                                                          | CUSIP: 38375BWP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164888 | PA      | $164223.82     | 0.00%             | 2060-03-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FE                                                                                          | CUSIP: 38375BWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23979 | PA      | $24007.55      | 0.00%             | 2062-10-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FG                                                                                          | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7078 | PA      | $7056.30       | 0.00%             | 2060-04-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H28, Class FA                                                                                          | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19622 | PA      | $19664.34      | 0.00%             | 2062-09-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H26, Class MA                                                                                          | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39459 | PA      | $39476.71      | 0.00%             | 2062-07-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H26, Class JA                                                                                          | CUSIP: 38375BYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        856 | PA      | $856.27        | 0.00%             | 2061-10-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H29, Class FA                                                                                          | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     792811 | PA      | $793115.22     | 0.00%             | 2062-10-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-60, Class CS                                                                                           | CUSIP: 38375DAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     467667 | PA      | $2668.09       | 0.00%             | 2038-07-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-76, Class US                                                                                           | CUSIP: 38375DUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     576395 | PA      | $11463.35      | 0.00%             | 2038-09-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-95, Class DS                                                                                           | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1031717 | PA      | $8292.63       | 0.00%             | 2038-12-20      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-25, Class FN                                                                                           | CUSIP: 38375J2G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206104 | PA      | $204530.27     | 0.00%             | 2037-05-16      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-28, Class BO                                                                                           | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33098 | PA      | $27542.06      | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-27, Class SD                                                                                           | CUSIP: 38375JJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     448552 | PA      | $4161.30       | 0.00%             | 2037-05-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-9, Class CI                                                                                            | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     467071 | PA      | $31180.74      | 0.00%             | 2037-03-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-17, Class JI                                                                                           | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     604695 | PA      | $45720.04      | 0.00%             | 2037-04-16      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-17, Class JO                                                                                           | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234603 | PA      | $194993.16     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-19, Class SD                                                                                           | CUSIP: 38375JTV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217463 | PA      | $1196.44       | 0.00%             | 2037-04-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-40, Class SD                                                                                           | CUSIP: 38375KA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     357884 | PA      | $9702.88       | 0.00%             | 2037-07-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-40, Class SN                                                                                           | CUSIP: 38375KB68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     489383 | PA      | $11646.63      | 0.00%             | 2037-07-20      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-26, Class SC                                                                                           | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     406730 | PA      | $3262.91       | 0.00%             | 2037-05-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class SJ                                                                                           | CUSIP: 38375KHN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     336243 | PA      | $1925.83       | 0.00%             | 2037-06-20      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class SE                                                                                           | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255795 | PA      | $1505.15       | 0.00%             | 2037-06-16      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class HO                                                                                           | CUSIP: 38375KKT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59689 | PA      | $48891.94      | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-35                                                                                                     | CUSIP: 38375KPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     618723 | PA      | $512650.27     | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-45, Class QA                                                                                           | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     513506 | PA      | $33275.04      | 0.00%             | 2037-07-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-73, Class MI                                                                                           | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     420331 | PA      | $2120.95       | 0.00%             | 2037-11-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-53, Class ES                                                                                           | CUSIP: 38375LFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     392698 | PA      | $12523.65      | 0.00%             | 2037-09-20      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-67, Class SI                                                                                           | CUSIP: 38375LG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     434748 | PA      | $2785.47       | 0.00%             | 2037-11-20      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-53, Class SW                                                                                           | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85888 | PA      | $93253.78      | 0.00%             | 2037-09-20      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-76, Class SB                                                                                           | CUSIP: 38375LR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     822686 | PA      | $5113.41       | 0.00%             | 2037-11-20      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-72, Class US                                                                                           | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     371342 | PA      | $2356.80       | 0.00%             | 2037-11-20      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-74, Class SL                                                                                           | CUSIP: 38375LZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     467157 | PA      | $2625.56       | 0.00%             | 2037-11-16      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-1                                                                                                      | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24396 | PA      | $20161.22      | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-7, Class SP                                                                                            | CUSIP: 38375PQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60641 | PA      | $60673.07      | 0.00%             | 2037-10-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-7, Class SK                                                                                            | CUSIP: 38375PQ95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43160 | PA      | $43217.54      | 0.00%             | 2037-11-20      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-96, Class SL                                                                                           | CUSIP: 38375PY88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     338855 | PA      | $2602.48       | 0.00%             | 2038-12-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-50, Class KB                                                                                           | CUSIP: 38375QD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     280842 | PA      | $288578.81     | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-33, Class XS                                                                                           | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     242404 | PA      | $10065.82      | 0.00%             | 2038-04-16      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-55, Class SA                                                                                           | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137736 | PA      | $595.54        | 0.00%             | 2038-06-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-40, Class SA                                                                                           | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1317956 | PA      | $65432.19      | 0.00%             | 2038-05-16      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H01, Class FD                                                                                          | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     581428 | PA      | $583002.27     | 0.00%             | 2064-01-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H05, Class FA                                                                                          | CUSIP: 38375UDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1541139 | PA      | $1546919.33    | 0.00%             | 2064-02-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H06, Class HB                                                                                          | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233981 | PA      | $234636.74     | 0.00%             | 2064-03-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H10, Class TA                                                                                          | CUSIP: 38375UFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4408766 | PA      | $4415710.32    | 0.01%             | 2064-04-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H09, Class TA                                                                                          | CUSIP: 38375UFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     508332 | PA      | $509535.68     | 0.00%             | 2064-04-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H11, Class VA                                                                                          | CUSIP: 38375UKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4735605 | PA      | $4736624.96    | 0.01%             | 2064-06-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H17, Class FC                                                                                          | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2561985 | PA      | $2562525.35    | 0.00%             | 2064-07-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H19, Class FE                                                                                          | CUSIP: 38375UPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2456736 | PA      | $2456340.34    | 0.00%             | 2064-09-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H20, Class LF                                                                                          | CUSIP: 38375UQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2389877 | PA      | $2390598.22    | 0.00%             | 2064-10-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H03, Class FA                                                                                          | CUSIP: 38375UTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     478665 | PA      | $478782.44     | 0.00%             | 2064-12-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H02, Class FB                                                                                          | CUSIP: 38375UUA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     383314 | PA      | $383404.92     | 0.00%             | 2064-12-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H06, Class FA                                                                                          | CUSIP: 38375UUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2091034 | PA      | $2090944.29    | 0.00%             | 2065-02-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H05, Class FC                                                                                          | CUSIP: 38375UUV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4720387 | PA      | $4720193.66    | 0.01%             | 2065-02-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H08, Class FC                                                                                          | CUSIP: 38375UVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4928111 | PA      | $4928002.33    | 0.01%             | 2065-03-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H07, Class ES                                                                                          | CUSIP: 38375UVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1074349 | PA      | $1074157.81    | 0.00%             | 2065-02-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H11, Class FD                                                                                          | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3277822 | PA      | $3312019.58    | 0.01%             | 2066-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-71, Class SC                                                                                           | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157925 | PA      | $816.08        | 0.00%             | 2038-08-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-93, Class AS                                                                                           | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     634214 | PA      | $35537.73      | 0.00%             | 2038-12-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-6, Class SA                                                                                            | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262039 | PA      | $1285.69       | 0.00%             | 2039-02-16      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-6, Class SH                                                                                            | CUSIP: 38375Y6G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274896 | PA      | $1446.45       | 0.00%             | 2039-02-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-79, Class CS                                                                                           | CUSIP: 38375YNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     329112 | PA      | $329748.84     | 0.00%             | 2035-06-20      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-75, Class MN                                                                                           | CUSIP: 38376CLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2599181 | PA      | $2759295.31    | 0.01%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-79, Class OK                                                                                           | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     607389 | PA      | $513242.39     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-81, Class SB                                                                                           | CUSIP: 38376F4W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1190167 | PA      | $108158.80     | 0.00%             | 2039-09-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-106, Class AS                                                                                          | CUSIP: 38376JFB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1016452 | PA      | $101030.95     | 0.00%             | 2039-11-16      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-106, Class ST                                                                                          | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3191788 | PA      | $41062.68      | 0.00%             | 2038-02-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-97, Class WA                                                                                           | CUSIP: 38376LK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288147 | PA      | $294268.02     | 0.00%             | 2038-11-20      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-H08, Class XI                                                                                          | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15603466 | PA      | $652238.91     | 0.00%             | 2067-03-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-H14, Class XI                                                                                          | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17183380 | PA      | $446977.51     | 0.00%             | 2067-06-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H10, Class FC                                                                                          | CUSIP: 38376RAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.87          | 0.00%             | 2065-04-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H12, Class FA                                                                                          | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2389777 | PA      | $2389583.02    | 0.00%             | 2065-05-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H15, Class FD                                                                                          | CUSIP: 38376RDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1365242 | PA      | $1364411.75    | 0.00%             | 2065-06-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H15, Class FJ                                                                                          | CUSIP: 38376RDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1977412 | PA      | $1976385.63    | 0.00%             | 2065-06-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H16, Class FL                                                                                          | CUSIP: 38376RDR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2788935 | PA      | $2787417.05    | 0.01%             | 2065-07-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H16, Class FG                                                                                          | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3039174 | PA      | $3037513.99    | 0.01%             | 2065-07-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H18, Class FA                                                                                          | CUSIP: 38376REW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1349389 | PA      | $1349041.41    | 0.00%             | 2065-06-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H20, Class FA                                                                                          | CUSIP: 38376RFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2308622 | PA      | $2308101.47    | 0.00%             | 2065-08-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H26, Class FG                                                                                          | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     823952 | PA      | $824379.37     | 0.00%             | 2065-10-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H32, Class FH                                                                                          | CUSIP: 38376RMJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1378664 | PA      | $1382196.39    | 0.00%             | 2065-12-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H26, Class FC                                                                                          | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2964868 | PA      | $2985043.09    | 0.01%             | 2066-12-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H07, Class FB                                                                                          | CUSIP: 38376RRE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1596834 | PA      | $1603324.05    | 0.00%             | 2066-03-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-14, Class BO                                                                                           | CUSIP: 38376WBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137328 | PA      | $118142.58     | 0.00%             | 2035-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-14, Class CO                                                                                           | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381324 | PA      | $326983.56     | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-103, Class WA                                                                                          | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148162 | PA      | $151925.98     | 0.00%             | 2034-08-20      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-41, Class WA                                                                                           | CUSIP: 38377EAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     263187 | PA      | $270588.05     | 0.00%             | 2033-10-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-130, Class CP                                                                                          | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1062001 | PA      | $1136723.36    | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-129, Class AW                                                                                          | CUSIP: 38377MBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208150 | PA      | $214899.68     | 0.00%             | 2037-04-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-157, Class OP                                                                                          | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1401970 | PA      | $1226886.99    | 0.00%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-22, Class WA                                                                                           | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120459 | PA      | $124104.74     | 0.00%             | 2037-02-20      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-75, Class SM                                                                                           | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     756543 | PA      | $50988.09      | 0.00%             | 2041-05-20      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-137, Class WA                                                                                          | CUSIP: 38377YX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     691166 | PA      | $725430.50     | 0.00%             | 2040-07-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-163, Class WA                                                                                          | CUSIP: 38378AS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1365169 | PA      | $1419516.33    | 0.00%             | 2038-12-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-157, Class UY                                                                                          | CUSIP: 38378AXH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1500000 | PA      | $1387327.05    | 0.00%             | 2041-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-59, Class WA                                                                                           | CUSIP: 38378ERH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     650937 | PA      | $672598.48     | 0.00%             | 2038-08-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WA                                                                                          | CUSIP: 38378GPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1223558 | PA      | $1234666.81    | 0.00%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WB                                                                                          | CUSIP: 38378GPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     688669 | PA      | $669843.26     | 0.00%             | 2042-09-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WC                                                                                          | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1004183 | PA      | $974032.37     | 0.00%             | 2042-01-20      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-75, Class WA                                                                                           | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     334537 | PA      | $345758.87     | 0.00%             | 2040-06-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-26, Class AK                                                                                           | CUSIP: 38378JBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     849335 | PA      | $869681.99     | 0.00%             | 2041-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-54, Class WA                                                                                           | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     675764 | PA      | $700869.96     | 0.00%             | 2042-11-20      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-6, Class W                                                                                             | CUSIP: 38378PS33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1061838 | PA      | $1104279.25    | 0.00%             | 2039-01-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-91, Class WA                                                                                           | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     931252 | PA      | $911707.12     | 0.00%             | 2043-04-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H15, Class FA                                                                                          | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4390094 | PA      | $4391002.04    | 0.01%             | 2064-07-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-147, Class BE                                                                                          | CUSIP: 38378UNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3874000 | PA      | $3759012.32    | 0.01%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-41, Class W                                                                                            | CUSIP: 38379AX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     977628 | PA      | $994277.61     | 0.00%             | 2042-10-20      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-188, Class W                                                                                           | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     898053 | PA      | $915091.48     | 0.00%             | 2041-10-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-91, Class W                                                                                            | CUSIP: 38379PU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1359202 | PA      | $1416312.98    | 0.00%             | 2040-05-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-137, Class WA                                                                                          | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1340083 | PA      | $1400406.37    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H05                                                                                                    | CUSIP: 38380L5P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33972911 | PA      | $1997535.83    | 0.00%             | 2070-03-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2018-H09, Class FE                                                                                          | CUSIP: 38380LEZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1203010 | PA      | $1210341.88    | 0.00%             | 2068-06-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-H20, Class ID                                                                                          | CUSIP: 38380LR21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16599987 | PA      | $1031380.44    | 0.00%             | 2069-12-20      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H02, Class MI                                                                                          | CUSIP: 38380LW58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35953964 | PA      | $2154037.96    | 0.00%             | 2070-01-20      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09, Class CI                                                                                          | CUSIP: 38380QAG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37036687 | PA      | $2498680.11    | 0.00%             | 2070-05-20      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09, Class IC                                                                                          | CUSIP: 38380QAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39663106 | PA      | $2420852.17    | 0.00%             | 2070-05-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09                                                                                                    | CUSIP: 38380QBM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40182493 | PA      | $2034540.06    | 0.00%             | 2070-05-20      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H11                                                                                                    | CUSIP: 38380QDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22656684 | PA      | $1257876.44    | 0.00%             | 2070-06-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H12, Class HI                                                                                          | CUSIP: 38380QED0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28009868 | PA      | $2261124.71    | 0.00%             | 2070-07-20      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H12, Class IJ                                                                                          | CUSIP: 38380QEW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32133734 | PA      | $1769752.57    | 0.00%             | 2070-07-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H15                                                                                                    | CUSIP: 38380QJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41107758 | PA      | $2449081.03    | 0.00%             | 2070-08-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-211, Class AC                                                                                          | CUSIP: 38381EJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7346998 | PA      | $5519254.81    | 0.01%             | 2063-01-16      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-105, Class SM                                                                                          | CUSIP: 38381NJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23079647 | PA      | $22716615.63   | 0.04%             | 2055-06-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-78, Class SW                                                                                           | CUSIP: 38381WUP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5394098 | PA      | $476908.94     | 0.00%             | 2049-06-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-123, Class LB                                                                                          | CUSIP: 38382HK41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9769942 | PA      | $8300232.68    | 0.02%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-134, Class ST                                                                                          | CUSIP: 38382JEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39142957 | PA      | $1054174.63    | 0.00%             | 2050-09-20      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-H14, Class BF                                                                                          | CUSIP: 38382YDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7899305 | PA      | $8091494.77    | 0.01%             | 2071-09-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-201, Class Z                                                                                           | CUSIP: 38383CZ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18277236 | PA      | $13924521.14   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-9, Class P                                                                                             | CUSIP: 38383FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19327015 | PA      | $17474771.52   | 0.03%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-114, Class BS                                                                                          | CUSIP: 38383TGW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13035542 | PA      | $14485526.72   | 0.03%             | 2052-06-20      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-133, Class ES                                                                                          | CUSIP: 38383TYR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8132012 | PA      | $8594329.24    | 0.02%             | 2052-07-20      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-121, Class S                                                                                           | CUSIP: 38383UCQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10490791 | PA      | $11558927.41   | 0.02%             | 2052-07-20      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-48, Class W                                                                                            | CUSIP: 38383WUN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8919529 | PA      | $8415994.86    | 0.02%             | 2062-12-20      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-57, Class PT                                                                                           | CUSIP: 38384NCN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8928658 | PA      | $8885120.23    | 0.02%             | 2064-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-164, Class AO                                                                                          | CUSIP: 38384XSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7929919 | PA      | $6395451.51    | 0.01%             | 2054-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WW Grainger, Inc.                                                     | WW Grainger, Inc.                                                                                                        | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |    4364000 | PA      | $4020224.63    | 0.01%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                                    | Granite Park Equipment Leasing LLC, Series 2023-1A, Class A3                                                             | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1944189 | PA      | $1945981.76    | 0.00%             | 2032-09-20      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                                    | Granite Park Equipment Leasing LLC, Series 2023-1A, Class D                                                              | CUSIP: 387422AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8650000 | PA      | $8759507.27    | 0.02%             | 2033-08-22      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                 | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12470000 | PA      | $12335269.38   | 0.02%             | 2027-10-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Grupo Televisa SAB                                                    | Grupo Televisa SAB                                                                                                       | CUSIP: 40049JBC0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |     767000 | PA      | $594118.20     | 0.00%             | 2046-01-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                          | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    1663000 | PA      | $1399053.30    | 0.00%             | 2077-01-24      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                          | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AD6<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    6450000 | PA      | $4404430.55    | 0.01%             | 2070-01-22      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $16683935.98   | 0.03%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4805000 | PA      | $4686323.13    | 0.01%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    6831000 | PA      | $4715342.57    | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   27825000 | PA      | $23045930.20   | 0.04%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   28350000 | PA      | $29769931.01   | 0.05%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   17625000 | PA      | $17644803.27   | 0.03%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9612000 | PA      | $10083735.14   | 0.02%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   23003000 | PA      | $24350343.22   | 0.04%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   10120000 | PA      | $10077844.03   | 0.02%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   12475000 | PA      | $12416433.74   | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2016-4A, Class A1                                                                             | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     608766 | PA      | $585683.46     | 0.00%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2016-4A, Class A2                                                                             | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1268261 | PA      | $1248110.99    | 0.00%             | 2047-09-20      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   20470000 | PA      | $18841314.48   | 0.03%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   25865000 | PA      | $25090341.96   | 0.05%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   13465000 | PA      | $12874965.99   | 0.02%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   13085000 | PA      | $12037842.91   | 0.02%             | 2032-11-22      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3840000 | PA      | $4240570.21    | 0.01%             | 2044-03-09      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   43090000 | PA      | $44668453.92   | 0.08%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   11185000 | PA      | $11540979.29   | 0.02%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   17890000 | PA      | $18533426.37   | 0.03%             | 2031-05-13      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8585000 | PA      | $8683363.15    | 0.02%             | 2031-11-06      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   15845000 | PA      | $16004640.43   | 0.03%             | 2036-11-06      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Hackensack Meridian Health, Inc.                                      | Hackensack Meridian Health, Inc., Series 2020                                                                            | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   11100000 | PA      | $7404254.11    | 0.01%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                                             | HINNT LLC, Series 2022-A, Class C                                                                                        | CUSIP: 40486JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4477870 | PA      | $4530956.06    | 0.01%             | 2041-05-15      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216AS0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    2242000 | PA      | $2642525.52    | 0.00%             | 2096-08-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    2375000 | PA      | $2154844.01    | 0.00%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    1918000 | PA      | $1936376.15    | 0.00%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Hartford Insurance Group, Inc. (The)                                  | Hartford Insurance Group, Inc. (The)                                                                                     | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    7410000 | PA      | $6556065.82    | 0.01%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Hartford HealthCare Corp.                                             | Hartford HealthCare Corp.                                                                                                | CUSIP: 41652PAC3<br>LEI: 549300W3L482NUDOFF24 | Long             | DBT              | CORP              | US        |   23430000 | PA      | $17270912.55   | 0.03%             | 2054-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                      | Welltower OP LLC                                                                                                         | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     460000 | PA      | $521898.28     | 0.00%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2016-3A, Class A1                                                                             | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1926117 | PA      | $1826553.77    | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                          | HERO Funding, Series 2017-3A, Class A2                                                                                   | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    5606371 | PA      | $5319694.48    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                    | HERO Funding Trust, Series 2017-1A, Class A2                                                                             | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    4710992 | PA      | $4558652.37    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                          | HERO Funding, Series 2018-1A, Class A2                                                                                   | CUSIP: 42772GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    7084703 | PA      | $6998749.03    | 0.01%             | 2048-09-20      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding II                                                       | HERO Funding II                                                                                                          | CUSIP: 42772HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2541485 | PA      | $2237940.08    | 0.00%             | 2044-09-21      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| Hilton Grand Vacations Trust                                          | Hilton Grand Vacations Trust, Series 2024-3A, Class C                                                                    | CUSIP: 43283NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4999542 | PA      | $5085783.19    | 0.01%             | 2040-08-27      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                          | Hilton Grand Vacations Trust, Series 2020-AA, Class A                                                                    | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2428082 | PA      | $2392241.33    | 0.00%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-3, Class D                                                                   | CUSIP: 43730XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40514877 | PA      | $38355672.68   | 0.07%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-2, Class E1                                                                  | CUSIP: 43732VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52016178 | PA      | $51101582.80   | 0.09%             | 2026-12-17      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-2, Class E2                                                                  | CUSIP: 43732VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9355083 | PA      | $9186841.75    | 0.02%             | 2026-12-17      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                                     | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                                                           | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24975000 | PA      | $25082417.48   | 0.05%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| HSBC Finance Corp.                                                    | HSBC Finance Corp.                                                                                                       | CUSIP: 441812JZ8<br>LEI: 213800NQZ5NL1KSD7V45 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9784209.87    | 0.02%             | 2032-05-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                           | Huntington Bancshares, Inc.                                                                                              | CUSIP: 446150BD5<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13693801.03   | 0.03%             | 2035-02-02      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                           | Huntington Bancshares, Inc.                                                                                              | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   17160000 | PA      | $17763956.15   | 0.03%             | 2031-01-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                              | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1                                                        | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10501132 | PA      | $10618204.86   | 0.02%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    9020000 | PA      | $8794419.45    | 0.02%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   12950000 | PA      | $12445102.68   | 0.02%             | 2028-01-10      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   17530000 | PA      | $17398674.01   | 0.03%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Identity Digital Capital LLC                                          | Identity Digital Capital LLC                                                                                             | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   99500000 | PA      | $101101950.00  | 0.19%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| Impac CMB Trust                                                       | Impac CMB Trust, Series 2005-4, Class 2A1                                                                                | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338592 | PA      | $332143.50     | 0.00%             | 2035-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                                  | Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1                                                            | CUSIP: 45254TMS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250675 | PA      | $189550.45     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                            | Impac Secured Assets Trust, Series 2006-1, Class 2A1                                                                     | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365175 | PA      | $349977.12     | 0.00%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                | Residential Asset Securitization Trust, Series 2003-A8, Class A5                                                         | CUSIP: 45660NRQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12155 | PA      | $12187.68      | 0.00%             | 2018-10-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    2572000 | PA      | $2574398.49    | 0.00%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    8840000 | PA      | $8823252.18    | 0.02%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    7083000 | PA      | $7159681.69    | 0.01%             | 2027-09-11      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $6515605.62    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   15310000 | PA      | $10023370.19   | 0.02%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $16145590.37   | 0.03%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                              | International Flavors & Fragrances, Inc.                                                                                 | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   31177000 | PA      | $28431018.07   | 0.05%             | 2030-11-01      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Interstate Power and Light Co.                                        | Interstate Power and Light Co.                                                                                           | CUSIP: 461070AV6<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    8615000 | PA      | $8719713.95    | 0.02%             | 2034-09-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                                | Invitation Homes Trust, Series 2024-SFR1, Class D                                                                        | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22630000 | PA      | $22127156.87   | 0.04%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    6820000 | PA      | $6489974.33    | 0.01%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AS4<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5187156.25    | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   18040000 | PA      | $19013128.83   | 0.03%             | 2034-05-09      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| JBS NV                                                                | JBS NV                                                                                                                   | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   15000000 | PA      | $14306365.50   | 0.03%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                                | JBS NV                                                                                                                   | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    1710000 | PA      | $1806871.50    | 0.00%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2004-A4, Class 1A1                                                                       | CUSIP: 466247DX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6295 | PA      | $6188.77       | 0.00%             | 2034-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2004-S1, Class 1A7                                                                       | CUSIP: 466247ER0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18569 | PA      | $17900.96      | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                                                       | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     925612 | PA      | $943048.49     | 0.00%             | 2034-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                                                       | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276594 | PA      | $276028.12     | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4                                                                       | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119520 | PA      | $115897.74     | 0.00%             | 2035-02-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1                                                                       | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93734 | PA      | $93398.27      | 0.00%             | 2034-08-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A1                                                                       | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84649 | PA      | $84518.24      | 0.00%             | 2035-07-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2                                                                       | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33858 | PA      | $33805.40      | 0.00%             | 2035-07-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                   | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class X                                           | CUSIP: 46632HAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     742425 | PA      | $7.42          | 0.00%             | 2051-02-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                                | JBS NV                                                                                                                   | CUSIP: 472140AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    8980000 | PA      | $9521237.89    | 0.02%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                                | JBS NV                                                                                                                   | CUSIP: 472140AD4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   16735000 | PA      | $17290250.57   | 0.03%             | 2055-02-25      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                                | JBS NV                                                                                                                   | CUSIP: 472140AF9<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   29725000 | PA      | $30503485.86   | 0.06%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                                | JBS NV                                                                                                                   | CUSIP: 472140AK8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   32455000 | PA      | $33034646.30   | 0.06%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                                | JBS NV                                                                                                                   | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   24808000 | PA      | $27657570.92   | 0.05%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                       | Jefferies Financial Group, Inc.                                                                                          | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3819805.42    | 0.01%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1909350.44    | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    8680000 | PA      | $8914844.69    | 0.02%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                                | Jonah Energy ABS LLC, Series 2022-1, Class A1                                                                            | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   17233428 | PA      | $17574718.34   | 0.03%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  3 | On Loan: No      |
| Jonah Energy Abs I LLC                                                | Jonah Energy ABS LLC, Series 2022-1, Class B                                                                             | CUSIP: 47987EAD9<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   39901869 | PA      | $40472465.59   | 0.07%             | 2039-08-10      | Fixed         | 7.62%                 | Yes           |                  3 | On Loan: No      |
| Jonah Energy ABS II LLC                                               | Jonah Energy ABS LLC, Series 2025-1A, Class A1                                                                           | CUSIP: 479913AD7<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   47334476 | PA      | $47964024.96   | 0.09%             | 2040-12-10      | Fixed         | 6.59%                 | Yes           |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                               | Jonah Energy ABS LLC, Series 2025-2A, Class A1                                                                           | CUSIP: 479915AA8<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   20531956 | PA      | $20577126.40   | 0.04%             | 2041-01-10      | Fixed         | 5.91%                 | Yes           |                  3 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                      | JPMorgan Prime Money Market Fund, Class Institutional                                                                    | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        | 1069863825 | NS      | $1070291770.86 | 1.97%             |  |  |  | No            |                  1 | On Loan: No      |
| KBC Group NV                                                          | KBC Group NV                                                                                                             | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   36960000 | PA      | $40720642.67   | 0.07%             | 2034-09-21      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| KBC Group NV                                                          | KBC Group NV                                                                                                             | CUSIP: 48241FAE4<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   27938000 | PA      | $28152567.75   | 0.05%             | 2031-09-23      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                                         | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3965851 | PA      | $63528.96      | 0.00%             | 2038-08-25      | Variable      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-6, Class A                                                                         | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3890091 | PA      | $43530.12      | 0.00%             | 2039-05-25      | Variable      | 0.68%                 | Yes           |                  3 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-4, Class A                                                                         | CUSIP: 48247QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5598247 | PA      | $93585.89      | 0.00%             | 2037-09-25      | Variable      | 1.02%                 | Yes           |                  3 | On Loan: No      |
| KLA Corp.                                                             | KLA Corp.                                                                                                                | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $4970670.88    | 0.01%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                             | KLA Corp.                                                                                                                | CUSIP: 482480AM2<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6485736.46    | 0.01%             | 2052-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-3, Class A                                                                         | CUSIP: 48248FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8272 | PA      | $0.00          | 0.00%             | 2026-09-25      | Variable      | 0.99%                 | Yes           |                  3 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2013-2, Class A                                                                         | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3185637 | PA      | $81915.46      | 0.00%             | 2039-03-25      | Variable      | 1.59%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2014-1, Class A                                                                         | CUSIP: 48249FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2981538 | PA      | $68730.40      | 0.00%             | 2032-10-25      | Variable      | 1.70%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2014-2, Class A                                                                         | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     564518 | PA      | $38935.39      | 0.00%             | 2040-04-25      | Variable      | 3.63%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2015-2, Class A                                                                         | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1822078 | PA      | $176921.92     | 0.00%             | 2041-07-25      | Variable      | 3.36%                 | Yes           |                  3 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                                | Keurig Dr. Pepper, Inc.                                                                                                  | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12933451.31   | 0.02%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                               | KeyCorp                                                                                                                  | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    3780000 | PA      | $3799097.85    | 0.01%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                               | KeyCorp                                                                                                                  | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   26465000 | PA      | $27149416.39   | 0.05%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                               | KeyCorp                                                                                                                  | CUSIP: 49326EER0<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   10115000 | PA      | $10204524.22   | 0.02%             | 2037-01-28      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| KeySpan Gas East Corp.                                                | KeySpan Gas East Corp.                                                                                                   | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |    4242000 | PA      | $4215857.11    | 0.01%             | 2026-08-15      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                   | Kinder Morgan, Inc.                                                                                                      | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5524852.02    | 0.01%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                 | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   12068000 | PA      | $9905404.62    | 0.02%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                 | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAL0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   22860000 | PA      | $22944413.75   | 0.04%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                 | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   22000000 | PA      | $18964608.52   | 0.03%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     829000 | PA      | $842298.03     | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044CR0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8574654.42    | 0.02%             | 2042-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DF5<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $8698840.37    | 0.02%             | 2046-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    9140000 | PA      | $9293355.12    | 0.02%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    6950000 | PA      | $6718588.28    | 0.01%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Trust                              | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2                                                      | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8924000 | PA      | $8430406.42    | 0.02%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                                                         | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   41700000 | PA      | $41780234.97   | 0.08%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                                                                         | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |   16785000 | PA      | $16891843.24   | 0.03%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| LSEG Finance plc                                                      | LSEG Finance plc                                                                                                         | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |   30170000 | PA      | $28959578.39   | 0.05%             | 2028-04-06      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   11863000 | PA      | $12498241.94   | 0.02%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   22080000 | PA      | $23136979.76   | 0.04%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Eni USA, Inc.                                                         | Eni USA, Inc.                                                                                                            | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4040000 | PA      | $4257984.99    | 0.01%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                           | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1                                                                   | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15298589 | PA      | $15310412.96   | 0.03%             | 2066-10-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust, Series 2006-2, Class 1A1                                                                          | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     294933 | PA      | $181701.83     | 0.00%             | 2036-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust, Series 2007-6, Class 1A8                                                                          | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9520 | PA      | $8446.22       | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust, Series 2008-2, Class 1A6                                                                          | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1857953 | PA      | $431757.77     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                          | Leidos, Inc.                                                                                                             | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    8020000 | PA      | $7285775.26    | 0.01%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                          | Leidos, Inc.                                                                                                             | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $9131451.53    | 0.02%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                          | Leidos, Inc.                                                                                                             | CUSIP: 52532XAN5<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   18335000 | PA      | $18292024.04   | 0.03%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint Asset Securitization Trust, Series 2022-C, Class C                                                          | CUSIP: 525919AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2061674 | PA      | $2060808.48    | 0.00%             | 2030-02-15      | Fixed         | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2021-2A, Class C                                                                          | CUSIP: 52604DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9780000 | PA      | $9325199.68    | 0.02%             | 2032-04-20      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2021-1A, Class B                                                                          | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11204000 | PA      | $10781091.58   | 0.02%             | 2031-11-20      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                       | Eli Lilly & Co.                                                                                                          | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   15300000 | PA      | $15654011.25   | 0.03%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                       | Eli Lilly & Co.                                                                                                          | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   17320000 | PA      | $16268019.40   | 0.03%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6745000 | PA      | $6799504.52    | 0.01%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   12150000 | PA      | $12091997.97   | 0.02%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   19370000 | PA      | $20525311.83   | 0.04%             | 2035-01-05      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6805000 | PA      | $6888862.85    | 0.01%             | 2028-01-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   39385000 | PA      | $39160436.97   | 0.07%             | 2036-11-04      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                        | Long Beach Mortgage Loan Trust, Series 2004-1, Class M1                                                                  | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     359714 | PA      | $358075.55     | 0.00%             | 2034-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                        | Long Beach Mortgage Loan Trust, Series 2004-3, Class M1                                                                  | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     170412 | PA      | $172812.35     | 0.00%             | 2034-07-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| City of Los Angeles Department of Airports                            | City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer, Series 2009C | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2530000 | PA      | $2766644.06    | 0.01%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2003-12, Class 6A1                                                              | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36822 | PA      | $31228.75      | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2003-12, Class 30                                                               | CUSIP: 55265K4C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1777 | PA      | $396.57        | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-1, Class 30                                                                | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7460 | PA      | $5896.38       | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                         | MHC Commercial Mortgage Trust, Series 2021-MHC, Class E                                                                  | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214535 | PA      | $214534.85     | 0.00%             | 2038-04-15      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| MMP Capital LLC                                                       | MMP Capital LLC, Series 2025-A, Class A                                                                                  | CUSIP: 55317QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7688904 | PA      | $7759301.52    | 0.01%             | 2031-12-15      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                                  | MNR ABS Issuer I LLC                                                                                                     | CUSIP: 55317XAA7<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   16686944 | PA      | $17049050.90   | 0.03%             | 2038-12-15      | Fixed         | 8.12%                 | No            |                  3 | On Loan: No      |
| MNR ABS Issuer I LLC                                                  | MNR ABS Issuer I LLC                                                                                                     | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   21760944 | PA      | $22483189.35   | 0.04%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  3 | On Loan: No      |
| MMAF Equipment Finance LLC                                            | MMAF Equipment Finance LLC, Series 2024-A, Class A4                                                                      | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18608400 | PA      | $19340461.90   | 0.04%             | 2049-07-13      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                              | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                                                      | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38560000 | PA      | $34318400.00   | 0.06%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                              | MRCD MARK Mortgage Trust, Series 2019-PARK, Class E                                                                      | CUSIP: 55348UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   81600000 | PA      | $61506000.00   | 0.11%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                                   | Macquarie Bank Ltd.                                                                                                      | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    8095000 | PA      | $7466872.12    | 0.01%             | 2036-03-03      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   27694000 | PA      | $29204558.71   | 0.05%             | 2029-03-26      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   14928000 | PA      | $15252901.35   | 0.03%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   18685000 | PA      | $18997725.80   | 0.03%             | 2028-03-27      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                        | Mariner Finance Issuance Trust, Series 2021-BA, Class D                                                                  | CUSIP: 56847JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11935000 | PA      | $11456300.28   | 0.02%             | 2036-11-20      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Mars, Inc.                                                            | Mars, Inc.                                                                                                               | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   28555000 | PA      | $29579100.52   | 0.05%             | 2032-03-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                              | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AJ3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |    7790000 | PA      | $7281091.14    | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                              | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AR5<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |    5518000 | PA      | $5625540.85    | 0.01%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                              | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AS3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   17842000 | PA      | $18574144.15   | 0.03%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |   10095000 | PA      | $11175273.02   | 0.02%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599BM7<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $2711819.54    | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    3665000 | PA      | $3322799.46    | 0.01%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                                            | Massachusetts Electric Co.                                                                                               | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |    4957000 | PA      | $3981658.40    | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                 | MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A2                                                          | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99976 | PA      | $90833.60      | 0.00%             | 2034-04-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                                         | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     257429 | PA      | $254095.35     | 0.00%             | 2034-04-21      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                 | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1                                                         | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46571 | PA      | $45920.74      | 0.00%             | 2034-12-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                                                   | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58545 | PA      | $56222.50      | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-3, Class 2A1                                                                   | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101162 | PA      | $104528.04     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-3, Class 3A1                                                                   | CUSIP: 576434NW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559727 | PA      | $575286.99     | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                                                   | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66518 | PA      | $66128.04      | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-6, Class 30                                                                    | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110284 | PA      | $88380.16      | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-7, Class 30                                                                    | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57840 | PA      | $41317.70      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                                                                   | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        271 | PA      | $270.10        | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2005-6, Class 3A1                                                                   | CUSIP: 576434W59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55265 | PA      | $48585.54      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                          | MASTR Resecuritization Trust, Series 2005-PO, Class 3                                                                    | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56798 | PA      | $43057.99      | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-4, Class 1A6                                                               | CUSIP: 57643MAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114802 | PA      | $114021.76     | 0.00%             | 2033-12-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-P7, Class A6                                                               | CUSIP: 57643MCH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52473 | PA      | $44507.47      | 0.00%             | 2033-12-27      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-6, Class 15                                                                | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        320 | PA      | $318.09        | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR Reperforming Loan Trust                                         | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                                                 | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4776209 | PA      | $2235301.10    | 0.00%             | 2035-05-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                         | MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1                                                                  | CUSIP: 57645LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468243 | PA      | $389661.79     | 0.00%             | 2036-05-25      | Variable      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| Mayo Clinic                                                           | Mayo Clinic, Series 2016                                                                                                 | CUSIP: 578454AD2<br>LEI: 5493001OHMD58DCY4635 | Long             | DBT              | CORP              | US        |    2975000 | PA      | $2508565.99    | 0.00%             | 2052-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                      | McDonald's Corp.                                                                                                         | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    3210000 | PA      | $2808873.01    | 0.01%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Mead Johnson Nutrition Co.                                            | Mead Johnson Nutrition Co.                                                                                               | CUSIP: 582839AG1<br>LEI: E4BJRFT3MF4GJDY1SC50 | Long             | DBT              | CORP              | US        |     955000 | PA      | $868464.83     | 0.00%             | 2044-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MedStar Health, Inc.                                                  | MedStar Health, Inc., Series 20A                                                                                         | CUSIP: 58506YAS1<br>LEI: 549300ICFOCGDEPVJE31 | Long             | DBT              | CORP              | US        |    7365000 | PA      | $5490470.07    | 0.01%             | 2049-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                      | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1                                                             | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221575 | PA      | $218689.23     | 0.00%             | 2030-06-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                      | MRFC Mortgage Pass-Through Trust, Series 2000-TBC3, Class A1                                                             | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52627 | PA      | $51745.85      | 0.00%             | 2030-12-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Memorial Health Services                                              | Memorial Health Services                                                                                                 | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |   25595000 | PA      | $19166137.99   | 0.04%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Memorial Sloan-Kettering Cancer Center                                | Memorial Sloan-Kettering Cancer Center, Series 2015                                                                      | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |    3335000 | PA      | $2800280.41    | 0.01%             | 2055-07-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                                           | Merchants Fleet Funding LLC, Series 2023-1A, Class A                                                                     | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    9997398 | PA      | $10029869.04   | 0.02%             | 2036-05-20      | Fixed         | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                                           | Merchants Fleet Funding LLC, Series 2025-1A, Class A                                                                     | CUSIP: 588926AL9<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   32295000 | PA      | $32561068.82   | 0.06%             | 2039-01-20      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   13120000 | PA      | $10683017.86   | 0.02%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    7065000 | PA      | $4449323.57    | 0.01%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   14550000 | PA      | $8629248.82    | 0.02%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A                                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   61625000 | PA      | $61801364.59   | 0.11%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2025-1A, Class B                                                      | CUSIP: 58940BBG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21600000 | PA      | $21689596.80   | 0.04%             | 2031-12-22      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class A                                                      | CUSIP: 58940BBK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  106650000 | PA      | $107091594.99  | 0.20%             | 2032-02-20      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class B                                                      | CUSIP: 58940BBL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12520000 | PA      | $12568725.34   | 0.02%             | 2032-02-20      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                                                          | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68480 | PA      | $67537.74      | 0.00%             | 2028-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2003-A5, Class 2A6                                                        | CUSIP: 5899293T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63219 | PA      | $61822.03      | 0.00%             | 2033-08-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                                                          | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87628 | PA      | $82989.58      | 0.00%             | 2028-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1                                                          | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46193 | PA      | $43226.52      | 0.00%             | 2029-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-C, Class A2                                                          | CUSIP: 59020UDP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59319 | PA      | $59150.53      | 0.00%             | 2029-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A2                                                         | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139207 | PA      | $133128.29     | 0.00%             | 2034-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1                                                         | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143754 | PA      | $135147.06     | 0.00%             | 2034-12-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A1                                                         | CUSIP: 59020USH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     317564 | PA      | $288226.11     | 0.00%             | 2035-02-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                         | MetLife, Inc.                                                                                                            | CUSIP: 59156RBD9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    2027000 | PA      | $1722292.12    | 0.00%             | 2042-08-13      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Pennsylvania Electric Co.                                 | FirstEnergy Pennsylvania Electric Co.                                                                                    | CUSIP: 591894CE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2454398.33    | 0.00%             | 2028-04-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                                             | MFA Trust, Series 2024-RTL3, Class A1                                                                                    | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15610000 | PA      | $15702518.91   | 0.03%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Microsoft Corp.                                                       | Microsoft Corp.                                                                                                          | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1144055.37    | 0.00%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Micron Technology, Inc.                                               | Micron Technology, Inc.                                                                                                  | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   13521000 | PA      | $14200994.48   | 0.03%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                             | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $4886268.64    | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                         | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                                                   | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1798190 | PA      | $1810957.57    | 0.00%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                                | MidAmerican Energy Co.                                                                                                   | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   10500000 | PA      | $10939968.69   | 0.02%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Midcon Energy Asset Issuer LLC                                        | Midcon Energy Asset Issuer LLC                                                                                           | CUSIP: 595641AD3<br>LEI: 254900A8Q2V7V8S0V807 | Long             | ABS-O            | CORP              | US        |   30300000 | PA      | $30300000.00   | 0.06%             | 2051-02-27      | Variable      | 5.31%                 | No            |                  3 | On Loan: No      |
| MyMichigan Health                                                     | MyMichigan Health, Series 2020                                                                                           | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5410000 | PA      | $3898904.23    | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Mitsubishi HC Finance America LLC                                     | Mitsubishi HC Finance America LLC                                                                                        | CUSIP: 606790AB9<br>LEI: 3538008O2MCHLB9FAL82 | Long             | DBT              | CORP              | US        |   13025000 | PA      | $13536921.18   | 0.02%             | 2028-09-12      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   17660000 | PA      | $17497261.33   | 0.03%             | 2027-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   14590000 | PA      | $14389176.38   | 0.03%             | 2027-10-13      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   20600000 | PA      | $21371753.66   | 0.04%             | 2031-04-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   19000000 | PA      | $19461358.00   | 0.04%             | 2036-09-12      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   11274000 | PA      | $10810519.77   | 0.02%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   16739000 | PA      | $16639646.84   | 0.03%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YCR8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   26000000 | PA      | $27554833.28   | 0.05%             | 2031-05-27      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   15000000 | PA      | $16031496.90   | 0.03%             | 2034-07-06      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   30645000 | PA      | $31248267.66   | 0.06%             | 2031-07-08      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   41825000 | PA      | $43345819.32   | 0.08%             | 2036-07-08      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Monongahela Power Co.                                                 | Monongahela Power Co.                                                                                                    | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7920000 | PA      | $8528135.77    | 0.02%             | 2034-02-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1640000 | PA      | $1643739.54    | 0.00%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   17528000 | PA      | $17691812.83   | 0.03%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11200000 | PA      | $9916336.42    | 0.02%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   10600000 | PA      | $10029896.81   | 0.02%             | 2039-04-22      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                    | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                                                              | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425843 | PA      | $425280.82     | 0.00%             | 2034-04-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5806000 | PA      | $5728730.73    | 0.01%             | 2028-01-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   28395000 | PA      | $29419552.37   | 0.05%             | 2034-04-21      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9295000 | PA      | $9707964.12    | 0.02%             | 2034-07-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11146000 | PA      | $11667809.46   | 0.02%             | 2035-01-18      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4930000 | PA      | $5149126.91    | 0.01%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   16015000 | PA      | $16478540.56   | 0.03%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   21675000 | PA      | $22443383.95   | 0.04%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                    | Morgan Stanley Mortgage Loan Trust, Series 2004-9, Class 4A                                                              | CUSIP: 61748HGD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45204 | PA      | $43109.82      | 0.00%             | 2019-10-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley, Series I                                                                                                 | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   28385000 | PA      | $28451743.35   | 0.05%             | 2031-10-22      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley, Series I                                                                                                 | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   18980000 | PA      | $18882589.14   | 0.03%             | 2036-10-22      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61748UAT9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   31685000 | PA      | $31955089.59   | 0.06%             | 2037-01-30      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9350000 | PA      | $7395632.52    | 0.01%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M7                                               | CUSIP: 62548NAA6<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |   39271050 | PA      | $40361736.80   | 0.07%             | 2053-11-25      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                      | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7                                               | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |    7361161 | PA      | $7446566.66    | 0.01%             | 2054-07-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Mutual of Omaha Cos. Global Funding                                   | Mutual of Omaha Cos. Global Funding                                                                                      | CUSIP: 62829D2A7<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |   18500000 | PA      | $18631047.53   | 0.03%             | 2026-07-27      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                                            | Utah Acquisition Sub, Inc.                                                                                               | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    2504000 | PA      | $2501164.07    | 0.00%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                       | NGPL PipeCo LLC                                                                                                          | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    8486000 | PA      | $8545108.21    | 0.02%             | 2027-08-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                       | NGPL PipeCo LLC                                                                                                          | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    8283000 | PA      | $7768634.98    | 0.01%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   13055000 | PA      | $12648165.60   | 0.02%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    5289000 | PA      | $5345407.19    | 0.01%             | 2035-10-15      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                    | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                                                             | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     195451 | PA      | $172435.46     | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| NYU Langone Hospitals                                                 | NYU Langone Hospitals                                                                                                    | CUSIP: 62952EAC1<br>LEI: 254900A1087KNNZSNH72 | Long             | DBT              | CORP              | US        |    5994000 | PA      | $5658605.91    | 0.01%             | 2044-07-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   24465000 | PA      | $18774441.00   | 0.03%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   30981000 | PA      | $28374568.47   | 0.05%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4083440.00    | 0.01%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYU Langone Hospitals                                                 | NYU Langone Hospitals, Series 2020                                                                                       | CUSIP: 62954RAA4<br>LEI: 254900A1087KNNZSNH72 | Long             | DBT              | CORP              | US        |    9170000 | PA      | $6526351.54    | 0.01%             | 2055-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                          | Nasdaq, Inc.                                                                                                             | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    7712000 | PA      | $8127897.67    | 0.01%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| National Grid plc                                                     | National Grid plc                                                                                                        | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |   21700000 | PA      | $22678335.17   | 0.04%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    5527000 | PA      | $5510794.12    | 0.01%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7907430.75    | 0.01%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    9180000 | PA      | $9596553.52    | 0.02%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp.                    | National Rural Utilities Cooperative Finance Corp.                                                                       | CUSIP: 63743HFP2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |   11940000 | PA      | $12406270.01   | 0.02%             | 2031-02-07      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nationwide Children's Hospital, Inc.                                  | Nationwide Children's Hospital, Inc.                                                                                     | CUSIP: 63861UAA7<br>LEI: 549300P18KU1WR8JWZ05 | Long             | DBT              | CORP              | US        |    4136000 | PA      | $3683318.23    | 0.01%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                           | Nationwide Building Society                                                                                              | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   26080000 | PA      | $25874999.99   | 0.05%             | 2030-07-18      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                                           | Nationwide Building Society                                                                                              | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   22695000 | PA      | $23564940.88   | 0.04%             | 2036-07-14      | Variable      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Mutual Insurance Co.                                       | Nationwide Mutual Insurance Co.                                                                                          | CUSIP: 638671AC1<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $9243022.59    | 0.02%             | 2031-12-01      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    8560000 | PA      | $8560000.00    | 0.02%             | 2027-03-02      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    4480000 | PA      | $4667652.82    | 0.01%             | 2029-09-13      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   41515000 | PA      | $44158709.24   | 0.08%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                   | NatWest Markets plc                                                                                                      | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   20945000 | PA      | $21811294.42   | 0.04%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co., Series N                                                                                               | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |     700000 | PA      | $796189.39     | 0.00%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co.                                                                                                         | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    1287000 | PA      | $1304931.37    | 0.00%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co.                                                                                                         | CUSIP: 641423CA4<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    3354000 | PA      | $3421695.02    | 0.01%             | 2041-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                    | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                                             | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     548853 | PA      | $548848.10     | 0.00%             | 2033-11-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| New England Power Co.                                                 | New England Power Co.                                                                                                    | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |    3024000 | PA      | $2362958.80    | 0.00%             | 2047-12-05      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                                                          | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   11960000 | PA      | $11989750.50   | 0.02%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                                          | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   46200000 | PA      | $46749678.36   | 0.09%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| New York Life Insurance Co.                                           | New York Life Insurance Co.                                                                                              | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   11250000 | PA      | $8927445.15    | 0.02%             | 2069-05-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| New York Life Insurance Co.                                           | New York Life Insurance Co.                                                                                              | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    9600000 | PA      | $7248721.54    | 0.01%             | 2050-05-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| New York State Electric & Gas Corp.                                   | New York State Electric & Gas Corp.                                                                                      | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |    2326000 | PA      | $2310446.25    | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| New York State Dormitory Authority                                    | New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series 2010D                             | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    2240000 | PA      | $2340634.24    | 0.00%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Newmont Corp.                                                         | Newmont Corp.                                                                                                            | CUSIP: 65163LAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4606000 | PA      | $4484531.12    | 0.01%             | 2030-05-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                                        | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12881659 | PA      | $12701632.41   | 0.02%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2239000 | PA      | $2230088.49    | 0.00%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KCQ1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   11030000 | PA      | $10294095.17   | 0.02%             | 2053-02-28      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   45000000 | PA      | $43661280.60   | 0.08%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Nexgen, Inc.                                                          | Nexgen, Inc.                                                                                                             | CUSIP: 65346DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26338340 | PA      | $26305417.08   | 0.05%             | 2033-11-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Nexgen, Inc.                                                          | Nexgen, Inc.                                                                                                             | CUSIP: 65346DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3907231 | PA      | $3902346.96    | 0.01%             | 2033-11-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Niagara Mohawk Power Corp.                                            | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    3735000 | PA      | $3813714.53    | 0.01%             | 2055-07-03      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                            | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAU0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    8540000 | PA      | $8379587.71    | 0.02%             | 2054-01-17      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                                        | NiSource, Inc.                                                                                                           | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    6726000 | PA      | $6857319.70    | 0.01%             | 2042-02-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                 | Nomura Holdings, Inc.                                                                                                    | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   12180000 | PA      | $11391674.47   | 0.02%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                  | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1                                           | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11247 | PA      | $11339.23      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                  | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2                                           | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27756 | PA      | $28478.98      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                  | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5                                           | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65654 | PA      | $66462.27      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    2888000 | PA      | $2444149.78    | 0.00%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    5192000 | PA      | $4089074.86    | 0.01%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Northern Natural Gas Co.                                              | Northern Natural Gas Co.                                                                                                 | CUSIP: 665501AN2<br>LEI: 5493007M02M6CT9EXE41 | Long             | DBT              | CORP              | US        |    4550000 | PA      | $4487462.21    | 0.01%             | 2054-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Northern States Power Co.                                             | Northern States Power Co.                                                                                                | CUSIP: 665772CX5<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   15470000 | PA      | $14525920.35   | 0.03%             | 2053-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp.                                                  | Northern Trust Corp.                                                                                                     | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |    2762000 | PA      | $2734281.84    | 0.01%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                                | Northrop Grumman Corp.                                                                                                   | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13154541.79   | 0.02%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                      | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class A                                                 | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19781322 | PA      | $19830021.83   | 0.04%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                      | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class A                                                 | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41825000 | PA      | $42199772.91   | 0.08%             | 2032-12-15      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                      | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class B                                                 | CUSIP: 66981PAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6990000 | PA      | $7052777.19    | 0.01%             | 2032-12-15      | Fixed         | 6.22%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2023-SFR1, Class D                                                                                    | CUSIP: 66981XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22082000 | PA      | $21636908.58   | 0.04%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR3, Class D                                                                                    | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22000000 | PA      | $21687714.40   | 0.04%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    6522000 | PA      | $6138292.54    | 0.01%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAS7<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    4729000 | PA      | $4565898.40    | 0.01%             | 2045-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    4150000 | PA      | $3799325.17    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| nVent Finance SARL                                                    | nVent Finance SARL                                                                                                       | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |    6750000 | PA      | $6800312.61    | 0.01%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| OGE Energy Corp.                                                      | OGE Energy Corp.                                                                                                         | CUSIP: 670837AD5<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    7110000 | PA      | $7407252.46    | 0.01%             | 2029-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                             | O'Reilly Automotive, Inc.                                                                                                | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    4715000 | PA      | $4692106.55    | 0.01%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                            | Occidental Petroleum Corp.                                                                                               | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    6860000 | PA      | $6030488.80    | 0.01%             | 2039-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2023-1A, Class C                                                                        | CUSIP: 67571BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3400000 | PA      | $3442311.30    | 0.01%             | 2029-09-20      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2023-1A, Class D                                                                        | CUSIP: 67571BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10792000 | PA      | $11177270.08   | 0.02%             | 2030-03-20      | Fixed         | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2023-3A, Class C                                                                        | CUSIP: 67571CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3539000 | PA      | $3618954.50    | 0.01%             | 2029-08-20      | Fixed         | 6.74%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2022-1A, Class C                                                                        | CUSIP: 67571EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2967191 | PA      | $2972545.44    | 0.01%             | 2028-08-21      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2022-1A, Class D                                                                        | CUSIP: 67571EAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4235000 | PA      | $4263003.09    | 0.01%             | 2029-02-20      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                           | Ocwen Loan Investment Trust, Series 2024-HB1, Class A                                                                    | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3905967 | PA      | $3855600.67    | 0.01%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Ohio Edison Co.                                                       | Ohio Edison Co.                                                                                                          | CUSIP: 677347CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     780000 | PA      | $901984.82     | 0.00%             | 2036-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Ohio State University (The)                                           | Ohio State University (The), General Receipts, Series 2011A                                                              | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |    9576000 | PA      | $8308596.29    | 0.02%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Ohio University                                                       | Ohio University, General Receipts, Federally Taxable                                                                     | CUSIP: 677704A65<br>LEI: 549300P1K3IH2L5SFY61 | Long             | DBT              | MUN               | US        |    5822000 | PA      | $5631490.77    | 0.01%             | 2114-12-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                | Oklahoma Development Finance Authority, Natural Gas Co., Series 2022                                                     | CUSIP: 6789084E1<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |   11680000 | PA      | $11134805.63   | 0.02%             | 2052-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                | Oklahoma Development Finance Authority, Public Service Co., Series 2022                                                  | CUSIP: 6789084G6<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |   27500000 | PA      | $27420384.75   | 0.05%             | 2044-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                       | Oncor Electric Delivery Co. LLC                                                                                          | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1076000 | PA      | $1129148.92    | 0.00%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                       | Oncor Electric Delivery Co. LLC                                                                                          | CUSIP: 68233JCM4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   19830000 | PA      | $18103410.03   | 0.03%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                           | ONEOK, Inc.                                                                                                              | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   12960000 | PA      | $13146003.48   | 0.02%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                           | ONEOK, Inc.                                                                                                              | CUSIP: 682680DB6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   16771000 | PA      | $17062544.21   | 0.03%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                     | ONEOK Partners LP                                                                                                        | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    1825000 | PA      | $2028712.91    | 0.00%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Ontario Teachers' Cadillac Fairview Properties Trust                  | Ontario Teachers' Cadillac Fairview Properties Trust                                                                     | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    6562000 | PA      | $6558071.66    | 0.01%             | 2027-03-20      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2021-B, Class A                                                                           | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6037510 | PA      | $5934490.23    | 0.01%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2021-C, Class A                                                                           | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2248703 | PA      | $2213857.81    | 0.00%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2025-B, Class B                                                                           | CUSIP: 68378QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10450000 | PA      | $10511155.49   | 0.02%             | 2033-05-09      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2025-C, Class B                                                                           | CUSIP: 68378RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23150000 | PA      | $23207736.10   | 0.04%             | 2033-07-08      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1952000 | PA      | $1712938.50    | 0.00%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   15792000 | PA      | $11016544.21   | 0.02%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10434000 | PA      | $7884926.12    | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   53900000 | PA      | $33715916.08   | 0.06%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   19515000 | PA      | $14493979.60   | 0.03%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   18610000 | PA      | $12318983.11   | 0.02%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    9640000 | PA      | $9423988.52    | 0.02%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   19220000 | PA      | $18780347.11   | 0.03%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   13100000 | PA      | $11869454.25   | 0.02%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   21475000 | PA      | $21487027.93   | 0.04%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XEA9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6615000 | PA      | $6445996.87    | 0.01%             | 2046-02-04      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   31510000 | PA      | $30557143.59   | 0.06%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   15075000 | PA      | $14442050.95   | 0.03%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Orange SA                                                             | Orange SA                                                                                                                | CUSIP: 685218AE9<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |   53360000 | PA      | $53982243.23   | 0.10%             | 2033-01-13      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| PECO Energy Co.                                                       | PECO Energy Co.                                                                                                          | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    6430000 | PA      | $4096462.92    | 0.01%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-2                                                                           | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10550000 | PA      | $10461493.94   | 0.02%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-5                                                                           | CUSIP: 693342AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2170000 | PA      | $1954219.67    | 0.00%             | 2051-12-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-4                                                                           | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9600000 | PA      | $9538830.91    | 0.02%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-5                                                                           | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26355000 | PA      | $25244662.01   | 0.05%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                              | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   21370000 | PA      | $21849828.73   | 0.04%             | 2032-10-21      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                              | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   38175000 | PA      | $39579061.23   | 0.07%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                                          | PPL Electric Utilities Corp.                                                                                             | CUSIP: 69351UAW3<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6739807.80    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                                          | PPL Electric Utilities Corp.                                                                                             | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   14285000 | PA      | $13761534.32   | 0.03%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                              | PRPM LLC, Series 2024-RCF1, Class A1                                                                                     | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8032827 | PA      | $7980800.21    | 0.01%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                                            | PRET Trust, Series 2024-RPL2, Class A1                                                                                   | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17195844 | PA      | $16649490.31   | 0.03%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $4873630.02    | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2882000 | PA      | $2239840.02    | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   18688000 | PA      | $15129108.30   | 0.03%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5955000 | PA      | $5955000.00    | 0.01%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $3857193.15    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    7665000 | PA      | $7611268.81    | 0.01%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    7990000 | PA      | $8633717.71    | 0.02%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   28870000 | PA      | $30320435.73   | 0.06%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   33829000 | PA      | $36857886.96   | 0.07%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   21651000 | PA      | $22843588.18   | 0.04%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   18445000 | PA      | $17949758.57   | 0.03%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   35355000 | PA      | $37671077.77   | 0.07%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308LB1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    7660000 | PA      | $7565612.71    | 0.01%             | 2056-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pacific Life Insurance Co.                                            | Pacific Life Insurance Co.                                                                                               | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    3766000 | PA      | $3029225.03    | 0.01%             | 2067-10-24      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class A                                                            | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   48444000 | PA      | $47401029.75   | 0.09%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class B                                                            | CUSIP: 69547YAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22500000 | PA      | $21740708.25   | 0.04%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class C                                                            | CUSIP: 69547YAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $7638041.60    | 0.01%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                 | Pagaya AI Technology in Housing Trust, Series 2023-1, Class D                                                            | CUSIP: 69547YAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22177000 | PA      | $21015630.43   | 0.04%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Palomino Funding Trust I                                              | Palomino Funding Trust I                                                                                                 | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5285639.35    | 0.01%             | 2028-05-17      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Republic of Panama                                                    | Republic of Panama                                                                                                       | CUSIP: 698299CB8<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   23875000 | PA      | $23860476.84   | 0.04%             | 2034-02-23      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                                 | Parker-Hannifin Corp.                                                                                                    | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    3759000 | PA      | $3376486.68    | 0.01%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Pennsylvania Electric Co.                                 | FirstEnergy Pennsylvania Electric Co.                                                                                    | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1546636.31    | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Pepco Holdings LLC                                                    | Pepco Holdings LLC                                                                                                       | CUSIP: 713291AH5<br>LEI: 0IYTXJPU5BH89F2Z1F31 | Long             | DBT              | CORP              | US        |    3507000 | PA      | $4063656.57    | 0.01%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Pepperdine University                                                 | Pepperdine University, Series 2020                                                                                       | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    9620000 | PA      | $6282380.92    | 0.01%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                      | Republic of Peru                                                                                                         | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     737000 | PA      | $732858.06     | 0.00%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                   | Suncor Energy, Inc.                                                                                                      | CUSIP: 71644EAJ1<br>LEI: 894500XO86FKXQGPYV71 | Long             | DBT              | CORP              | CA        |    1997000 | PA      | $2260788.30    | 0.00%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                               | Pfizer Investment Enterprises Pte. Ltd.                                                                                  | CUSIP: 716973AH5<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   36640000 | PA      | $34385089.76   | 0.06%             | 2063-05-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PG&E Energy Recovery Funding LLC                                      | PG&E Energy Recovery Funding LLC, Series A-2                                                                             | CUSIP: 71710TAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9710000 | PA      | $8244115.38    | 0.02%             | 2036-01-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                             | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8670000 | PA      | $8894216.78    | 0.02%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                             | PG&E Recovery Funding LLC, Series A-2                                                                                    | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22380000 | PA      | $23058092.29   | 0.04%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                             | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26600000 | PA      | $27503767.19   | 0.05%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4508930.75    | 0.01%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2097457.59    | 0.00%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6195000 | PA      | $5632442.95    | 0.01%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                        | Piedmont Natural Gas Co., Inc.                                                                                           | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1676957.64    | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                        | Piedmont Natural Gas Co., Inc.                                                                                           | CUSIP: 720186AP0<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    7979000 | PA      | $7304506.17    | 0.01%             | 2052-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Pine Street Trust III                                                 | Pine Street Trust III                                                                                                    | CUSIP: 72284KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21750000 | PA      | $22148871.51   | 0.04%             | 2054-05-15      | Fixed         | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                         | Pioneer Natural Resources Co.                                                                                            | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   18050000 | PA      | $16553546.16   | 0.03%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Piper Abs Issuer I LLC                                                | Piper ABS Issuer LLC                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   16500000 | PA      | $16500000.00   | 0.03%             | 2046-01-15      | Fixed         | 6.05%                 | No            |                  3 | On Loan: No      |
| Republic of Poland                                                    | Republic of Poland                                                                                                       | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |   18163000 | PA      | $17775038.32   | 0.03%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 164                                                      | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   10965000 | PA      | $11950207.44   | 0.02%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 165                                                      | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    3780000 | PA      | $4119633.76    | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 174                                                      | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   17925000 | PA      | $15765206.00   | 0.03%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Potomac Electric Power Co.                                            | Potomac Electric Power Co.                                                                                               | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1342956.78    | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust                                               | PowerPay Issuance Trust, Series 2025-1A, Class A                                                                         | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14138169 | PA      | $14278254.54   | 0.03%             | 2041-11-18      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Presidio Finance LLC                                                  | Presidio Finance LLC, Series 2023-1, Class A1                                                                            | CUSIP: 741011AA8<br>LEI: 549300SWS6E75B2IYH47 | Long             | ABS-O            | CORP              | US        |   12498040 | PA      | $12762998.15   | 0.02%             | 2038-12-25      | Fixed         | 7.81%                 | Yes           |                  3 | On Loan: No      |
| Prestige Auto Receivables Trust                                       | Prestige Auto Receivables Trust, Series 2022-1A, Class C                                                                 | CUSIP: 74113RAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     460318 | PA      | $460899.66     | 0.00%             | 2028-08-15      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                  | Prime Mortgage Trust, Series 2004-CL1, Class 1A1                                                                         | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104330 | PA      | $105446.59     | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRM7 Trust                                                            | PRM7 Trust, Series 2025-PRM7, Class A                                                                                    | CUSIP: 74290HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26545000 | PA      | $26486813.36   | 0.05%             | 2042-11-10      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                                            | PRM7 Trust, Series 2025-PRM7, Class B                                                                                    | CUSIP: 74290HAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6865000 | PA      | $6863426.54    | 0.01%             | 2042-11-10      | Variable      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR2, Class B                                                                    | CUSIP: 74290XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14285000 | PA      | $13834741.09   | 0.03%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Energy, Inc.                                                 | Progress Energy, Inc.                                                                                                    | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2939941.99    | 0.01%             | 2031-10-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR3, Class E1                                                                   | CUSIP: 74331UAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50390000 | PA      | $50314823.16   | 0.09%             | 2039-04-17      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR5, Class C                                                                    | CUSIP: 74332HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15640000 | PA      | $14948716.69   | 0.03%             | 2029-08-09      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR5, Class D                                                                    | CUSIP: 74332HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17333000 | PA      | $16444581.49   | 0.03%             | 2029-08-09      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR2, Class E1                                                                   | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   55300000 | PA      | $54812309.30   | 0.10%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR8, Class A                                                                    | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7396628 | PA      | $7288657.56    | 0.01%             | 2038-10-17      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR8, Class E1                                                                   | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   47000000 | PA      | $46339819.20   | 0.09%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR11, Class D                                                                   | CUSIP: 74333XAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11560000 | PA      | $11065103.68   | 0.02%             | 2039-01-17      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR11, Class E1                                                                  | CUSIP: 74333XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23735000 | PA      | $22797092.49   | 0.04%             | 2039-01-17      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR1, Class C                                                                    | CUSIP: 74333YAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14649000 | PA      | $14203206.03   | 0.03%             | 2041-02-17      | Fixed         | 3.46%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR1, Class D                                                                    | CUSIP: 74333YAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21816000 | PA      | $21142027.40   | 0.04%             | 2041-02-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2024-SFR4, Class C                                                                    | CUSIP: 74334JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6712000 | PA      | $6432280.08    | 0.01%             | 2041-07-17      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Prologis LP                                                           | Prologis LP                                                                                                              | CUSIP: 74340XBM2<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    3830000 | PA      | $3586962.14    | 0.01%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                           | Prologis LP                                                                                                              | CUSIP: 74340XCE9<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5107601.80    | 0.01%             | 2033-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                                            | Prudential Financial, Inc.                                                                                               | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    9236000 | PA      | $7117965.01    | 0.01%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Prudential Funding Asia plc                                           | Prudential Funding Asia plc                                                                                              | CUSIP: 744330AA9<br>LEI: 2549005TNASWKLR0XC37 | Long             | DBT              | CORP              | GB        |   16987000 | PA      | $16385490.33   | 0.03%             | 2030-04-14      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                        | Public Service Co. of Colorado                                                                                           | CUSIP: 744448CM1<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    1175000 | PA      | $878337.03     | 0.00%             | 2046-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                        | Public Service Co. of Colorado                                                                                           | CUSIP: 744448CY5<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |   10460000 | PA      | $9846240.36    | 0.02%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma, Series G                                                                                 | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    3901000 | PA      | $4434263.03    | 0.01%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma, Series K                                                                                 | CUSIP: 744533BP4<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   12330000 | PA      | $8263210.90    | 0.02%             | 2051-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma                                                                                           | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    6680000 | PA      | $6919076.47    | 0.01%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma                                                                                           | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    6205000 | PA      | $6337056.98    | 0.01%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                   | Public Service Electric and Gas Co.                                                                                      | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    1021000 | PA      | $1046421.00    | 0.00%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                                 | Public Service Enterprise Group, Inc.                                                                                    | CUSIP: 744573AQ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   15540000 | PA      | $13939277.13   | 0.03%             | 2030-08-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                                 | Public Service Enterprise Group, Inc.                                                                                    | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $8047995.11    | 0.01%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                                    | Puget Energy, Inc.                                                                                                       | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    6522000 | PA      | $6285268.16    | 0.01%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                                    | Puget Energy, Inc.                                                                                                       | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   11300000 | PA      | $11691776.09   | 0.02%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Puget Sound Energy, Inc.                                              | Puget Sound Energy, Inc.                                                                                                 | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |   10070000 | PA      | $9855424.92    | 0.02%             | 2053-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                               | Purewest ABS Issuer LLC, Series 2025-1, Class A1                                                                         | CUSIP: 74628AAA2<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |   26463132 | PA      | $26892681.86   | 0.05%             | 2040-04-05      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                               | Purewest ABS Issuer LLC, Series 2025-1, Class A2                                                                         | CUSIP: 74628AAB0<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |   95062325 | PA      | $97476908.55   | 0.18%             | 2040-04-05      | Fixed         | 6.53%                 | Yes           |                  3 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   17240000 | PA      | $15410099.85   | 0.03%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    3330000 | PA      | $2529850.75    | 0.00%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   26000000 | PA      | $26475860.58   | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Queen's Health Systems (The)                                          | Queen's Health Systems (The)                                                                                             | CUSIP: 74825QAB6<br>LEI: 5493002Y81US5EEDOV69 | Long             | DBT              | CORP              | US        |   18840000 | PA      | $17284513.83   | 0.03%             | 2052-07-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                               | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    1684000 | PA      | $1681854.21    | 0.00%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                               | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LBD1<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |   11460000 | PA      | $12812624.95   | 0.02%             | 2033-11-30      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2007-QS1, Class 1A1                                                                                   | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57535 | PA      | $46681.93      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                            | ROCK Trust, Series 2024-CNTR, Class A                                                                                    | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33500000 | PA      | $34671046.10   | 0.06%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                            | ROCK Trust, Series 2024-CNTR, Class B                                                                                    | CUSIP: 74970WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45950000 | PA      | $47816199.52   | 0.09%             | 2041-11-13      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   12800000 | PA      | $12761889.66   | 0.02%             | 2028-04-06      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   21400000 | PA      | $22761143.36   | 0.04%             | 2033-01-21      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDV3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   25880000 | PA      | $26666208.26   | 0.05%             | 2031-05-27      | Variable      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                              | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                                                     | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39489000 | PA      | $39976302.16   | 0.07%             | 2029-09-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Raisa Funding I LLC                                                   | Raisa Funding LLC                                                                                                        | CUSIP: 75102YAA2<br>LEI: 549300MYI60JNGZB7107 | Long             | ABS-O            | CORP              | US        |    8584214 | PA      | $8761048.98    | 0.02%             | 2038-06-15      | Fixed         | 7.60%                 | No            |                  3 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    4020000 | PA      | $3471771.74    | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6389421.10    | 0.01%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3840000 | PA      | $2553134.36    | 0.00%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   11955000 | PA      | $12511017.25   | 0.02%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECX7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    5495000 | PA      | $6140466.88    | 0.01%             | 2054-03-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust                            | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A                                                       | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1117811 | PA      | $1117029.43    | 0.00%             | 2044-12-27      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Realty Income Corp.                                                   | Realty Income Corp.                                                                                                      | CUSIP: 756109AS3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    2243000 | PA      | $2227386.57    | 0.00%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                    | Regency Centers LP                                                                                                       | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    1755000 | PA      | $1763625.09    | 0.00%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                    | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2                                                             | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      95711 | PA      | $22661.53      | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Renew                                                                 | Renew, Series 2017-1A, Class A                                                                                           | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2447411 | PA      | $2326543.24    | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                                 | Renew, Series 2024-1A, Class A                                                                                           | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13957027 | PA      | $14290784.44   | 0.03%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                                 | Renew, Series 2024-2A, Class A                                                                                           | CUSIP: 75975DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11970688 | PA      | $11703020.28   | 0.02%             | 2060-11-20      | Fixed         | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                       | Republic Finance Issuance Trust, Series 2024-B, Class A                                                                  | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20275000 | PA      | $20708313.25   | 0.04%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2005-QA6, Class A32                                                                                   | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     596511 | PA      | $304255.50     | 0.00%             | 2035-05-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                                              | Resolution Funding Corp. STRIPS                                                                                          | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   30700000 | PA      | $26708480.56   | 0.05%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                                              | Resolution Funding Corp. STRIPS                                                                                          | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   26456000 | PA      | $22794086.15   | 0.04%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RFT TRUST                                                             | RFT TRUST, Series 2024-2, Class A1                                                                                       | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  116769255 | PA      | $116802650.54  | 0.21%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776696AH9<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    9385000 | PA      | $9468205.44    | 0.02%             | 2032-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   24270000 | PA      | $24123611.85   | 0.04%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   11867000 | PA      | $11874462.33   | 0.02%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   29653000 | PA      | $30190605.63   | 0.06%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   25946000 | PA      | $26164196.00   | 0.05%             | 2030-05-08      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   14835000 | PA      | $15223318.29   | 0.03%             | 2030-01-27      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                  | Royal Bank of Canada                                                                                                     | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   34180000 | PA      | $34868170.89   | 0.06%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                                         | RWC Commercial Mortgage Trust, Series 2025-1, Class A                                                                    | CUSIP: 78348LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10792140 | PA      | $10864275.07   | 0.02%             | 2040-06-25      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2024-1A, Class A3                                                                      | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21850000 | PA      | $22304779.35   | 0.04%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2024-1A, Class B                                                                       | CUSIP: 783896AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6540000 | PA      | $6798817.23    | 0.01%             | 2032-04-20      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                       | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class A3                                                               | CUSIP: 78397EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19427333 | PA      | $16900787.33   | 0.03%             | 2053-02-13      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2023-1A, Class A3                                                                      | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   28374562 | PA      | $28583776.42   | 0.05%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2023-1A, Class B                                                                       | CUSIP: 784024AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24700000 | PA      | $25331262.84   | 0.05%             | 2032-05-20      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-2                                                                                     | CUSIP: 78433LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9380000 | PA      | $7427440.06    | 0.01%             | 2038-05-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-3                                                                                     | CUSIP: 78433LAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7950000 | PA      | $5548819.84    | 0.01%             | 2043-11-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-1                                                                                     | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15903429 | PA      | $16027779.24   | 0.03%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-2                                                                                     | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6495000 | PA      | $6381996.55    | 0.01%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC                                                                                                 | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   19235000 | PA      | $19753752.75   | 0.04%             | 2045-03-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                             | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class A3                                                      | CUSIP: 78435VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6298959 | PA      | $6332954.07    | 0.01%             | 2029-05-21      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                             | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class C                                                       | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     615000 | PA      | $634607.80     | 0.00%             | 2032-01-20      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                      | SLG Office Trust, Series 2021-OVA, Class A                                                                               | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   67015000 | PA      | $61110583.11   | 0.11%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| SRT Issuer II LLC                                                     | SRT Issuer LLC                                                                                                           | CUSIP: 78475DAE3<br>LEI: 2549005TCDBHPK8XA750 | Long             | ABS-O            | CORP              | US        |   95000000 | PA      | $95041579.60   | 0.17%             | 2031-12-07      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| SRT Issuer I LLC                                                      | SRT Issuer I LLC                                                                                                         | CUSIP: 78475KAC1<br>LEI: 2549007PUYUQCDX9UC96 | Long             | ABS-O            | CORP              | US        |   95000000 | PA      | $94881250.00   | 0.17%             | 2031-07-07      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Safehold GL Holdings LLC                                              | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    3991000 | PA      | $3682081.59    | 0.01%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                              | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    2972000 | PA      | $2716505.48    | 0.00%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.                | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class 1                                         | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       1034 | PA      | $1028.71       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.                | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A                                        | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |      87425 | PA      | $84494.08      | 0.00%             | 2033-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co., Series FFF                                                                                 | CUSIP: 797440BJ2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     973000 | PA      | $1075881.83    | 0.00%             | 2037-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440BP8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    2690000 | PA      | $2269549.69    | 0.00%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   17150000 | PA      | $11233481.35   | 0.02%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2853790.65    | 0.01%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   14830000 | PA      | $14727118.80   | 0.03%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   45000000 | PA      | $46949113.80   | 0.09%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   20755000 | PA      | $21157508.56   | 0.04%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   34925000 | PA      | $36669718.89   | 0.07%             | 2031-04-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAY1<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   24590000 | PA      | $24634070.20   | 0.05%             | 2036-09-22      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                          | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   29735000 | PA      | $31053054.72   | 0.06%             | 2030-01-09      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                          | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $15078750.82   | 0.03%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-4, Class C                                                           | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11493077 | PA      | $11549500.13   | 0.02%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-7, Class C                                                           | CUSIP: 80287FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12992732 | PA      | $13228578.66   | 0.02%             | 2031-03-17      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                                                           | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   95700000 | PA      | $96528915.12   | 0.18%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2023-2, Class B                                                           | CUSIP: 80287JAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6217685 | PA      | $6224302.67    | 0.01%             | 2028-05-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2023-2, Class C                                                           | CUSIP: 80287JAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20100000 | PA      | $20403202.47   | 0.04%             | 2030-12-16      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-3, Class D                                                           | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5230000 | PA      | $5399286.21    | 0.01%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                                                           | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   67185000 | PA      | $67949135.32   | 0.12%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-4, Class D                                                           | CUSIP: 802919AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24035000 | PA      | $24537353.13   | 0.05%             | 2031-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2024-5, Class D                                                           | CUSIP: 802920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12380000 | PA      | $12566607.45   | 0.02%             | 2032-02-17      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                               | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAW9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4399000 | PA      | $2872547.00    | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                        | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                                               | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     327698 | PA      | $286949.71     | 0.00%             | 2036-01-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-8, Class A1                                                                          | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     263678 | PA      | $234388.47     | 0.00%             | 2034-09-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-8, Class A2                                                                          | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226953 | PA      | $216825.07     | 0.00%             | 2034-09-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-10, Class A1A                                                                        | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104098 | PA      | $99963.81      | 0.00%             | 2034-11-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-11, Class A1                                                                         | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     118967 | PA      | $110765.55     | 0.00%             | 2034-12-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-12, Class A3                                                                         | CUSIP: 81744FGA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166043 | PA      | $165532.70     | 0.00%             | 2035-01-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                                        | Shell International Finance BV                                                                                           | CUSIP: 822582CK6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    3612000 | PA      | $2721682.20    | 0.00%             | 2041-11-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Shell Finance US, Inc.                                                | Shell Finance US, Inc.                                                                                                   | CUSIP: 822905AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2169000 | PA      | $2161468.04    | 0.00%             | 2041-10-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAF0<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    3421000 | PA      | $3088975.12    | 0.01%             | 2045-05-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAM5<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    3050000 | PA      | $2301979.60    | 0.00%             | 2046-09-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Sierra Pacific Power Co.                                              | Sierra Pacific Power Co.                                                                                                 | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |   20270000 | PA      | $20660477.02   | 0.04%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class B                                                        | CUSIP: 82650BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4813146 | PA      | $4962387.04    | 0.01%             | 2040-04-20      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2025-3A, Class B                                                        | CUSIP: 82650FAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2070294 | PA      | $2084659.91    | 0.00%             | 2044-08-22      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2022-1A, Class C                                                        | CUSIP: 82652TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     989347 | PA      | $982120.43     | 0.00%             | 2038-10-20      | Fixed         | 3.94%                 | Yes           |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                           | Sigeco Securitization I LLC, Series A1                                                                                   | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14225516 | PA      | $14660097.05   | 0.03%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                           | Sigeco Securitization I LLC, Series A2                                                                                   | CUSIP: 82655KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6960000 | PA      | $7069544.14    | 0.01%             | 2041-05-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class B                                                        | CUSIP: 826943AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3760362 | PA      | $3833067.41    | 0.01%             | 2040-01-20      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C                                                        | CUSIP: 826943AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2062134 | PA      | $2121641.20    | 0.00%             | 2040-01-20      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Simon Property Group LP                                               | Simon Property Group LP                                                                                                  | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   12865000 | PA      | $9046570.10    | 0.02%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                             | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7075608.05    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                             | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    8260000 | PA      | $8445878.00    | 0.02%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                      | Skandinaviska Enskilda Banken AB                                                                                         | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   15500000 | PA      | $15699625.28   | 0.03%             | 2030-09-03      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                                        | Smurfit Westrock Financing DAC                                                                                           | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    5760000 | PA      | $5978123.65    | 0.01%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    6844000 | PA      | $6518327.23    | 0.01%             | 2030-01-22      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    7650000 | PA      | $7602656.29    | 0.01%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   31110000 | PA      | $28575904.77   | 0.05%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   11289000 | PA      | $11743453.03   | 0.02%             | 2029-01-10      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   21602000 | PA      | $23721729.52   | 0.04%             | 2034-01-10      | Variable      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   16372000 | PA      | $17465275.34   | 0.03%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   25708000 | PA      | $25993725.65   | 0.05%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   36630000 | PA      | $39088027.94   | 0.07%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   43352000 | PA      | $45124125.72   | 0.08%             | 2031-05-22      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RCK6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   30570000 | PA      | $30981260.66   | 0.06%             | 2036-10-03      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Solventum Corp.                                                       | Solventum Corp.                                                                                                          | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   37387000 | PA      | $39089807.37   | 0.07%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400ES8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     895000 | PA      | $954893.90     | 0.00%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400FL2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $2298848.88    | 0.00%             | 2039-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400FT5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3408000 | PA      | $2764267.41    | 0.01%             | 2041-12-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series B                                                                                 | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4271632.69    | 0.01%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series C                                                                                 | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1408803.79    | 0.00%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series 20A                                                                               | CUSIP: 842400GY3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $1881355.62    | 0.00%             | 2051-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    5545000 | PA      | $5280770.21    | 0.01%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   25400000 | PA      | $24955105.28   | 0.05%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   14150000 | PA      | $14384747.93   | 0.03%             | 2034-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12993100.92   | 0.02%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   12515000 | PA      | $12333795.06   | 0.02%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                           | Southern California Gas Co., Series XX                                                                                   | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    7148000 | PA      | $6785614.06    | 0.01%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                    | Southern Co. (The)                                                                                                       | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    2370000 | PA      | $2454718.68    | 0.00%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                    | Southern Co. (The)                                                                                                       | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   28704000 | PA      | $30530913.44   | 0.06%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    2136000 | PA      | $1701646.11    | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAC2<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    2274000 | PA      | $1940266.85    | 0.00%             | 2047-05-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   12830000 | PA      | $13699150.00   | 0.03%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp., Series B                                                                                 | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7638496.80    | 0.01%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Southern Power Co.                                                    | Southern Power Co.                                                                                                       | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    7079000 | PA      | $6923829.03    | 0.01%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp.                                                   | Southwest Gas Corp.                                                                                                      | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |    3595000 | PA      | $2822126.73    | 0.01%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Southwestern Public Service Co.                                       | Southwestern Public Service Co.                                                                                          | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2434939.49    | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   15994000 | PA      | $16292100.97   | 0.03%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    7725000 | PA      | $7907543.76    | 0.01%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 85325C2L5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   12115000 | PA      | $12183692.05   | 0.02%             | 2037-01-13      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| State Street Corp.                                                    | State Street Corp.                                                                                                       | CUSIP: 857477CA9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    9010000 | PA      | $9197479.63    | 0.02%             | 2034-01-26      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                    | State Street Corp.                                                                                                       | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   13330000 | PA      | $13320944.00   | 0.02%             | 2036-10-23      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                                  | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    5270000 | PA      | $5085792.37    | 0.01%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                                  | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    3519000 | PA      | $2406605.88    | 0.00%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust                | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-AA, Class A3                                         | CUSIP: 858928AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14479000 | PA      | $14578858.77   | 0.03%             | 2028-07-20      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                            | Street Capital Group, Inc.                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   65940761 | PA      | $65940761.43   | 0.12%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Stream Innovations Issuer Trust                                       | Stream Innovations Issuer Trust, Series 2024-2A, Class A                                                                 | CUSIP: 86324EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5459233 | PA      | $5560677.08    | 0.01%             | 2045-02-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates           | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2                                   | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       5910 | PA      | $4993.18       | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates           | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A3                                   | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      98249 | PA      | $16086.10      | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates  | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 3A3                         | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43249 | PA      | $43043.69      | 0.00%             | 2033-11-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates  | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-37A, Class 2A                          | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285702 | PA      | $282001.05     | 0.00%             | 2033-12-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                     | Structured Asset Securities Corp., Series 2004-4XS, Class 1A5                                                            | CUSIP: 86359BHL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     624291 | PA      | $620873.77     | 0.00%             | 2034-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                     | Structured Asset Securities Corp., Series 2005-RF3, Class 1A                                                             | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     279532 | PA      | $241254.16     | 0.00%             | 2035-06-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                        | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                                               | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     223303 | PA      | $217632.75     | 0.00%             | 2034-10-19      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                        | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                                                | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     741048 | PA      | $718086.61     | 0.00%             | 2035-07-19      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MAK6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    2517000 | PA      | $2504031.66    | 0.00%             | 2026-10-19      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   25422000 | PA      | $24635181.98   | 0.05%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   23065000 | PA      | $24384160.00   | 0.04%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MDG2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   25582000 | PA      | $26672763.27   | 0.05%             | 2028-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   23100000 | PA      | $24108849.53   | 0.04%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                   | Suncor Energy, Inc.                                                                                                      | CUSIP: 867229AD8<br>LEI: 894500XO86FKXQGPYV71 | Long             | DBT              | CORP              | CA        |   11584000 | PA      | $12455682.79   | 0.02%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    7220000 | PA      | $7393667.64    | 0.01%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1716735.79    | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                         | Sutter Health                                                                                                            | CUSIP: 86944BAL7<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5125054.00    | 0.01%             | 2053-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Swiss Re Finance Luxembourg SA                                        | Swiss Re Finance Luxembourg SA                                                                                           | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    2600000 | PA      | $2626679.56    | 0.00%             | 2049-04-02      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Synopsys, Inc.                                                        | Synopsys, Inc.                                                                                                           | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   20850000 | PA      | $21352555.47   | 0.04%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                   | Synchrony Financial                                                                                                      | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    8500000 | PA      | $8821066.08    | 0.02%             | 2030-08-02      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| TCI Communications, Inc.                                              | TCI Communications, Inc.                                                                                                 | CUSIP: 872287AL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1199000 | PA      | $1272791.60    | 0.00%             | 2028-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   18000000 | PA      | $17971520.58   | 0.03%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   25095000 | PA      | $24902079.93   | 0.05%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2691675.00    | 0.00%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   16650000 | PA      | $11355021.61   | 0.02%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    9450000 | PA      | $9012880.89    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    1200000 | PA      | $1108056.08    | 0.00%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   12794000 | PA      | $9991020.11    | 0.02%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   16452000 | PA      | $11285474.13   | 0.02%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    7762000 | PA      | $7934648.23    | 0.01%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                   | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    3653000 | PA      | $3376560.47    | 0.01%             | 2044-09-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                   | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    5480000 | PA      | $4592592.91    | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   31814000 | PA      | $36261226.25   | 0.07%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591ED0<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     493000 | PA      | $549385.98     | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    4157000 | PA      | $3860277.50    | 0.01%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    2604000 | PA      | $2236149.79    | 0.00%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059ENP5<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    3119000 | PA      | $2874213.21    | 0.01%             | 2028-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059EU51<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    3500000 | PA      | $3175074.07    | 0.01%             | 2028-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FBM2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    2242000 | PA      | $1515977.98    | 0.00%             | 2035-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wolf ABS LLC                                                          | Wolf ABS LLC, Series 2022-1A, Class A1                                                                                   | CUSIP: 88089JAA5<br>LEI: 549300TL5VN5A8NJIT07 | Long             | ABS-O            | CORP              | US        |    8111502 | PA      | $8270292.84    | 0.02%             | 2042-12-22      | Fixed         | 8.15%                 | Yes           |                  3 | On Loan: No      |
| Wolf ABS LLC                                                          | Wolf ABS LLC, Series 2022-1A, Class A2                                                                                   | CUSIP: 88089JAB3<br>LEI: 549300TL5VN5A8NJIT07 | Long             | ABS-O            | CORP              | US        |   21961145 | PA      | $23026260.17   | 0.04%             | 2042-12-22      | Fixed         | 8.18%                 | Yes           |                  3 | On Loan: No      |
| Texas Health Resources                                                | Texas Health Resources                                                                                                   | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    4275000 | PA      | $3594063.51    | 0.01%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                                | Texas Health Resources                                                                                                   | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    6717000 | PA      | $3957119.58    | 0.01%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                        | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-1                               | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   11052458 | PA      | $11515986.91   | 0.02%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                        | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-2                               | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   20730000 | PA      | $21600500.38   | 0.04%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                        | Thermo Fisher Scientific, Inc.                                                                                           | CUSIP: 883556CM2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    6745000 | PA      | $5074524.73    | 0.01%             | 2041-10-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                        | Thermo Fisher Scientific, Inc.                                                                                           | CUSIP: 883556DH2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    8360000 | PA      | $8454967.09    | 0.02%             | 2033-06-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                   | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1                                                             | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     581980 | PA      | $584231.10     | 0.00%             | 2043-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                   | Thornburg Mortgage Securities Trust, Series 2004-4, Class 3A                                                             | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359698 | PA      | $358932.94     | 0.00%             | 2044-12-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                     | Time Warner Cable Enterprises LLC                                                                                        | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3041000 | PA      | $3555927.15    | 0.01%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2327000 | PA      | $2395439.72    | 0.00%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $2377587.62    | 0.00%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1794000 | PA      | $1837498.60    | 0.00%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   16175000 | PA      | $15172294.93   | 0.03%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    6940000 | PA      | $6207693.28    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Toledo Edison Co. (The)                                               | Toledo Edison Co. (The)                                                                                                  | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5800000 | PA      | $6402208.43    | 0.01%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                           | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   25100000 | PA      | $26419818.49   | 0.05%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   12800000 | PA      | $9393972.48    | 0.02%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   20230000 | PA      | $13856081.30   | 0.03%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   16000000 | PA      | $12346372.64   | 0.02%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2017-FRE2, Class M6                                                                    | CUSIP: 89175GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4515920 | PA      | $4478297.40    | 0.01%             | 2047-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                                                      | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   85269186 | PA      | $78558065.76   | 0.14%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                             | Towd Point Mortgage Trust, Series 2021-R1, Class A2C                                                                     | CUSIP: 89179TAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $8452970.00    | 0.02%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Trane Technologies Financing Ltd.                                     | Trane Technologies Financing Ltd.                                                                                        | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |   10410000 | PA      | $11006350.17   | 0.02%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Triad Holdings III LLC                                                | Triad Holdings III LLC                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  122700697 | PA      | $123927704.17  | 0.23%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Tricon Residential Trust                                              | Tricon Residential Trust, Series 2024-SFR4, Class D                                                                      | CUSIP: 895975AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10084138.00   | 0.02%             | 2041-11-17      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                                              | Tricon Residential Trust, Series 2023-SFR2, Class C                                                                      | CUSIP: 895978AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5835000 | PA      | $5846688.67    | 0.01%             | 2040-12-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes Trust                                           | Tricon American Homes Trust, Series 2019-SFR1, Class D                                                                   | CUSIP: 89612LAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4641000 | PA      | $4629864.85    | 0.01%             | 2038-03-17      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes Trust                                           | Tricon American Homes Trust, Series 2019-SFR1, Class E                                                                   | CUSIP: 89612LAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11000000 | PA      | $10973369.00   | 0.02%             | 2038-03-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                                              | Tricon Residential Trust, Series 2024-SFR2, Class A                                                                      | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25718563 | PA      | $25833015.85   | 0.05%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Trinity Health Corp.                                                  | Trinity Health Corp., Series 2019                                                                                        | CUSIP: 896517AA7<br>LEI: TWSRHFGEDJDX0GKMGJ67 | Long             | DBT              | CORP              | US        |   20450000 | PA      | $15759240.35   | 0.03%             | 2048-12-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   12630000 | PA      | $12954653.90   | 0.02%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   27075000 | PA      | $27210279.43   | 0.05%             | 2027-06-08      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAP7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10698477.30   | 0.02%             | 2034-06-08      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    5344000 | PA      | $5753039.81    | 0.01%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   10759000 | PA      | $11415768.09   | 0.02%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8256874.08    | 0.02%             | 2031-05-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   40260000 | PA      | $40202484.97   | 0.07%             | 2036-10-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| 20 Times Square Trust                                                 | 20 Times Square Trust, Series 2018-20TS, Class D                                                                         | CUSIP: 90137LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21000000 | PA      | $19687500.00   | 0.04%             | 2035-05-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| 20 Times Square Trust                                                 | 20 Times Square Trust, Series 2018-20TS, Class E                                                                         | CUSIP: 90137LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13399000 | PA      | $12327080.00   | 0.02%             | 2035-05-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                     | Tyson Foods, Inc.                                                                                                        | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |   10200000 | PA      | $10853482.38   | 0.02%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    8000000 | PA      | $8327864.72    | 0.02%             | 2036-05-09      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   37905000 | PA      | $38222807.65   | 0.07%             | 2033-11-06      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    3831000 | PA      | $3810609.77    | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAN0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    1354000 | PA      | $1343023.62    | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    4750000 | PA      | $4452935.90    | 0.01%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAS9<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    6440000 | PA      | $5651795.00    | 0.01%             | 2034-11-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    5520000 | PA      | $4803906.74    | 0.01%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UOG ABS Issuer I LLC                                                  | UOG ABS Issuer LLC, Series 2023-1, Class A1                                                                              | CUSIP: 90319TAA1<br>LEI: 254900YID84NR2CXVT21 | Long             | ABS-O            | CORP              | US        |   26655014 | PA      | $27739873.36   | 0.05%             | 2040-06-05      | Fixed         | 8.35%                 | Yes           |                  3 | On Loan: No      |
| UPG HI Issuer Trust                                                   | UPG HI Issuer Trust, Series 2025-2, Class A                                                                              | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29221443 | PA      | $29435443.03   | 0.05%             | 2047-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                               | Uber Technologies, Inc.                                                                                                  | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   13210000 | PA      | $13248295.92   | 0.02%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| US Auto Funding Trust                                                 | US Auto Funding Trust, Series 2022-1A, Class C                                                                           | CUSIP: 90355FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40434000 | PA      | $404.34        | 0.00%             | 2026-09-15      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| UMass Memorial Health Care Obligated Group                            | UMass Memorial Health Care Obligated Group                                                                               | CUSIP: 90407JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6070000 | PA      | $5836073.98    | 0.01%             | 2052-07-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                         | UniCredit SpA                                                                                                            | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   10885000 | PA      | $10825940.71   | 0.02%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1289428.27    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    6367000 | PA      | $4953109.53    | 0.01%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   11765000 | PA      | $11590961.88   | 0.02%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   13540000 | PA      | $14133916.26   | 0.03%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CZ3<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    8335000 | PA      | $7807354.49    | 0.01%             | 2055-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                   | Union Pacific Corp.                                                                                                      | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    1962000 | PA      | $1477175.44    | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                   | Union Pacific Corp.                                                                                                      | CUSIP: 907818FE3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4545322.98    | 0.01%             | 2059-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8704429 | PA      | $8580717.62    | 0.02%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10285703 | PA      | $10231657.33   | 0.02%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-1, Class A                                                               | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9311823 | PA      | $9137551.48    | 0.02%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class AA                                                              | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1599321 | PA      | $1566083.47    | 0.00%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class A                                                               | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15166040 | PA      | $14835172.98   | 0.03%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5032413 | PA      | $4847493.60    | 0.01%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class A                                                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15337181 | PA      | $14797726.52   | 0.03%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                                              | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1083985 | PA      | $1054055.26    | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5485951 | PA      | $5141276.17    | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-2, Class B                                                               | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4306244 | PA      | $4216807.93    | 0.01%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class B                                                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8511062 | PA      | $8510634.26    | 0.02%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2014-1, Class A                                                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3365208 | PA      | $3364086.34    | 0.01%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2014-2, Class A                                                               | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5939836 | PA      | $5927697.21    | 0.01%             | 2026-09-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2024-1, Class AA                                                              | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26370197 | PA      | $27575597.26   | 0.05%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    5118000 | PA      | $4346717.40    | 0.01%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3906000 | PA      | $3260728.80    | 0.01%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   15089000 | PA      | $12056111.00   | 0.02%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4228000 | PA      | $3247104.00    | 0.01%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1928000 | PA      | $1515022.40    | 0.00%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   20674000 | PA      | $18627274.00   | 0.03%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   11682000 | PA      | $7312932.00    | 0.01%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6211000 | PA      | $5437730.50    | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   14965000 | PA      | $11163890.00   | 0.02%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4796000 | PA      | $4651880.20    | 0.01%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    8056000 | PA      | $8267470.00    | 0.02%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   19624000 | PA      | $20644448.00   | 0.04%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   29236000 | PA      | $31662588.00   | 0.06%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   33567000 | PA      | $34909680.00   | 0.06%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   22624000 | PA      | $23913568.00   | 0.04%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   56562000 | PA      | $56434735.50   | 0.10%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBQ2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   12894000 | PA      | $13028097.60   | 0.02%             | 2034-02-09      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                            | US Bancorp                                                                                                               | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   12600000 | PA      | $13375922.99   | 0.02%             | 2035-01-23      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                            | US Bancorp                                                                                                               | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   19230000 | PA      | $19893432.12   | 0.04%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                                           | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13108 | PA      | $13102.37      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                                                           | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66815 | PA      | $67549.39      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1998-1, Class 2E                                                                           | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95720 | PA      | $96764.55      | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18164184 | PA      | $19185795.24   | 0.04%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3248322 | PA      | $3300881.28    | 0.01%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5414003 | PA      | $5648746.42    | 0.01%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55245000 | PA      | $55501803.07   | 0.10%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54475000 | PA      | $51834239.39   | 0.10%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  289890000 | PA      | $230054892.19  | 0.42%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  138080000 | PA      | $115329163.19  | 0.21%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  531973000 | PA      | $473871573.91  | 0.87%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  256218000 | PA      | $231587043.69  | 0.43%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  198360000 | PA      | $175850789.56  | 0.32%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50821000 | PA      | $40690548.19   | 0.07%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9035000 | PA      | $7152826.00    | 0.01%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70000000 | PA      | $50591406.60   | 0.09%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  179931500 | PA      | $123091419.84  | 0.23%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5431000 | PA      | $4239786.51    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78220000 | PA      | $60391339.65   | 0.11%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43243100 | PA      | $34064076.57   | 0.06%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4200000 | PA      | $3226125.00    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12946000 | PA      | $9642241.52    | 0.02%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  180150000 | PA      | $117554911.66  | 0.22%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   98830000 | PA      | $66073260.01   | 0.12%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   76853000 | PA      | $47000412.81   | 0.09%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4667000 | PA      | $2338422.24    | 0.00%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  551004000 | PA      | $283637915.68  | 0.52%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29845000 | PA      | $19398084.25   | 0.04%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62475000 | PA      | $34280715.98   | 0.06%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  204145300 | PA      | $119137921.17  | 0.22%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  166815000 | PA      | $109511441.85  | 0.20%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  207900000 | PA      | $157939031.25  | 0.29%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  144750000 | PA      | $86555976.56   | 0.16%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200075000 | PA      | $115488603.99  | 0.21%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  150605000 | PA      | $95275311.90   | 0.17%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  131125000 | PA      | $95280751.30   | 0.17%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  172625000 | PA      | $128592139.54  | 0.24%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28800000 | PA      | $24176249.86   | 0.04%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3905000 | PA      | $3617921.50    | 0.01%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  101570000 | PA      | $93884801.43   | 0.17%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44779000 | PA      | $44046093.60   | 0.08%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33110000 | PA      | $33003944.70   | 0.06%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6595000 | PA      | $6179205.83    | 0.01%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20140000 | PA      | $19675835.84   | 0.04%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26990000 | PA      | $27467596.42   | 0.05%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7030000 | PA      | $6953933.22    | 0.01%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $9887843.70    | 0.02%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828YX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   64261800 | PA      | $63321092.72   | 0.12%             | 2026-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5196000 | PA      | $5100726.46    | 0.01%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31575000 | PA      | $30109722.66   | 0.06%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  160035000 | PA      | $153227261.53  | 0.28%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15670000 | PA      | $15593608.75   | 0.03%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85520000 | PA      | $81738412.50   | 0.15%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23990000 | PA      | $21802786.60   | 0.04%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  782087500 | PA      | $745029996.58  | 1.37%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  248957000 | PA      | $246658524.41  | 0.45%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  149415000 | PA      | $141238031.04  | 0.26%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  115000000 | PA      | $101788476.85  | 0.19%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28783300 | PA      | $25482215.28   | 0.05%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48420000 | PA      | $46225968.75   | 0.08%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  292700000 | PA      | $265236509.28  | 0.49%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  218300000 | PA      | $208894339.30  | 0.38%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  617050000 | PA      | $607263969.57  | 1.12%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  116650000 | PA      | $111573902.93  | 0.20%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200000000 | PA      | $197906250.00  | 0.36%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  270000000 | PA      | $268586717.40  | 0.49%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113240000 | PA      | $112151833.81  | 0.21%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  171000000 | PA      | $161868866.76  | 0.30%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  111315000 | PA      | $110806255.94  | 0.20%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   86645000 | PA      | $85771781.29   | 0.16%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  175000000 | PA      | $177529296.00  | 0.33%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113000000 | PA      | $115145234.94  | 0.21%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  318905000 | PA      | $322480224.82  | 0.59%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21000000 | PA      | $21525000.00   | 0.04%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12000000 | PA      | $12055781.28   | 0.02%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $20026601.60   | 0.04%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14250000 | PA      | $14353535.09   | 0.03%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  265210000 | PA      | $266551071.49  | 0.49%             | 2026-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  315775000 | PA      | $334178761.72  | 0.61%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1304950000 | PA      | $1366986096.35 | 2.51%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  972166400 | PA      | $984964056.82  | 1.81%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  826090000 | PA      | $827316231.47  | 1.52%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  450920000 | PA      | $463267456.69  | 0.85%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14685000 | PA      | $15362460.31   | 0.03%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33345000 | PA      | $34437830.36   | 0.06%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53280000 | PA      | $54087525.00   | 0.10%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37635000 | PA      | $39124228.62   | 0.07%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  250000000 | PA      | $251445312.50  | 0.46%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $30786328.20   | 0.06%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61730000 | PA      | $63314242.42   | 0.12%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  264440000 | PA      | $271309241.53  | 0.50%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45000000 | PA      | $45706640.40   | 0.08%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  228000000 | PA      | $232230469.32  | 0.43%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $80409375.20   | 0.15%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CPF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  108995000 | PA      | $109301548.44  | 0.20%             | 2032-10-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  567895000 | PA      | $466207999.57  | 0.86%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334U1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  149800000 | PA      | $117898512.61  | 0.22%             | 2032-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36300000 | PA      | $27965639.79   | 0.05%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24963000 | PA      | $18794837.16   | 0.03%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  209640000 | PA      | $150387708.88  | 0.28%             | 2034-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  148502000 | PA      | $103990209.51  | 0.19%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  519891000 | PA      | $355321755.08  | 0.65%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   65611000 | PA      | $43713088.61   | 0.08%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337E4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43554000 | PA      | $28263161.42   | 0.05%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337F1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   65678000 | PA      | $41472794.75   | 0.08%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  195970000 | PA      | $165846008.96  | 0.30%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  261915000 | PA      | $217266009.46  | 0.40%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  167615000 | PA      | $136191570.63  | 0.25%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337R5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113297000 | PA      | $90203172.85   | 0.17%             | 2032-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337S3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  122788000 | PA      | $95708750.73   | 0.18%             | 2032-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  108105000 | PA      | $82351769.62   | 0.15%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60239000 | PA      | $44835071.46   | 0.08%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  319920000 | PA      | $226803313.79  | 0.42%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24999000 | PA      | $24811230.01   | 0.05%             | 2026-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833PB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10990000 | PA      | $10713584.58   | 0.02%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833QB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50000000 | PA      | $47154717.50   | 0.09%             | 2027-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  102600000 | PA      | $71013866.67   | 0.13%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833X96<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   91000000 | PA      | $61418634.55   | 0.11%             | 2035-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $88717332.00   | 0.16%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63190000 | PA      | $53957029.80   | 0.10%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  449750000 | PA      | $376740967.12  | 0.69%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833Y20<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  198352000 | PA      | $130424624.00  | 0.24%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  202881000 | PA      | $129962541.62  | 0.24%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833Y46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  107759000 | PA      | $67166015.52   | 0.12%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833Z52<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27176000 | PA      | $16705828.56   | 0.03%             | 2037-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834AD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  110686000 | PA      | $67133830.58   | 0.12%             | 2037-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834EP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17900000 | PA      | $9825422.95    | 0.02%             | 2039-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31482000 | PA      | $16319617.75   | 0.03%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  216030000 | PA      | $110454017.59  | 0.20%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  138669921 | PA      | $69872899.95   | 0.13%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  178550000 | PA      | $87790590.65   | 0.16%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   87575000 | PA      | $41745358.72   | 0.08%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834MD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16580000 | PA      | $7443100.40    | 0.01%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19005000 | PA      | $7148872.15    | 0.01%             | 2046-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   13927000 | PA      | $12833552.10   | 0.02%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    7861000 | PA      | $6709880.20    | 0.01%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    7060000 | PA      | $5598472.19    | 0.01%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    8210000 | PA      | $6891564.39    | 0.01%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $3622149.12    | 0.01%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9695000 | PA      | $6639080.74    | 0.01%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9740000 | PA      | $9905579.32    | 0.02%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   19000000 | PA      | $17272335.13   | 0.03%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue | Regents of the University of California, Medical Center Pooled, Series 2020N                                             | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   21120000 | PA      | $14013367.10   | 0.03%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| University of Miami                                                   | University of Miami, Series 2022                                                                                         | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    6570000 | PA      | $5399533.21    | 0.01%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| University of Southern California                                     | University of Southern California, Series A                                                                              | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    9370000 | PA      | $5640604.32    | 0.01%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| vMobo, Inc.                                                           | vMobo, Inc.                                                                                                              | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  110554453 | PA      | $105802822.89  | 0.19%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| VOLT C LLC                                                            | VOLT C LLC, Series 2021-NPL9, Class A1                                                                                   | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2050942 | PA      | $2051364.06    | 0.00%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Vale Overseas Ltd.                                                    | Vale Overseas Ltd.                                                                                                       | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |   27542000 | PA      | $26647895.79   | 0.05%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 2010-1, Class DZ                                                                           | CUSIP: 92261XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3044009 | PA      | $2992251.55    | 0.01%             | 2040-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    7254000 | PA      | $7218550.50    | 0.01%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    4308000 | PA      | $4299821.26    | 0.01%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                                               | Verdant Receivables LLC, Series 2024-1A, Class A2                                                                        | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7322081 | PA      | $7460847.29    | 0.01%             | 2031-12-12      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $5573323.35    | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                       | Virginia Electric and Power Co., Series A                                                                                | CUSIP: 927804FB5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2268400.16    | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC                                | Virginia Power Fuel Securitization LLC, Series A-2                                                                       | CUSIP: 92808VAB8<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |    8150000 | PA      | $8395003.10    | 0.02%             | 2031-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2981000 | PA      | $3341841.11    | 0.01%             | 2033-10-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    4203000 | PA      | $4455675.95    | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   13240000 | PA      | $13720982.72   | 0.03%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAZ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   15930000 | PA      | $16040283.39   | 0.03%             | 2036-01-31      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Vodafone Group plc                                                    | Vodafone Group plc                                                                                                       | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    3745000 | PA      | $3642032.99    | 0.01%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                                          | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                                                 | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     986436 | PA      | $986790.50     | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| VOLT CVI LLC                                                          | VOLT CVI LLC, Series 2021-NP12, Class A1                                                                                 | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7382971 | PA      | $7389292.93    | 0.01%             | 2051-12-26      | Variable      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                               | WaMu Mortgage Pass-Through Certificates, Series 2003-S4, Class 2A10                                                      | CUSIP: 9292275C6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18904 | PA      | $18760.28      | 0.00%             | 2033-06-25      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A7                                                 | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153650 | PA      | $150922.57     | 0.00%             | 2033-08-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S1, Class A5                                                  | CUSIP: 929227H82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142174 | PA      | $145122.26     | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                                                | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     975367 | PA      | $960311.08     | 0.00%             | 2033-09-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A                                                 | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82266 | PA      | $80739.83      | 0.00%             | 2033-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8                                                  | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     748720 | PA      | $752856.72     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P                                                   | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8599 | PA      | $6943.60       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR11, Class A6                                                | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     488158 | PA      | $461750.74     | 0.00%             | 2033-10-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                                                 | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     222595 | PA      | $214111.46     | 0.00%             | 2034-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                                                 | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     286038 | PA      | $275136.07     | 0.00%             | 2034-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                               | WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4                                                       | CUSIP: 92922FPH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106317 | PA      | $106216.25     | 0.00%             | 2033-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S2, Class 2A4                                                 | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460955 | PA      | $457458.97     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4                               | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126058 | PA      | $114486.78     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    4970000 | PA      | $4971739.10    | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $10242979.80   | 0.02%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   10980000 | PA      | $9825855.20    | 0.02%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                       | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                                                | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2283277 | PA      | $2054903.86    | 0.00%             | 2045-03-15      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| WRKCo, Inc.                                                           | WRKCo, Inc.                                                                                                              | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2867419.12    | 0.01%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                               | Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class XC                                                       | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23042 | PA      | $0.23          | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                       | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                                                 | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25880000 | PA      | $26856279.00   | 0.05%             | 2040-07-15      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR8, Class 1A2                                                | CUSIP: 93362FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182698 | PA      | $173028.99     | 0.00%             | 2046-08-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P                                                | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33269 | PA      | $30761.52      | 0.00%             | 2036-09-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-1, Class 1A1                               | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237257 | PA      | $238383.55     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-1, Class CP                                | CUSIP: 9393362Y8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20741 | PA      | $14445.04      | 0.00%             | 2035-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4                               | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2296103 | PA      | $130292.60     | 0.00%             | 2035-04-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 2A3                               | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     522643 | PA      | $30053.00      | 0.00%             | 2035-04-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7                               | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     729726 | PA      | $684730.57     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CX                                | CUSIP: 9393367B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800051 | PA      | $118088.01     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust        | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2003-MS7, Class P                                 | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        165 | PA      | $134.68        | 0.00%             | 2033-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-1, Class 3A2                               | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62280 | PA      | $59842.87      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3477000 | PA      | $3164014.37    | 0.01%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3394000 | PA      | $3067506.36    | 0.01%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    4149000 | PA      | $3707161.12    | 0.01%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2925000 | PA      | $2935446.61    | 0.01%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                    | Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class 1A2                                                           | CUSIP: 94985GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77271 | PA      | $69204.29      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                          | Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7                                                    | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33920 | PA      | $31401.99      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                    | Wells Fargo Alternative Loan Trust, Series 2003-1, Class A                                                               | CUSIP: 949912AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7795 | PA      | $6168.18       | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   11119000 | PA      | $8680436.07    | 0.02%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2414196.18    | 0.00%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   15023000 | PA      | $15320345.73   | 0.03%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   18175000 | PA      | $18940253.83   | 0.03%             | 2034-04-24      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   15412000 | PA      | $15944518.97   | 0.03%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   16715000 | PA      | $17588726.65   | 0.03%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   46180000 | PA      | $48702431.03   | 0.09%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   22315000 | PA      | $23005513.13   | 0.04%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   95840000 | PA      | $98408973.95   | 0.18%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   93141000 | PA      | $97959160.64   | 0.18%             | 2036-04-23      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U4E0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   19170000 | PA      | $19242894.12   | 0.04%             | 2037-01-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                      | Welltower OP LLC                                                                                                         | CUSIP: 95040QAF1<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4729069.20    | 0.01%             | 2048-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                       | Western Funding Auto Loan Trust, Series 2025-1, Class B                                                                  | CUSIP: 958250AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27000000 | PA      | $27421092.00   | 0.05%             | 2035-09-17      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                       | Western Funding Auto Loan Trust, Series 2025-1, Class D                                                                  | CUSIP: 958250AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5860000 | PA      | $5998808.75    | 0.01%             | 2036-01-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Western Midstream Operating LP                                        | Western Midstream Operating LP                                                                                           | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    7040000 | PA      | $6114117.22    | 0.01%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2023-2A, Class D                                                           | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18890000 | PA      | $19229166.17   | 0.04%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                  | Westgate Resorts LLC, Series 2023-1A, Class A                                                                            | CUSIP: 96033EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10156070 | PA      | $10282866.20   | 0.02%             | 2037-12-20      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                  | Westgate Resorts LLC, Series 2024-1A, Class A                                                                            | CUSIP: 96034KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14656836 | PA      | $14891654.13   | 0.03%             | 2038-01-20      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                  | Westgate Resorts LLC, Series 2024-1A, Class B                                                                            | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7657521 | PA      | $7782487.62    | 0.01%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                                                           | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12352000 | PA      | $12557011.08   | 0.02%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2022-3A, Class D                                                           | CUSIP: 96043PAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   70490000 | PA      | $71110375.44   | 0.13%             | 2028-04-17      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    9675000 | PA      | $8952533.50    | 0.02%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   13720000 | PA      | $14518048.22   | 0.03%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   18110000 | PA      | $19032206.11   | 0.03%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    5070000 | PA      | $5201302.56    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wolf Energy Asset Issuer LLC                                          | Wolf Energy Asset Issuer LLC                                                                                             | CUSIP: 977701AE1<br>LEI: 254900JUY1UOGKD5MA90 | Long             | ABS-O            | CORP              | US        |   37710927 | PA      | $37710926.81   | 0.07%             | 2050-07-25      | Fixed         | 5.70%                 | No            |                  3 | On Loan: No      |
| Xcel Energy, Inc.                                                     | Xcel Energy, Inc.                                                                                                        | CUSIP: 98389BAN0<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     829000 | PA      | $772384.94     | 0.00%             | 2041-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Xylem, Inc.                                                           | Xylem, Inc.                                                                                                              | CUSIP: 98419MAL4<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |    7315000 | PA      | $6696476.37    | 0.01%             | 2031-01-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| OneSky Loan Trust                                                     | OneSky Loan Trust, 1st Lien Term Loan A                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   43243904 | PA      | $41849980.47   | 0.08%             | 2031-01-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Upstart Frn                                                           | Upstart Frn                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   48000000 | PA      | $47940000.00   | 0.09%             | 2027-09-15      | Floating      | 6.80%                 | No            |                  3 | On Loan: No      |
| Mpire                                                                 | Mpire                                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   59210563 | PA      | $59378128.89   | 0.11%             | 2030-09-13      | Floating      | 8.29%                 | No            |                  3 | On Loan: No      |
| BAML Funding Ltd.                                                     | BAML Funding Ltd.                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | GB        |   17825607 | PA      | $17803324.99   | 0.03%             | 2029-10-26      | Floating      | 8.00%                 | No            |                  3 | On Loan: No      |
| Jonah                                                                 | Jonah                                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   30153580 | PA      | $30630006.56   | 0.06%             | 2037-11-10      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                            | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |     151400 | PA      | $151400.13     | 0.00%             | 2027-01-25      | Fixed         | 9.10%                 | No            |                  3 | On Loan: No      |
| Hornbeck Offshore Services LLC                                        | Hornbeck Offshore Services LLC                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   46544264 | PA      | $47591509.78   | 0.09%             | 2044-01-01      | Fixed         | 8.90%                 | No            |                  3 | On Loan: No      |
| Tucielo 2025-assiciation Condu                                        | Tucielo 2025-assiciation Condu                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    1875000 | PA      | $1875000.00    | 0.00%             | 2033-08-09      | Fixed         | 8.01%                 | No            |                  3 | On Loan: No      |
| LVNV Funding LLC                                                      | LVNV Funding LLC                                                                                                         | CUSIP: N/A<br>LEI: 549300YMNWAZ7DKR6204       | Long             | ABS-MBS          | CORP              | US        |   50000000 | PA      | $50500000.00   | 0.09%             | 2027-10-15      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Baml PIMCO Frn                                                        | Baml PIMCO Frn                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    9143274 | PA      | $9143273.70    | 0.02%             | 2027-01-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                            | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   31573512 | PA      | $31573511.58   | 0.06%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Acrc                                                                  | Acrc                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   22200000 | PA      | $21607259.99   | 0.04%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Grene Energy Senio                                                    | Grene Energy Senio                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    2724465 | PA      | $2210630.80    | 0.00%             | 2027-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Aml-prop CAP Frn                                                      | Aml-prop CAP Frn, Series 2022-E                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    1356877 | PA      | $1351856.29    | 0.00%             | 2027-01-25      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| United Mortgage Mezz                                                  | United Mortgage Mezz                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   36000000 | PA      | $36000000.00   | 0.07%             | 2027-02-18      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Grene 2023-Senior                                                     | Grene 2023-Senior                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   17065852 | PA      | $17512977.50   | 0.03%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                            | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   32078308 | PA      | $32078308.00   | 0.06%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Resurgent                                                             | Resurgent                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   60000000 | PA      | $60000000.00   | 0.11%             | 2030-07-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| P4 SFR                                                                | P4 SFR                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   31509035 | PA      | $31193944.37   | 0.06%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Starwoood Anoo                                                        | Starwoood Anoo                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   18439055 | PA      | $18370830.33   | 0.03%             | 2027-01-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Ygrene Frn                                                            | Ygrene Frn                                                                                                               | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |  176105381 | PA      | $176985907.45  | 0.33%             | 2045-07-25      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| Grene Energy                                                          | Grene Energy                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | DK        |    5005142 | PA      | $4699328.24    | 0.01%             | 2027-04-22      | Fixed         | 12.50%                | No            |                  3 | On Loan: No      |
| Baring Frn                                                            | Baring Frn, Series 2021-EBO1, Class PA                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    4778682 | PA      | $4778682.09    | 0.01%             | 2027-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Credit One Ltd.                                                       | Credit One Ltd.                                                                                                          | CUSIP: N/A<br>LEI: 984500DAE0FFZ45C8093       | Long             | ABS-MBS          | CORP              | NG        |   71500000 | PA      | $72787000.00   | 0.13%             | 2029-02-25      | Fixed         | 6.47%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1168062.65    | 0.00%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| EURO                                                                  | EURO                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |       4401 | OU      | $5200.06       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 5 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      28962 | NC      | $8117121.03    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 2 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      10914 | NC      | $2291233.16    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Note                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       3872 | NC      | $1899475.42    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Long Bond                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -317 | NC      | $-463652.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Ultra Note                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       3818 | NC      | $4400884.84    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Ultra Bond                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -2683 | NC      | $-4607231.97   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer