# EDGAR Filing Document

**Accession Number:** 0001120924
**File Stem:** 0001099263-26-003716
**Filing Date:** 2026-3
**Character Count:** 608685
**Document Hash:** e79665bef42ccab92c4a5bf09f752c0f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003716.hdr.sgml**: 20260330

**ACCESSION NUMBER**: 0001099263-26-003716

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260330

**DATE AS OF CHANGE**: 20260330

**PERIOD START**: 20261031

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10093
- **FILM NUMBER:** 26812536

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2332269458.03

**Total Liabilities:** $102413345.85

**Net Assets:** $2229856112.18

**Delayed Delivery Securities:** $8001886.15

**Stand-by Commitments:** $44878373.06

**Cash Not Reported:** $599.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1341.275880 | **1-Year:** -69886.235605 | **5-Year:** -299530.331295 | **10-Year:** -299101.977633 | **30-Year:** -66532.207218

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

- **3-Month:** 0.000000 | **1-Year:** -208.243208 | **5-Year:** -255.158115 | **10-Year:** 0.000000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000005563 | 0.53%                | -0.04%               | 0.15%                |
| Class ID C000222342 | 0.55%                | -0.02%               | 0.07%                |
| Class ID C000222343 | 0.54%                | -0.14%               | 0.16%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $329713.55               | $4999714.45                                |
| Month 2  | $396243.25               | $-10229509.54                              |
| Month 3  | $485348.85               | $-4753864.53                               |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                     | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABBVIE INC                               | ABBVIE INC                                                                      | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1208685.51   | 0.05%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                               | ABBVIE INC                                                                      | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224608.55    | 0.01%             | 2026-05-14      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                               | ABBVIE INC                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1346696.75   | 0.06%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                             | AES CORP/THE                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2374848.86   | 0.11%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AFRMT 2025-2A A 144A                     | AFFIRM MASTER TRUST                                                             | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3215000 | PA      | $3237789.53   | 0.15%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| AGL 2021-13A A1R 144A                    | AGL CLO 13 LTD                                                                  | CUSIP: 00120JAL7<br>LEI: 254900DIJ0G5TXNJMM06 | Long             | ABS-CBDO         | CORP              | KY        |   4600000 | PA      | $4600745.20   | 0.21%             | 2034-10-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                 | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1488756.68   | 0.07%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                 | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AJ8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9995.85      | 0.00%             | 2027-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                    | ALIBABA GROUP HOLDING LTD                                                       | CUSIP: 01609WAU6<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |   2300000 | PA      | $2114278.32   | 0.09%             | 2037-12-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                            | ALLSTATE CORP/THE                                                               | CUSIP: 020002AP6<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    150000 | PA      | $161898.93    | 0.01%             | 2032-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ABCLN 2024-B B 144A                      | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                | CUSIP: 02007G4C4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211357 | PA      | $213318.86    | 0.01%             | 2032-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ABCLN 2025-A A2 144A                     | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A                                | CUSIP: 02007G5D1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1464019 | PA      | $1472458.61   | 0.07%             | 2033-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ABCLN 2025-B A2 144A                     | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-B                                | CUSIP: 02007G6N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1686868 | PA      | $1695363.54   | 0.08%             | 2033-09-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                       | ALLY FINANCIAL INC                                                              | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1426459.25   | 0.06%             | 2028-11-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                           | AMAZON.COM INC                                                                  | CUSIP: 023135CV6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   4085000 | PA      | $4043697.20   | 0.18%             | 2035-11-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                              | AMEREN CORP                                                                     | CUSIP: 023608AP7<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1843824.81   | 0.08%             | 2026-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL SA DE CV                   | AMERICA MOVIL SAB DE CV                                                         | CUSIP: 02364WAJ4<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    300000 | PA      | $329580.45    | 0.01%             | 2035-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| AMER AIRLINE 19-1AA PTT                  | AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                            | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24555 | PA      | $23302.85     | 0.00%             | 2032-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                  | AMERICAN ELECTRIC POWER CO INC                                                  | CUSIP: 025537AY7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   2595000 | PA      | $2675097.92   | 0.12%             | 2029-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                      | AMERICAN EXPRESS CO                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    550000 | PA      | $557020.22    | 0.02%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                   | AMERICAN HONDA FINANCE CORP                                                     | CUSIP: 02665WFD8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   2790000 | PA      | $2821296.29   | 0.13%             | 2027-03-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                   | AMERICAN HONDA FINANCE CORP                                                     | CUSIP: 02665WGD7<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1660336.92   | 0.07%             | 2027-07-09      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                      | AMERICAN INTERNATIONAL GROUP INC                                                | CUSIP: 026874DC8<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    425000 | PA      | $395869.14    | 0.02%             | 2035-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERN MUN PWR OH BABS HYDROELEC SER B    | AMERICAN MUNICIPAL POWER INC                                                    | CUSIP: 02765UCY8<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   2005000 | PA      | $2116049.33   | 0.09%             | 2044-02-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                      | AMERICAN TOWER CORP                                                             | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1120438.04   | 0.05%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                | AMGEN INC                                                                       | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1653058.38   | 0.07%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                | AMGEN INC                                                                       | CUSIP: 031162CY4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1239000 | PA      | $738363.39    | 0.03%             | 2053-09-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                | AMGEN INC                                                                       | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1265831.78   | 0.06%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                            | AMPHENOL CORP                                                                   | CUSIP: 032095AP6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    925000 | PA      | $952017.94    | 0.04%             | 2029-04-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                            | AMPHENOL CORP                                                                   | CUSIP: 032095AM3<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    310000 | PA      | $310351.37    | 0.01%             | 2026-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AOMT 2020-6 A2 144A                      | ANGEL OAK MORTGAGE TRUST 2020-6                                                 | CUSIP: 03465AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230824 | PA      | $215365.54    | 0.01%             | 2065-05-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| AOMT 2021-1 A1 144A                      | ANGEL OAK MORTGAGE TRUST 2021-1                                                 | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    818787 | PA      | $731146.67    | 0.03%             | 2066-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                 | ANHEUSER-BUSCH INBEV WORLDWIDE INC                                              | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30906.39     | 0.00%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                 | AON CORP / AON GLOBAL HOLDINGS PLC                                              | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3075000 | PA      | $3148903.37   | 0.14%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| APA INFRASTRUCTURE LTD 144A              | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    475000 | PA      | $476412.59    | 0.02%             | 2034-09-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| APEXC 2025-13A A1 144A                   | APEX CREDIT CLO 13 LTD                                                          | CUSIP: 03754FAA6<br>LEI: 213800YWVGHPCY8VWA19 | Long             | ABS-CBDO         | CORP              | KY        |    840000 | PA      | $840000.00    | 0.04%             | 2039-01-22      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ARES 2019-51A A1R2 144A                  | ARES LI CLO LTD                                                                 | CUSIP: 04019LAU8<br>LEI: 5493003FNA8PT0CMDE92 | Long             | ABS-CBDO         | CORP              | KY        |   1420000 | PA      | $1423649.40   | 0.06%             | 2037-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ARES 2025-ALF9A A1 144A                  | ARES LOAN FUNDING IX LTD                                                        | CUSIP: 03990HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1225000 | PA      | $1226483.48   | 0.06%             | 2038-03-31      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ARIFL 2026-A A2 144A                     | ARI FLEET LEASE TRUST 2026-A                                                    | CUSIP: 04033DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $700537.95    | 0.03%             | 2034-11-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| ARIFL 2026-A A3 144A                     | ARI FLEET LEASE TRUST 2026-A                                                    | CUSIP: 04033DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $260225.91    | 0.01%             | 2034-11-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| ARRW 2019-2 A2 144A                      | ARROYO MORTGAGE TRUST 2019-2                                                    | CUSIP: 042858AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156425 | PA      | $152995.73    | 0.01%             | 2049-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                  | ARTHUR J GALLAGHER & CO                                                         | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    445000 | PA      | $455321.85    | 0.02%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                  | ASTRAZENECA FINANCE LLC                                                         | CUSIP: 04636NAF0<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2348201.81   | 0.11%             | 2028-03-03      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                 | AT&T INC                                                                        | CUSIP: 00206RMT6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2489984.21   | 0.11%             | 2034-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                 | AT&T INC                                                                        | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1275820.18   | 0.06%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                 | AT&T INC                                                                        | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3033712.38   | 0.14%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                 | AT&T INC                                                                        | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1027103.40   | 0.05%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING 144A               | ATHENE GLOBAL FUNDING                                                           | CUSIP: 04685A4A6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   3330000 | PA      | $3344569.53   | 0.15%             | 2026-08-27      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING 144A               | ATHENE GLOBAL FUNDING                                                           | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    990000 | PA      | $998711.19    | 0.04%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND 144A                | ATLAS WAREHOUSE LENDING CO LP                                                   | CUSIP: 049463AF9<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |   3065000 | PA      | $3079973.08   | 0.14%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ATLASSIAN CORPORATION                    | ATLASSIAN CORP                                                                  | CUSIP: 049468AA9<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |    760000 | PA      | $781379.30    | 0.04%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AUTORIDAD CANAL DE PANAM 144A            | AUTORIDAD DEL CANAL DE PANAMA                                                   | CUSIP: 05330GAA2<br>LEI: 549300W1ISP1PW2J2P64 | Long             | DBT              | CORP              | PA        |    295000 | PA      | $288126.36    | 0.01%             | 2035-07-29      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                             | AUTOZONE INC                                                                    | CUSIP: 053332BE1<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1396193.65   | 0.06%             | 2026-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                             | AUTOZONE INC                                                                    | CUSIP: 053332AV4<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19943.74     | 0.00%             | 2027-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                             | AUTOZONE INC                                                                    | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1754101.78   | 0.08%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                             | AUTOZONE INC                                                                    | CUSIP: 053332AT9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    445000 | PA      | $444085.90    | 0.02%             | 2026-04-21      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| XCAP 2024-1A A2 144A                     | AUXILIOR TERM FUNDING 2024-1 LLC                                                | CUSIP: 05335FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19554 | PA      | $19576.66     | 0.00%             | 2027-03-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| AVALONBAY COMMUNITIES                    | AVALONBAY COMMUNITIES INC                                                       | CUSIP: 053484AH4<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |   3225000 | PA      | $3226696.23   | 0.14%             | 2030-12-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AESOP 2025-3A A 144A                     | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RKW3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    510000 | PA      | $509070.73    | 0.02%             | 2030-02-20      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD 144A            | AVOLON HOLDINGS FUNDING LTD                                                     | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1560000 | PA      | $1624889.91   | 0.07%             | 2028-05-04      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                       | BANCO SANTANDER SA                                                              | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $578668.50    | 0.03%             | 2030-05-28      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK51 A5                       | BANK 2025-BNK51                                                                 | CUSIP: 06541HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1580000 | PA      | $1626862.01   | 0.07%             | 2067-12-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH & CO                       | BANK OF AMERICA CORP                                                            | CUSIP: 59023VAA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    150000 | PA      | $182759.92    | 0.01%             | 2038-05-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2033634.49   | 0.09%             | 2035-08-15      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599457.07    | 0.03%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1153363.54   | 0.05%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GGM5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41767.53     | 0.00%             | 2038-04-24      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1875000 | PA      | $1747796.13   | 0.08%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                     | BANK OF AMERICA CORP                                                            | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2276323.66   | 0.10%             | 2028-01-20      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                       | BANK OF AMERICA NA                                                              | CUSIP: 06050TJZ6<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |    300000 | PA      | $322590.43    | 0.01%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                         | BANK OF MONTREAL                                                                | CUSIP: 06368ME67<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   1900000 | PA      | $1895761.33   | 0.09%             | 2032-01-14      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                   | BANK OF NEW YORK MELLON CORP/THE                                                | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1602670.59   | 0.07%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR12 A3                      | BANK5 2024-5YR12                                                                | CUSIP: 06644XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2490000 | PA      | $2620421.97   | 0.12%             | 2057-12-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR8 AS                       | BANK5 2024-5YR8                                                                 | CUSIP: 065923BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1045000 | PA      | $1099497.69   | 0.05%             | 2057-08-15      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14 A3                      | BANK5 2025-5YR14                                                                | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3310000 | PA      | $3462776.36   | 0.16%             | 2058-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                            | BANNER HEALTH                                                                   | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    850000 | PA      | $761823.28    | 0.03%             | 2031-01-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BARC 2021-NQM1 A3 144A                   | BARCLAYS MORTGAGE LOAN TRUST 2021-NQM1                                          | CUSIP: 06744UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    678997 | PA      | $630809.75    | 0.03%             | 2051-09-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                             | BARCLAYS PLC                                                                    | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1045000 | PA      | $1062685.19   | 0.05%             | 2028-03-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                             | BARCLAYS PLC                                                                    | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2840000 | PA      | $2956520.55   | 0.13%             | 2030-03-12      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| BABSN 2021-3A B1R 144A                   | BARINGS CLO LTD 2021-III                                                        | CUSIP: 06762TAN1<br>LEI: 549300V1VT2NXKFG0H98 | Long             | ABS-CBDO         | CORP              | KY        |   2275000 | PA      | $2276710.80   | 0.10%             | 2035-01-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                         | BAT CAPITAL CORP                                                                | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    845000 | PA      | $896384.25    | 0.04%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                         | BAT CAPITAL CORP                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   3395000 | PA      | $3113547.04   | 0.14%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TOLL BRDG BABS SER S1 SUB    | BAY AREA TOLL AUTHORITY                                                         | CUSIP: 072024NU2<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    350000 | PA      | $397436.27    | 0.02%             | 2040-04-01      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TOLL BRDG SUB SR S10 TXBLE   | BAY AREA TOLL AUTHORITY                                                         | CUSIP: 072024YC0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |   1275000 | PA      | $1037726.58   | 0.05%             | 2041-04-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCING TRUST 2024-2F A PP     | BAYVIEW FINANCING TRUST 2024-2F A                                               | CUSIP: 07336XAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1591167 | PA      | $1595463.26   | 0.07%             | 2029-11-01      | Variable      | 6.54%                 | Yes           |                  3 | On Loan: No      |
| BVCLN 2024-CAR1 A 144A                   | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAA0<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    122249 | PA      | $122591.68    | 0.01%             | 2031-12-26      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| BVCLN 2025-EDU1 A 144A                   | BAYVIEW OPPORTUNITY MASTER FUND VII 2025-EDU1 LLC                               | CUSIP: 07337GAA1<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |   1568222 | PA      | $1571038.61   | 0.07%             | 2048-07-27      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY D 144A                   | BBCMS 2019-BWAY MORTGAGE TRUST                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545000 | PA      | $6801.60      | 0.00%             | 2034-11-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BBCMS 2024-5C27 A3                       | BBCMS MORTGAGE TRUST 2024-5C27                                                  | CUSIP: 05555FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $430641.61    | 0.02%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA/MEXICO                  | BBVA MEXICO SA INSTITUCION DE BANCA MULTIPLE GRUPO FINANCIERO BBVA MEXICO/TX    | CUSIP: YV5671248<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   1865000 | PA      | $1915411.51   | 0.09%             | 2029-09-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                    | BECTON DICKINSON & CO                                                           | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1547227.56   | 0.07%             | 2029-06-07      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| BMARK 2023-B39 A5                        | BENCHMARK 2023-B39 MORTGAGE TRUST                                               | CUSIP: 081925AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220000 | PA      | $1293169.13   | 0.06%             | 2056-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BMARK 2024-V8 AM                         | BENCHMARK 2024-V8 MORTGAGE TRUST                                                | CUSIP: 08190AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3465000 | PA      | $3673215.66   | 0.16%             | 2057-07-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| BMARK 2025-B41 A5                        | BENCHMARK 2025-B41 MORTGAGE TRUST                                               | CUSIP: 081935AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720000 | PA      | $745830.72    | 0.03%             | 2068-07-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| BMARK 2025-V19 A3                        | BENCHMARK 2025-V19 MORTGAGE TRUST                                               | CUSIP: 08164DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $242890.99    | 0.01%             | 2058-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MIDAMER ENERGY HLDGS                     | BERKSHIRE HATHAWAY ENERGY CO                                                    | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    170000 | PA      | $184256.80    | 0.01%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BMO 2025-C12 A5                          | BMO 2025-C12 MORTGAGE TRUST                                                     | CUSIP: 05615DAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1359564.59   | 0.06%             | 2058-06-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| BMO 2025-C13 A5                          | BMO 2025-C13 MORTGAGE TRUST                                                     | CUSIP: 05592YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1955000 | PA      | $2020489.76   | 0.09%             | 2058-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS 144A                         | BNP PARIBAS SA                                                                  | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2750000 | PA      | $2845537.77   | 0.13%             | 2030-05-20      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                   | BOARDWALK PIPELINES LP                                                          | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |   2130000 | PA      | $2012534.09   | 0.09%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                | BOEING CO/THE                                                                   | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1820304.86   | 0.08%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                            | BOEING CO/THE                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1715000 | PA      | $1897280.58   | 0.09%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                  | BOOZ ALLEN HAMILTON INC                                                         | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4112472.64   | 0.18%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| BLAST 2026-1 A3                          | BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2026-1                            | CUSIP: 107927AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    935000 | PA      | $936118.35    | 0.04%             | 2029-12-17      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                   | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    495000 | PA      | $494273.67    | 0.02%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                   | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    760000 | PA      | $748629.82    | 0.03%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                   | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAP8<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    440000 | PA      | $438801.84    | 0.02%             | 2033-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                             | BROADCOM INC                                                                    | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1130264.32   | 0.05%             | 2030-07-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                             | BROADCOM INC                                                                    | CUSIP: 11135FCE9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3290000 | PA      | $3354325.99   | 0.15%             | 2028-04-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| BROADCOM INC                             | BROADCOM INC                                                                    | CUSIP: 11135FDA6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2075000 | PA      | $2067831.90   | 0.09%             | 2033-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| BURLINGTON NORTH SANTA FE                | BURLINGTON NORTHERN SANTA FE LLC                                                | CUSIP: 12189TAZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $110517.56    | 0.00%             | 2037-05-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| BX 2024-SLCT A 144A                      | BX COMMERCIAL MORTGAGE TRUST 2024-SLCT                                          | CUSIP: 12433JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3185000 | PA      | $3183010.65   | 0.14%             | 2042-01-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BX 2025-ROIC A 144A                      | BX TRUST 2025-ROIC                                                              | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4040997 | PA      | $4044621.65   | 0.18%             | 2030-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BX 2025-VOLT A 144A                      | BX TRUST 2025-VOLT                                                              | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4775000 | PA      | $4797351.30   | 0.22%             | 2044-12-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                   | CADENCE DESIGN SYSTEMS INC                                                      | CUSIP: 127387AN8<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1096632.63   | 0.05%             | 2029-09-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC 144A                     | CAMERON LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    520000 | PA      | $480910.07    | 0.02%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC 144A                     | CAMERON LNG LLC                                                                 | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    430000 | PA      | $364595.26    | 0.02%             | 2039-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RAILWAYS                   | CANADIAN NATIONAL RAILWAY CO                                                    | CUSIP: 136375BL5<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $104651.81    | 0.00%             | 2034-08-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RAILWAY                    | CANADIAN NATIONAL RAILWAY CO                                                    | CUSIP: 136375DH2<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |    920000 | PA      | $992837.83    | 0.04%             | 2033-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| CANADIAN NATL RESOURCES                  | CANADIAN NATURAL RESOURCES LTD                                                  | CUSIP: 136385BA8<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   1520000 | PA      | $1436108.76   | 0.06%             | 2030-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| CANADIAN PACIFIC RAILWAY                 | CANADIAN PACIFIC RAILWAY CO                                                     | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    720000 | PA      | $638962.68    | 0.03%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                 | CANADIAN PACIFIC RAILWAY CO                                                     | CUSIP: 13645RBE3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    845000 | PA      | $830181.51    | 0.04%             | 2026-12-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                 | CANADIAN PACIFIC RAILWAY CO                                                     | CUSIP: 13648TAG2<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   1155000 | PA      | $834399.97    | 0.04%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                 | CANADIAN PACIFIC RAILWAY CO                                                     | CUSIP: 13648TAC1<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   1140000 | PA      | $1095147.10   | 0.05%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                 | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HDF9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    365000 | PA      | $383338.21    | 0.02%             | 2035-02-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                 | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1423357.70   | 0.06%             | 2027-05-11      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                 | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3235457.52   | 0.15%             | 2032-07-29      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                            | CAPITAL ONE NA                                                                  | CUSIP: 25466AAR2<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1882846.21   | 0.08%             | 2030-02-06      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CARMX 2023-3 B                           | CARMAX AUTO OWNER TRUST 2023-3                                                  | CUSIP: 14319BAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $219485.07    | 0.01%             | 2029-02-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-4 A3                          | CARMAX AUTO OWNER TRUST 2025-4                                                  | CUSIP: 14320HAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $761500.92    | 0.03%             | 2030-12-16      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-4 A4                          | CARMAX AUTO OWNER TRUST 2025-4                                                  | CUSIP: 14320HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $759398.31    | 0.03%             | 2031-06-16      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| CRVNA 2021-P4 C                          | CARVANA AUTO RECEIVABLES TRUST 2021-P4                                          | CUSIP: 14687KAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1860000 | PA      | $1816158.87   | 0.08%             | 2028-02-10      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-N1 B 144A                     | CARVANA AUTO RECEIVABLES TRUST 2024-N1                                          | CUSIP: 14687QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635000 | PA      | $640669.47    | 0.03%             | 2030-05-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-P4 A4                         | CARVANA AUTO RECEIVABLES TRUST 2024-P4                                          | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $628135.64    | 0.03%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-P4 A3                         | CARVANA AUTO RECEIVABLES TRUST 2024-P4                                          | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365000 | PA      | $367199.96    | 0.02%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P2 A4                         | CARVANA AUTO RECEIVABLES TRUST 2025-P2                                          | CUSIP: 14688YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1465000 | PA      | $1488061.74   | 0.07%             | 2031-06-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P4 A4                         | CARVANA AUTO RECEIVABLES TRUST 2025-P4                                          | CUSIP: 14689AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2040000 | PA      | $2049512.32   | 0.09%             | 2031-11-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                 | CATERPILLAR FINANCIAL SERVICES CORP                                             | CUSIP: 14913UAL4<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   4225000 | PA      | $4293896.68   | 0.19%             | 2027-05-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                        | CBRE SERVICES INC                                                               | CUSIP: 12505BAH3<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    580000 | PA      | $600995.39    | 0.03%             | 2029-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                        | CBRE SERVICES INC                                                               | CUSIP: 12505BAL4<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    745000 | PA      | $747461.29    | 0.03%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CELULOSA ARAUCO CONSTITU                 | CELULOSA ARAUCO Y CONSTITUCION SA                                               | CUSIP: 151191BB8<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |    570000 | PA      | $564626.47    | 0.03%             | 2027-11-02      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CENT 2025-CITY A 144A                    | CENT 2025-CITY                                                                  | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3715000 | PA      | $3768404.98   | 0.17%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                             | CENTENE CORP                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3095000 | PA      | $2856017.06   | 0.13%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON               | CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                         | CUSIP: 15189XAD0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    100000 | PA      | $113260.32    | 0.01%             | 2033-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CENTRA HEALTH INC                        | CENTRA HEALTH INC                                                               | CUSIP: 15236AAA9<br>LEI: 549300Q8RNBDU210L043 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20358.46     | 0.00%             | 2048-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| TX ST TRNPRTN COMM 1ST TR SR C           | CENTRAL TEXAS TURNPIKE SYSTEM                                                   | CUSIP: 88283KBL1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     40000 | PA      | $31223.56     | 0.00%             | 2041-08-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                      | CHARLES SCHWAB CORP/THE                                                         | CUSIP: 808513CL7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   3165000 | PA      | $3137037.69   | 0.14%             | 2036-11-14      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                 | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    690000 | PA      | $719652.64    | 0.03%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                 | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2365000 | PA      | $2132147.06   | 0.10%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                 | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1149351.46   | 0.05%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHAOT 2025-1A A3 144A                    | CHASE AUTO OWNER TRUST 2025-1                                                   | CUSIP: 16145NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $907913.97    | 0.04%             | 2030-06-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| CHPRK 2018-1A A2R 144A                   | CHENANGO PARK CLO LTD                                                           | CUSIP: 16409TAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    594746 | PA      | $594753.37    | 0.03%             | 2030-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                 | CHENIERE ENERGY PARTNERS LP                                                     | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   1865000 | PA      | $1943447.53   | 0.09%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                          | CHEVRON USA INC                                                                 | CUSIP: 166756BJ4<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |   2275000 | PA      | $2298233.20   | 0.10%             | 2030-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| CHICAGO IL INTL ARPT BLD AMERICA         | CHICAGO O'HARE INTERNATIONAL AIRPORT                                            | CUSIP: 167593AN2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1350000 | PA      | $1488247.83   | 0.07%             | 2040-01-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| CHILE                                    | CHILE GOVERNMENT INTERNATIONAL BOND                                             | CUSIP: 168863EE4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   3740000 | PA      | $3947081.34   | 0.18%             | 2037-01-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CIFC 2018-1A A1R 144A                    | CIFC FUNDING 2018-I LTD                                                         | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    935000 | PA      | $936959.76    | 0.04%             | 2038-01-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                          | CIGNA GROUP/THE                                                                 | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1861097.12   | 0.08%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                          | CIGNA GROUP/THE                                                                 | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    380000 | PA      | $382298.70    | 0.02%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                            | CITIGROUP INC                                                                   | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $2047335.77   | 0.09%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                            | CITIGROUP INC                                                                   | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1920000 | PA      | $1920117.08   | 0.09%             | 2029-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                            | CITIGROUP INC                                                                   | CUSIP: 172967FX4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    450000 | PA      | $471756.17    | 0.02%             | 2042-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CMLTI 2020-EXP2 A3 144A                  | CITIGROUP MORTGAGE LOAN TRUST INC                                               | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1001158 | PA      | $890139.56    | 0.04%             | 2050-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| L A CA DEPT ARPTS BAB TXB SUB SR C       | CITY OF LOS ANGELES DEPARTMENT OF AIRPORTS                                      | CUSIP: 544435Q52<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    700000 | PA      | $804835.71    | 0.04%             | 2040-05-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                          | CMS ENERGY CORP                                                                 | CUSIP: 125896BN9<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    635000 | PA      | $567716.19    | 0.03%             | 2044-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                   | CNH INDUSTRIAL CAPITAL LLC                                                      | CUSIP: 12592BAW4<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   4400000 | PA      | $4363300.19   | 0.20%             | 2031-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING 144A                  | CNO GLOBAL FUNDING                                                              | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    515000 | PA      | $523649.45    | 0.02%             | 2029-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COLT 2025-8 A1 144A                      | COLT 2025-8 MORTGAGE LOAN TRUST                                                 | CUSIP: 19689DAA7<br>LEI: 2138009IZ4NQZAKAEN75 | Long             | ABS-MBS          | CORP              | US        |   1921135 | PA      | $1943551.31   | 0.09%             | 2070-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO 144A            | COLUMBIA PIPELINES HOLDING CO LLC                                               | CUSIP: 19828AAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3405000 | PA      | $3417842.81   | 0.15%             | 2032-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                             | COMCAST CORP                                                                    | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9432.49      | 0.00%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                             | COMCAST CORP                                                                    | CUSIP: 20030NEG2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2490000 | PA      | $2232041.30   | 0.10%             | 2064-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                             | COMCAST CORP                                                                    | CUSIP: 20030NBT7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     80000 | PA      | $67921.95     | 0.00%             | 2036-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                      | COMMONSPIRIT HEALTH                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    980000 | PA      | $912140.20    | 0.04%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                      | COMMONSPIRIT HEALTH                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     40000 | PA      | $29834.05     | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| CONE 2024-DFW1 A 144A                    | CONE TRUST 2024-DFW1                                                            | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685000 | PA      | $685000.00    | 0.03%             | 2041-08-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CAS 2023-R04 1M1 144A                    | CONNECTICUT AVENUE SECURITIES TRUST 2023-R04                                    | CUSIP: 20754QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440257 | PA      | $1471512.90   | 0.07%             | 2043-05-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BESTFOODS                                | CONOPCO INC                                                                     | CUSIP: 08658EAA5<br>LEI: 549300DWD4D3B5EZJC04 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5269.49      | 0.00%             | 2028-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                 | CONSTELLATION ENERGY GENERATION LLC                                             | CUSIP: 210385AQ3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1770841.09   | 0.08%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| COREBRIDGE GLOB FUNDING 144A             | COREBRIDGE GLOBAL FUNDING                                                       | CUSIP: 00138CBG2<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    885000 | PA      | $887530.72    | 0.04%             | 2028-08-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING 144A             | COREBRIDGE GLOBAL FUNDING                                                       | CUSIP: 00138CBB3<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1086104.81   | 0.05%             | 2027-08-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CODELCO INC 144A                         | CORP NACIONAL DEL COBRE DE CHILE                                                | CUSIP: 21987BBC1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    570000 | PA      | $549848.96    | 0.02%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FULTON CNTY GA BABS                      | COUNTY OF FULTON GA                                                             | CUSIP: 360046Q90<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2660000 | PA      | $2703948.25   | 0.12%             | 2039-07-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA 144A                  | CREDIT AGRICOLE SA                                                              | CUSIP: 22535WAT4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1840000 | PA      | $1840926.83   | 0.08%             | 2032-01-12      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC 144A             | CRH AMERICA FINANCE INC                                                         | CUSIP: 12636YAC6<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1696228.85   | 0.08%             | 2028-04-04      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTL CORP                   | CROWN CASTLE INC                                                                | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    700000 | PA      | $698748.47    | 0.03%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTL CORP                   | CROWN CASTLE INC                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2032397.24   | 0.09%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTL CORP                   | CROWN CASTLE INC                                                                | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1665000 | PA      | $1489224.82   | 0.07%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                          | CVS HEALTH CORP                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    925000 | PA      | $830422.50    | 0.04%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                          | CVS HEALTH CORP                                                                 | CUSIP: 126650EA4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2705000 | PA      | $2598133.86   | 0.12%             | 2063-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                          | CVS HEALTH CORP                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $998867.70    | 0.04%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                          | CVS HEALTH CORP                                                                 | CUSIP: 126650EB2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1407678.15   | 0.06%             | 2029-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                          | CVS HEALTH CORP                                                                 | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    420000 | PA      | $426604.95    | 0.02%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CYRUS 2024-2A A2 144A                    | CYRUSONE DATA CENTERS ISSUER I LLC                                              | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2490000 | PA      | $2441682.30   | 0.11%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA 144A              | DAIMLER TRUCK FINANCE NORTH AMERICA LLC                                         | CUSIP: 233853BK5<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    785000 | PA      | $784765.87    | 0.04%             | 2029-01-12      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA 144A              | DAIMLER TRUCK FINANCE NORTH AMERICA LLC                                         | CUSIP: 233853AW0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    560000 | PA      | $572112.23    | 0.03%             | 2034-01-18      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DALLAS FT WORTH TX ARPT TXBL SER A       | DALLAS FORT WORTH INTERNATIONAL AIRPORT                                         | CUSIP: 2350364W7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     15000 | PA      | $12935.80     | 0.00%             | 2038-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| DALLAS FT WORTH TX ARPT TXBL SER C       | DALLAS FORT WORTH INTERNATIONAL AIRPORT                                         | CUSIP: 2350366Z8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3945000 | PA      | $3216248.04   | 0.14%             | 2040-11-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S 144A                     | DANSKE BANK A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    470000 | PA      | $488474.06    | 0.02%             | 2030-03-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC A 144A                      | DBC 2025-DBC MORTGAGE TRUST                                                     | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $726359.38    | 0.03%             | 2042-11-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| DRMT 2026-INV1 A1 144A                   | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2026-INV1                                  | CUSIP: 24381GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1550000 | PA      | $1551935.07   | 0.07%             | 2070-12-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-1 C 144A                       | DELL EQUIPMENT FINANCE TRUST 2024-1                                             | CUSIP: 24702GAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101454.33    | 0.00%             | 2030-03-22      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-2 A3 144A                      | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $629212.56    | 0.03%             | 2030-08-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| DETROIT MI CITY SD QSCB                  | DETROIT CITY SCHOOL DISTRICT                                                    | CUSIP: 251130EC0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1255000 | PA      | $1337069.47   | 0.06%             | 2029-05-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| DEXT 2025-2 A3 144A                      | DEXT ABS 2025-2 LLC                                                             | CUSIP: 252153AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365000 | PA      | $365026.72    | 0.02%             | 2036-04-15      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                   | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XAY5<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    550000 | PA      | $566036.39    | 0.03%             | 2030-01-30      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HONK 2020-1A A2 144A                     | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26209XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371800 | PA      | $366707.89    | 0.02%             | 2050-07-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| HONK 2021-1A A2 144A                     | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1592627 | PA      | $1506745.36   | 0.07%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                            | DTE ENERGY CO                                                                   | CUSIP: 233331BL0<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    390000 | PA      | $414852.83    | 0.02%             | 2034-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                            | DTE ENERGY CO                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   2645000 | PA      | $2713490.97   | 0.12%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                         | DUKE ENERGY CORP                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    355000 | PA      | $352427.53    | 0.02%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                         | DUKE ENERGY CORP                                                                | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1035354.31   | 0.05%             | 2035-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY FLORIDA LLC                  | DUKE ENERGY FLORIDA LLC                                                         | CUSIP: 26444HAU5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   2210000 | PA      | $2193805.88   | 0.10%             | 2035-12-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER CORP                       | DUKE ENERGY FLORIDA LLC                                                         | CUSIP: 341099CH0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    170000 | PA      | $188286.69    | 0.01%             | 2037-09-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PROGRESS ENERGY CAR                      | DUKE ENERGY PROGRESS LLC                                                        | CUSIP: 144141CY2<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    100000 | PA      | $110439.71    | 0.00%             | 2038-04-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL 144A            | EAGLE FUNDING LUXCO SARL                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   2720000 | PA      | $2763332.80   | 0.12%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1 A1 144A                   | EFMT 2025-INV1                                                                  | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |    448291 | PA      | $454031.26    | 0.02%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV5 A1 144A                   | EFMT 2025-INV5                                                                  | CUSIP: 28224UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    797644 | PA      | $801668.45    | 0.04%             | 2070-12-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM5 A1 144A                   | EFMT 2025-NQM5                                                                  | CUSIP: 28225KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389023 | PA      | $391020.43    | 0.02%             | 2070-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM6 A1 144A                   | EFMT 2025-NQM6                                                                  | CUSIP: 281916AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    561176 | PA      | $563822.77    | 0.03%             | 2070-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| EHGVT 2023-A B 144A                      | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238303 | PA      | $245217.76    | 0.01%             | 2038-02-25      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| EHGVT 2023-A A 144A                      | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    296926 | PA      | $306705.93    | 0.01%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| ELD 2025-2A A1 144A                      | ELDRIDGE CLO 2025-2 LTD                                                         | CUSIP: 28473AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2045000 | PA      | $2050429.48   | 0.09%             | 2039-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT 144A            | ELEMENT FLEET MANAGEMENT CORP                                                   | CUSIP: 286181AR3<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   3370000 | PA      | $3375564.26   | 0.15%             | 2030-11-24      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| ANTHEM INC                               | ELEVANCE HEALTH INC                                                             | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    485000 | PA      | $432175.80    | 0.02%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ANTHEM INC                               | ELEVANCE HEALTH INC                                                             | CUSIP: 036752AH6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $962487.29    | 0.04%             | 2048-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| EFMT 2019-2 A3 144A                      | ELLINGTON FINANCIAL MORTGAGE TRUST 2019-2                                       | CUSIP: 31573TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64489 | PA      | $62986.14     | 0.00%             | 2059-11-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| EFMT 2020-2 A1 144A                      | ELLINGTON FINANCIAL MORTGAGE TRUST 2020-2                                       | CUSIP: 31573WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429389 | PA      | $409189.78    | 0.02%             | 2065-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| ELM20 2022-7A AR 144A                    | ELMWOOD CLO 20 LTD                                                              | CUSIP: 29002AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1160000 | PA      | $1159710.00   | 0.05%             | 2037-01-17      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ELM20 2022-7A AR2 144A                   | ELMWOOD CLO 20 LTD                                                              | CUSIP: 29002AAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1160000 | PA      | $1160000.00   | 0.05%             | 2039-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ENACT HOLDINGS INC                       | ENACT HOLDINGS INC                                                              | CUSIP: 29249EAA7<br>LEI: 9845003CA5664B741N19 | Long             | DBT              | CORP              | US        |    505000 | PA      | $529299.68    | 0.02%             | 2029-05-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERGY PARTNERS                 | ENBRIDGE ENERGY PARTNERS LP                                                     | CUSIP: 29250RAT3<br>LEI: CZ6VG2MNE1J6YDI02G48 | Long             | DBT              | CORP              | US        |    170000 | PA      | $168929.83    | 0.01%             | 2040-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NBZ7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    610000 | PA      | $670958.03    | 0.03%             | 2053-11-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NAM7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    555000 | PA      | $544201.88    | 0.02%             | 2046-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NCH6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    340000 | PA      | $344640.42    | 0.02%             | 2028-06-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NCM5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   2255000 | PA      | $2261511.21   | 0.10%             | 2028-11-20      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    355000 | PA      | $355679.06    | 0.02%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                             | ENBRIDGE INC                                                                    | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    795000 | PA      | $828208.22    | 0.04%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV 144A                | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1815000 | PA      | $1809698.21   | 0.08%             | 2030-09-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                       | ENERGY TRANSFER LP                                                              | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1549764.80   | 0.07%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                       | ENERGY TRANSFER LP                                                              | CUSIP: 29273VBK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2057310.33   | 0.09%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| ENGIE SA 144A                            | ENGIE SA                                                                        | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |    660000 | PA      | $689563.51    | 0.03%             | 2034-04-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ENI SPA 144A                             | ENI SPA                                                                         | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    845000 | PA      | $872270.44    | 0.04%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENI SPA 144A                             | ENI SPA                                                                         | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    930000 | PA      | $933916.95    | 0.04%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| EFF 2024-3 A3 144A                       | ENTERPRISE FLEET FINANCING 2024-3 LLC                                           | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $167174.37    | 0.01%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| EFF 2024-3 A4 144A                       | ENTERPRISE FLEET FINANCING 2024-3 LLC                                           | CUSIP: 29375QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $117569.72    | 0.01%             | 2031-03-20      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| EFF 2024-4 A2 144A                       | ENTERPRISE FLEET FINANCING 2024-4 LLC                                           | CUSIP: 29374MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    358562 | PA      | $359793.56    | 0.02%             | 2027-07-20      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| EFF 2024-4 A4 144A                       | ENTERPRISE FLEET FINANCING 2024-4 LLC                                           | CUSIP: 29374MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    790000 | PA      | $802855.91    | 0.04%             | 2031-06-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EFF 2025-3 A3 144A                       | ENTERPRISE FLEET FINANCING 2025-3 LLC                                           | CUSIP: 29375UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1775000 | PA      | $1795036.20   | 0.08%             | 2029-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                 | ENTERPRISE PRODUCTS OPERATING LLC                                               | CUSIP: 29379VCE1<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2845000 | PA      | $2865507.68   | 0.13%             | 2027-01-11      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                 | ENTERPRISE PRODUCTS OPERATING LLC                                               | CUSIP: 29379VCK7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $2137088.13   | 0.10%             | 2031-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                 | ENTERPRISE PRODUCTS OPERATING LLC                                               | CUSIP: 29379VCJ0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1154823.15   | 0.05%             | 2028-06-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                        | EOG RESOURCES INC                                                               | CUSIP: 26875PBB6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $1056904.83   | 0.05%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                        | EOG RESOURCES INC                                                               | CUSIP: 26875PAX9<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1310498.70   | 0.06%             | 2028-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL 144A            | EQUITABLE AMERICA GLOBAL FUNDING                                                | CUSIP: 29446Q2F9<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    345000 | PA      | $346363.03    | 0.02%             | 2028-12-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL 144A            | EQUITABLE AMERICA GLOBAL FUNDING                                                | CUSIP: 29446Q2E2<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    400000 | PA      | $398563.32    | 0.02%             | 2032-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL 144A            | EQUITABLE AMERICA GLOBAL FUNDING                                                | CUSIP: 29446Q2A0<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |   1915000 | PA      | $1936578.73   | 0.09%             | 2028-06-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC 144A                | ERAC USA FINANCE LLC                                                            | CUSIP: 26884TAW2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1613308.47   | 0.07%             | 2033-05-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC 144A                | ERAC USA FINANCE LLC                                                            | CUSIP: 26884TAN2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    260000 | PA      | $225932.12    | 0.01%             | 2045-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                       | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PBD8<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   3050000 | PA      | $2969608.47   | 0.13%             | 2036-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                       | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    660000 | PA      | $588419.30    | 0.03%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                       | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PAS6<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1231768.89   | 0.06%             | 2048-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                              | EXELON CORP                                                                     | CUSIP: 30161NAU5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1815000 | PA      | $1812655.83   | 0.08%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| EART 2025-4A B                           | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4                                      | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1335000 | PA      | $1343703.27   | 0.06%             | 2030-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EART 2025-5A A3                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-5                                      | CUSIP: 30166VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975000 | PA      | $978837.21    | 0.04%             | 2029-11-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| ESART 2025-2 A3                          | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                               | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1155000 | PA      | $1162902.97   | 0.05%             | 2030-08-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| ESA 2025-ESH A 144A                      | EXTENDED STAY AMERICA TRUST 2025-ESH                                            | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $939088.01    | 0.04%             | 2042-10-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                   | EXTRA SPACE STORAGE LP                                                          | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14900.64     | 0.00%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                   | EXTRA SPACE STORAGE LP                                                          | CUSIP: 30225VAV9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    755000 | PA      | $759128.61    | 0.03%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA FEB                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11545000 | PA      | $11539296.77  | 0.52%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA FEB                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1060000 | PA      | $859411.96    | 0.04%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA FEB                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2034183.80   | 0.09%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140Y7D21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4033353 | PA      | $4114793.76   | 0.18%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20874 | PA      | $20264.35     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XDGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318040 | PA      | $287265.86    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463981 | PA      | $412449.71    | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418BWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8261 | PA      | $8020.12      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418BYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187394 | PA      | $181920.29    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    924005 | PA      | $845645.64    | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140NLSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596428 | PA      | $596605.15    | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3795622 | PA      | $3637958.39   | 0.16%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2661318 | PA      | $2273194.77   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418FKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1354149 | PA      | $1403591.77   | 0.06%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417YSE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184901 | PA      | $188915.89    | 0.01%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31411UTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        35 | PA      | $37.42        | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2368917 | PA      | $2025207.31   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390117 | PA      | $373703.05    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5556384 | PA      | $5693350.87   | 0.26%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304807 | PA      | $285444.89    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3593736 | PA      | $2941327.81   | 0.13%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418RGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5417 | PA      | $5534.26      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QKR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3202734 | PA      | $2755878.13   | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138X2RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623365 | PA      | $573847.02    | 0.03%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52790 | PA      | $48631.58     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140NGTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593100 | PA      | $594582.33    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2904736 | PA      | $2502253.95   | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393641 | PA      | $360531.73    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                 | FANNIE MAE POOL                                                                 | CUSIP: 31407CB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3203 | PA      | $3237.91      | 0.00%             | 2035-07-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227309 | PA      | $222820.75    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR MODIFIED STEP RATE             | FANNIE MAE POOL                                                                 | CUSIP: 3140FXGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2678 | PA      | $2692.85      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43091 | PA      | $42814.66     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200591 | PA      | $195585.09    | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QNCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1531310 | PA      | $1258816.82   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417DF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127535 | PA      | $118082.21    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752101 | PA      | $617205.52    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J5UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119967 | PA      | $117549.44    | 0.01%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371LWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21798 | PA      | $22847.11     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55227 | PA      | $50543.86     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2161391 | PA      | $1844470.67   | 0.08%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140F0GY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20962 | PA      | $19152.97     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1728465 | PA      | $1405057.94   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140BE7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165930 | PA      | $173079.28    | 0.01%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138E9AW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1640 | PA      | $1603.85      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19192 | PA      | $19225.52     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1148382 | PA      | $1075433.26   | 0.05%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22483 | PA      | $23447.81     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140Q7UB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337624 | PA      | $329253.95    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548856 | PA      | $567200.50    | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11590479 | PA      | $9482631.66   | 0.43%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418FTA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1304772 | PA      | $1304360.28   | 0.06%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EH6R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23572 | PA      | $24416.71     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1626 | PA      | $1741.64      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5032948 | PA      | $4947519.52   | 0.22%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    947518 | PA      | $842173.78    | 0.04%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138ERN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61588 | PA      | $59170.06     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2078910 | PA      | $1790854.99   | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    937758 | PA      | $961599.53    | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EJBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229820 | PA      | $225269.84    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QWBA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1334451 | PA      | $1361629.01   | 0.06%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410LS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158670 | PA      | $151407.04    | 0.01%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1763 | PA      | $1798.42      | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48398 | PA      | $46203.78     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371MNT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11748 | PA      | $12386.55     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XFSL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3424133 | PA      | $2953268.55   | 0.13%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387336 | PA      | $357953.60    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QT2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485286 | PA      | $495794.91    | 0.02%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358325 | PA      | $357209.18    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23517 | PA      | $23558.58     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XLG28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2178821 | PA      | $1798702.19   | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3312 | PA      | $3537.95      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J7SA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93837 | PA      | $93130.27     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480738 | PA      | $474027.61    | 0.02%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419ARE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       168 | PA      | $174.29       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140HMPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77426 | PA      | $78816.33     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5063 | PA      | $4600.21      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189592 | PA      | $183401.51    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631380 | PA      | $643948.72    | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       547 | PA      | $579.10       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7XP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615050 | PA      | $598183.78    | 0.03%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1374159 | PA      | $1273597.56   | 0.06%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                 | FANNIE MAE POOL                                                                 | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1618 | PA      | $1647.21      | 0.00%             | 2037-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJGP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90724 | PA      | $82894.49     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43 | PA      | $44.07        | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138A2GV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1181 | PA      | $1157.30      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1994942 | PA      | $1843035.97   | 0.08%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2032 | PA      | $1916.69      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392074 | PA      | $394180.58    | 0.02%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59938 | PA      | $60043.87     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138X3GC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78883 | PA      | $77096.54     | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3168491 | PA      | $2717576.41   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1174500 | PA      | $1211749.16   | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140XHCV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322229 | PA      | $319233.01    | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QM6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2805351 | PA      | $2486686.32   | 0.11%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ETGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77116 | PA      | $73660.91     | 0.00%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216936 | PA      | $203156.05    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J8E25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245826 | PA      | $243410.07    | 0.01%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1939 | PA      | $1973.71      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140F5TN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76896 | PA      | $70374.51     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1330 | PA      | $1329.36      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761571 | PA      | $777607.40    | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X6GH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767863 | PA      | $771989.58    | 0.03%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5048 | PA      | $5157.93      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140XHHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1413828 | PA      | $1276729.99   | 0.06%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416XJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6590 | PA      | $6459.96      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140LVQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653808 | PA      | $605036.11    | 0.03%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16589 | PA      | $16104.64     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140Y7EQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3909774 | PA      | $4030551.06   | 0.18%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140W0MN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1912205 | PA      | $1974978.58   | 0.09%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96452 | PA      | $98545.77     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336544 | PA      | $334250.91    | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140K3B27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1710 | PA      | $1658.46      | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J6CR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79606 | PA      | $75961.71     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31386FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $13.94        | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1492 | PA      | $1564.29      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55686 | PA      | $59233.35     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6906 | PA      | $7046.16      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    740123 | PA      | $636858.67    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138YR3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105145 | PA      | $99708.42     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96744 | PA      | $94833.67     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140W3RE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959973 | PA      | $996959.15    | 0.04%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140W4TL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3197238 | PA      | $3264283.99   | 0.15%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140F5C35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284030 | PA      | $259729.94    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31400GV36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3759 | PA      | $3919.71      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4240 | PA      | $4467.43      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140X7A82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116237 | PA      | $112410.18    | 0.01%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642815 | PA      | $524097.91    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75279 | PA      | $79707.29     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QRKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1625034 | PA      | $1695046.13   | 0.08%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861356 | PA      | $813400.90    | 0.04%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31390NEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3645 | PA      | $3854.00      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140LNFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982395 | PA      | $850972.30    | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WEKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102131 | PA      | $96850.38     | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417DQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329489 | PA      | $304781.41    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596390 | PA      | $488954.31    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140EU6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5098 | PA      | $4552.44      | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288578 | PA      | $291988.91    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410GBE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14823 | PA      | $15376.30     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J6F28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40647 | PA      | $38270.59     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1255189 | PA      | $1202205.23   | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138YGXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1446 | PA      | $1358.99      | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WF3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124619 | PA      | $118175.54    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419GWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30226 | PA      | $30388.70     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17600 | PA      | $18501.40     | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XKXM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489283 | PA      | $420562.12    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31384VQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       472 | PA      | $490.68       | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398199 | PA      | $408322.81    | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JACW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1122 | PA      | $1084.87      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15200 | PA      | $14755.99     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140W3GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    972696 | PA      | $991281.22    | 0.04%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138AW5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8027 | PA      | $7987.58      | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41193 | PA      | $40618.34     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1513036 | PA      | $1300525.41   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13763 | PA      | $14574.42     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QVG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9927493 | PA      | $10248956.30  | 0.46%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31413EAD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       699 | PA      | $748.56       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5099 | PA      | $4896.14      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417GP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9284 | PA      | $8546.45      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209748 | PA      | $207669.66    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JAP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    881554 | PA      | $836127.60    | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9276 | PA      | $9066.82      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WH6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253340 | PA      | $231665.46    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2182482 | PA      | $1794114.05   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140KQTJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22992 | PA      | $20702.06     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FE2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498230 | PA      | $481688.69    | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X4D86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1177169 | PA      | $1106238.18   | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410KHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30666 | PA      | $31810.05     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371NZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2198 | PA      | $2359.60      | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                 | FANNIE MAE POOL                                                                 | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6211 | PA      | $6349.36      | 0.00%             | 2036-07-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3578777 | PA      | $2927659.41   | 0.13%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251646 | PA      | $230116.38    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25216 | PA      | $26932.27     | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EGTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34658 | PA      | $35412.60     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140X5WP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1843451 | PA      | $1735050.13   | 0.08%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138ERN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263562 | PA      | $253469.32    | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJGD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707252 | PA      | $648257.40    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31412SA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1701 | PA      | $1808.87      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140QPDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1429834 | PA      | $1351088.96   | 0.06%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639588 | PA      | $547353.27    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X6V24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982471 | PA      | $987751.31    | 0.04%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4896 | PA      | $4667.89      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2559306 | PA      | $2569360.03   | 0.12%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1731419 | PA      | $1599579.07   | 0.07%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410GJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25600 | PA      | $26514.80     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287129 | PA      | $297390.05    | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527272 | PA      | $481770.20    | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WLAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160376 | PA      | $151105.73    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31413TK27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        73 | PA      | $78.31        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X4TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218097 | PA      | $198232.00    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31386CUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        99 | PA      | $100.12       | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WF2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519728 | PA      | $492854.57    | 0.02%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DH54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7408 | PA      | $7338.03      | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418CQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321523 | PA      | $305781.56    | 0.01%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138W9NY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135713 | PA      | $125259.36    | 0.01%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410CRD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15980 | PA      | $17061.92     | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2383624 | PA      | $1970988.02   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419AJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11966 | PA      | $12225.46     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417YVG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10452 | PA      | $10245.33     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11322 | PA      | $11728.46     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2103618 | PA      | $2167470.77   | 0.10%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200063 | PA      | $183097.12    | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32257 | PA      | $33413.59     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2143 | PA      | $2141.69      | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31932 | PA      | $33250.30     | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J93L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56596 | PA      | $53705.27     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7UD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1228487 | PA      | $1274322.21   | 0.06%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55011 | PA      | $53924.74     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X9KW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336737 | PA      | $336470.10    | 0.02%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410KGR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23074 | PA      | $24654.94     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140BNZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1343263 | PA      | $1367164.54   | 0.06%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3138WD5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12015 | PA      | $11761.16     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XKG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1403074 | PA      | $1463523.31   | 0.07%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QVLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1002887 | PA      | $1027003.61   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    666652 | PA      | $626008.26    | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XNZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1360438 | PA      | $1161718.53   | 0.05%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7WZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341750 | PA      | $331120.43    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5265534 | PA      | $4493867.73   | 0.20%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8AN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260292 | PA      | $252196.45    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318453 | PA      | $289333.97    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417UHR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       576 | PA      | $603.59       | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306338 | PA      | $307898.72    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140X6BM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314126 | PA      | $306330.44    | 0.01%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196651 | PA      | $170279.90    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J72R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427257 | PA      | $417040.95    | 0.02%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JAD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444415 | PA      | $430592.22    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUNX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2126439 | PA      | $2219396.09   | 0.10%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287924 | PA      | $289630.15    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44 | PA      | $46.58        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11289 | PA      | $11773.02     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140E0E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296424 | PA      | $278562.67    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EPHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5098 | PA      | $5111.32      | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1336 | PA      | $1404.23      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138A2BP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3077 | PA      | $3016.20      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JAAY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4061 | PA      | $3689.66      | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152415 | PA      | $150913.29    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410FYU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48705 | PA      | $50521.73     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56189 | PA      | $58285.95     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771447 | PA      | $747452.51    | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138E2LR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189825 | PA      | $187174.85    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8460 | PA      | $8178.81      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138YNLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505009 | PA      | $478897.08    | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QEYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2477602 | PA      | $2153335.63   | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277698 | PA      | $257930.56    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7213 | PA      | $7583.11      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5416217 | PA      | $5026666.51   | 0.23%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJGK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326053 | PA      | $298157.22    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103115 | PA      | $105168.10    | 0.00%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31385HSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       524 | PA      | $548.58       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J5SM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134915 | PA      | $130802.13    | 0.01%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XPW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1386752 | PA      | $1145864.51   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140Y6U57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4126675 | PA      | $4295579.90   | 0.19%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410GNK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136079 | PA      | $136878.26    | 0.01%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XJ6F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1063562 | PA      | $947822.19    | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4272 | PA      | $4563.30      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418FAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3355349 | PA      | $3404781.62   | 0.15%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140FXGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279392 | PA      | $274816.88    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8VP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261222 | PA      | $241406.74    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140XCV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468588 | PA      | $435200.98    | 0.02%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WGDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88411 | PA      | $83083.49     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XRVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37271 | PA      | $38813.44     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WAXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       334 | PA      | $333.34       | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218772 | PA      | $194474.29    | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QNDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2555637 | PA      | $2203410.49   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4241774 | PA      | $3464107.63   | 0.16%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       648 | PA      | $647.16       | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FGMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147435 | PA      | $134931.69    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410FX67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19194 | PA      | $19881.94     | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138YT6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2831 | PA      | $2688.48      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416YDZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41176 | PA      | $42072.01     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45387 | PA      | $47855.22     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263280 | PA      | $250167.70    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J8TH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219574 | PA      | $212480.29    | 0.01%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FGNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91952 | PA      | $84154.04     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50980 | PA      | $51891.64     | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4122424 | PA      | $3612772.35   | 0.16%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402591 | PA      | $395940.34    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1358414 | PA      | $1382534.27   | 0.06%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99761 | PA      | $91850.79     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140EV5H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444291 | PA      | $417520.27    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85772 | PA      | $87634.36     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2015 | PA      | $1901.30      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417DMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95057 | PA      | $88011.09     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28016 | PA      | $25790.28     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2974 | PA      | $2792.84      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8UK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184170 | PA      | $184493.68    | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJ5G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    833020 | PA      | $784869.36    | 0.04%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140Y7S82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292887 | PA      | $298801.06    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1757 | PA      | $1790.86      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       590 | PA      | $621.64       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J95H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96179 | PA      | $90314.92     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5018 | PA      | $5205.18      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140XJKB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720087 | PA      | $665255.38    | 0.03%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WGA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427276 | PA      | $401530.55    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7RN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318757 | PA      | $320469.74    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FMTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    558452 | PA      | $522977.86    | 0.02%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752211 | PA      | $683758.16    | 0.03%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348987 | PA      | $338231.32    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31413HLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4043 | PA      | $4330.59      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114988 | PA      | $114274.68    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QCQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1505634 | PA      | $1355175.39   | 0.06%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438341 | PA      | $401167.62    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       232 | PA      | $240.75       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EQ2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263946 | PA      | $250464.79    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672395 | PA      | $651671.46    | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168379 | PA      | $152650.90    | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1632 | PA      | $1690.94      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3365440 | PA      | $3109175.84   | 0.14%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QVAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1656002 | PA      | $1711570.25   | 0.08%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1179935 | PA      | $1218142.78   | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418TUV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       966 | PA      | $987.14       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416XY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20615 | PA      | $20599.12     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239428 | PA      | $231479.12    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J7MP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3785 | PA      | $3554.60      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1016671 | PA      | $944683.31    | 0.04%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31405RLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40227 | PA      | $42157.11     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417FU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621766 | PA      | $573873.76    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253015 | PA      | $237770.02    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343733 | PA      | $296465.07    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418EDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1078584 | PA      | $973994.18    | 0.04%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1881579 | PA      | $1598448.82   | 0.07%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28680 | PA      | $28113.55     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371KHY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1685 | PA      | $1764.61      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140JLY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34745 | PA      | $33674.48     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16142 | PA      | $16170.64     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418AWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203379 | PA      | $197382.11    | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94174 | PA      | $89363.89     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31371M2R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1575 | PA      | $1706.93      | 0.00%             | 2036-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5502212 | PA      | $4505259.55   | 0.20%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8198 | PA      | $8719.87      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28314 | PA      | $27561.49     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140KLQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341723 | PA      | $307528.63    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18904 | PA      | $18531.24     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13415683 | PA      | $10989563.73  | 0.49%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QLNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1806151 | PA      | $1474636.95   | 0.07%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QQ3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1699173 | PA      | $1738938.02   | 0.08%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162681 | PA      | $167948.57    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       333 | PA      | $352.69       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    947346 | PA      | $866294.82    | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9726 | PA      | $10254.76     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418D4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3441129 | PA      | $3185495.03   | 0.14%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    529717 | PA      | $455316.31    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X4XA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517388 | PA      | $470131.65    | 0.02%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506763 | PA      | $475898.64    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138ERNB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395974 | PA      | $362096.01    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WGAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    740598 | PA      | $695972.90    | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138EK2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51725 | PA      | $51003.29     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681430 | PA      | $693022.37    | 0.03%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3004338 | PA      | $3046334.92   | 0.14%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    759529 | PA      | $764636.61    | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1554312 | PA      | $1455577.89   | 0.07%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1181113 | PA      | $1066581.55   | 0.05%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       226 | PA      | $236.67       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    860096 | PA      | $857417.30    | 0.04%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140X6C66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149441 | PA      | $152685.40    | 0.01%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140XK6P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1222424 | PA      | $1155592.28   | 0.05%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1333 | PA      | $1356.46      | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138YWJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40887 | PA      | $39692.99     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 31418ED98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1608906 | PA      | $1486394.95   | 0.07%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1256884 | PA      | $1179165.13   | 0.05%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8DT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1162139 | PA      | $1128192.73   | 0.05%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J9QZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    658215 | PA      | $700150.45    | 0.03%             | 2048-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140FGML0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1047397 | PA      | $957785.92    | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212984 | PA      | $199999.08    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31407D5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18411 | PA      | $19411.96     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507717 | PA      | $479466.62    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31403DBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16175 | PA      | $17054.49     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140QLQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2953878 | PA      | $2546416.18   | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267881 | PA      | $247909.05    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140J8GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794329 | PA      | $726966.52    | 0.03%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193363 | PA      | $176964.83    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21890 | PA      | $22674.69     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3138WGDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8451 | PA      | $8203.80      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4095109 | PA      | $3338610.97   | 0.15%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6773 | PA      | $6920.37      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FANNIE MAE POOL                                                                 | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184917 | PA      | $179874.25    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140MAYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687326 | PA      | $560530.23    | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1480072 | PA      | $1218843.42   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 31410LTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7740 | PA      | $7273.93      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FANNIE MAE POOL                                                                 | CUSIP: 3140EU4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1794 | PA      | $1684.23      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | NUSS              | US        |    500000 | PA      | $560604.49    | 0.03%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| FANNIE MAE                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31359MEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | NUSS              | US        |    342000 | PA      | $369414.10    | 0.02%             | 2029-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                               | FEDEX CORP                                                                      | CUSIP: 31428XDT0<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $5368722.46   | 0.24%             | 2047-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                  | FIDELITY NATIONAL FINANCIAL INC                                                 | CUSIP: 31620RAH8<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1626651.08   | 0.07%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                      | FIFTH THIRD BANCORP                                                             | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    460000 | PA      | $483319.43    | 0.02%             | 2029-07-27      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                      | FIFTH THIRD BANCORP                                                             | CUSIP: 316773DN7<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   2180000 | PA      | $2177854.41   | 0.10%             | 2032-04-29      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN EDISON CO 144A              | FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                            | CUSIP: 591894CC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2320000 | PA      | $2322045.22   | 0.10%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                 | FIRSTENERGY TRANSMISSION LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    610000 | PA      | $610369.43    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                               | FISERV INC                                                                      | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2147197.52   | 0.10%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FISERV INC                               | FISERV INC                                                                      | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9961.56      | 0.00%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FL ST DEV FIN CORP NOVA SE UNIV SER B    | FLORIDA DEVELOPMENT FINANCE CORP                                                | CUSIP: 34061UEQ7<br>LEI: 549300HC854CNBLMWC48 | Long             | DBT              | MUN               | US        |   1425000 | PA      | $1147279.61   | 0.05%             | 2050-04-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                 | FLORIDA POWER & LIGHT CO                                                        | CUSIP: 341081GU5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $3173410.70   | 0.14%             | 2034-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-2 B                           | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                      | CUSIP: 34528QJW5<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $260115.86    | 0.01%             | 2030-09-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-2 A1                          | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                      | CUSIP: 34528QJU9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   1330000 | PA      | $1332872.00   | 0.06%             | 2030-09-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                 | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397D67<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    635000 | PA      | $686461.17    | 0.03%             | 2033-11-07      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                 | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1442443.00   | 0.06%             | 2026-11-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS 144A            | FORTITUDE GROUP HOLDINGS LLC                                                    | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2593239.90   | 0.12%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FCBSL 2023-2A A1R 144A                   | FORTRESS CREDIT BSL XIX LTD                                                     | CUSIP: 34966BAN6<br>LEI: 2549008HR79TDG6LYY87 | Long             | ABS-CBDO         | CORP              | JE        |   5035000 | PA      | $5043629.99   | 0.23%             | 2036-07-24      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A               | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    765000 | PA      | $802636.47    | 0.04%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A               | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    885000 | PA      | $943162.52    | 0.04%             | 2032-01-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       636 | PA      | $665.94       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66542 | PA      | $63190.34     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1507 | PA      | $1572.87      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38481 | PA      | $35652.28     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLM GOLD                                | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4214 | PA      | $4159.68      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943DQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60052 | PA      | $60445.46     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14746 | PA      | $15386.69     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       842 | PA      | $891.90       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1582462 | PA      | $1439636.56   | 0.06%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5974 | PA      | $6361.14      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191594 | PA      | $189135.22    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31297DL97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8700 | PA      | $9128.66      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49596 | PA      | $49920.62     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132JMS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451256 | PA      | $415902.22    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3588 | PA      | $3655.64      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4282 | PA      | $4294.50      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199865 | PA      | $196145.75    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       494 | PA      | $512.71       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5041 | PA      | $5074.34      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5513 | PA      | $5869.51      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23011 | PA      | $23161.62     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86062 | PA      | $88036.48     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4918 | PA      | $5237.81      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1392 | PA      | $1396.01      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292GXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1951 | PA      | $2002.73      | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJTL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23951 | PA      | $22860.25     | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       676 | PA      | $715.75       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4911 | PA      | $5168.23      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       444 | PA      | $443.85       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HS97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2555 | PA      | $2688.48      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                          | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132KE4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136258 | PA      | $133148.38    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128KWH55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       271 | PA      | $288.07       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31862 | PA      | $31956.48     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       380 | PA      | $373.22       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312939WT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33956 | PA      | $34945.69     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940JV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70494 | PA      | $72664.99     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7100 | PA      | $6967.91      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1315 | PA      | $1290.95      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128KU6L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12801 | PA      | $13630.30     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HL93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2121 | PA      | $2224.93      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28746 | PA      | $28831.06     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10638 | PA      | $10439.96     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3990 | PA      | $3915.42      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HWN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1212 | PA      | $1275.10      | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    607420 | PA      | $577431.41    | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HLZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1063 | PA      | $1114.79      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                          | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82799 | PA      | $80947.82     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2216 | PA      | $2266.89      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8MA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32885 | PA      | $34314.31     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128KXSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7180 | PA      | $7644.86      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                          | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37005 | PA      | $36227.96     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K2DR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9330 | PA      | $9953.09      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66947 | PA      | $67144.36     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       785 | PA      | $770.02       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31298SV27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1191 | PA      | $1211.75      | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22085 | PA      | $22591.73     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    699356 | PA      | $664129.99    | 0.03%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32078 | PA      | $32287.81     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13784 | PA      | $14293.59     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HGC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       217 | PA      | $227.16       | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132JA6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334177 | PA      | $318953.87    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128KWBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       551 | PA      | $586.81       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1884 | PA      | $1848.82      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253283 | PA      | $233439.51    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14767 | PA      | $15105.15     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292KG76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6133 | PA      | $6529.28      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                               | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198252 | PA      | $192694.22    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHMS K137 A2                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | CUSIP: 3137H5DP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10520000 | PA      | $9537922.23   | 0.43%             | 2031-11-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FHMS K753 A2                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6065000 | PA      | $6143462.91   | 0.28%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHMS K-150 A2                            | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4545000 | PA      | $4395718.57   | 0.20%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHMS K-156 A2                            | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | CUSIP: 3137HA2B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3725000 | PA      | $3747820.47   | 0.17%             | 2033-02-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHMS K068 A1                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                    | CUSIP: 3137FBBW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119747 | PA      | $119052.79    | 0.01%             | 2027-02-25      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9629 | PA      | $9855.22      | 0.00%             | 2036-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NC3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3696 | PA      | $3785.90      | 0.00%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JM6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2803 | PA      | $2842.17      | 0.00%             | 2035-02-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7540 | PA      | $7706.84      | 0.00%             | 2036-12-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJ2R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14063 | PA      | $14361.01     | 0.00%             | 2037-04-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2666 | PA      | $2725.22      | 0.00%             | 2037-02-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DMRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    978113 | PA      | $882564.27    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132A8HM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8425 | PA      | $8351.84      | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9462582 | PA      | $8075836.33   | 0.36%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KN4U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    730402 | PA      | $627191.31    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1790531 | PA      | $1528127.92   | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DQLW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    467160 | PA      | $469231.64    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31427CYW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1204862 | PA      | $1226300.79   | 0.05%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132CWAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361262 | PA      | $356372.33    | 0.02%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31427MJ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1776997 | PA      | $1807599.46   | 0.08%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DTZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2361378 | PA      | $2412858.86   | 0.11%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    748918 | PA      | $735483.10    | 0.03%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DULT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2715091 | PA      | $2773314.75   | 0.12%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1328966 | PA      | $1285485.91   | 0.06%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31426PDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2118129 | PA      | $2178244.47   | 0.10%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132A4LW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311988 | PA      | $318762.33    | 0.01%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DS3J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1035719 | PA      | $1069719.63   | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KHKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472318 | PA      | $453652.61    | 0.02%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31426NU81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2746188 | PA      | $2750195.65   | 0.12%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132CXBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380865 | PA      | $375462.57    | 0.02%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DVCA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619490 | PA      | $643825.56    | 0.03%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2230806 | PA      | $1822904.45   | 0.08%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310725 | PA      | $254993.63    | 0.01%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1812344 | PA      | $1629125.28   | 0.07%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1616195 | PA      | $1384126.34   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161342 | PA      | $159844.20    | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DTTP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    875983 | PA      | $910395.14    | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KNGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4045622 | PA      | $3328533.75   | 0.15%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DUJN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3182640 | PA      | $3258514.24   | 0.15%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    480656 | PA      | $483105.34    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133CTLV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    763372 | PA      | $779270.70    | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DNB44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2187349 | PA      | $2047846.48   | 0.09%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37369 | PA      | $37503.58     | 0.00%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1093281 | PA      | $1099533.76   | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1310449 | PA      | $1125141.51   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1023353 | PA      | $909696.43    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31425VMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87187 | PA      | $89422.05     | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DSBZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    657068 | PA      | $628957.23    | 0.03%             | 2054-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3355231 | PA      | $2746121.55   | 0.12%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWLN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    737212 | PA      | $763033.65    | 0.03%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133CWPC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450868 | PA      | $468485.98    | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    535805 | PA      | $544919.77    | 0.02%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11292947 | PA      | $9209654.52   | 0.41%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3132CWL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1369823 | PA      | $1329890.21   | 0.06%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31427QJ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2626095 | PA      | $2633229.61   | 0.12%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133AMGK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    758605 | PA      | $657120.24    | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DQ6R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    652063 | PA      | $537885.60    | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1477903 | PA      | $1331948.69   | 0.06%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3270909 | PA      | $3133507.79   | 0.14%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3619389 | PA      | $3096315.43   | 0.14%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133CWHZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753631 | PA      | $777750.34    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254854 | PA      | $226549.03    | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3386872 | PA      | $3010321.93   | 0.14%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31426LK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    544581 | PA      | $561912.37    | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DNJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1302196 | PA      | $1169890.33   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DUCT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661827 | PA      | $661732.68    | 0.03%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3142GS4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479387 | PA      | $490915.32    | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2434660 | PA      | $2133665.23   | 0.10%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DSQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    690754 | PA      | $706310.28    | 0.03%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3315441 | PA      | $2859523.63   | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8008678 | PA      | $6531258.51   | 0.29%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    926614 | PA      | $823594.14    | 0.04%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KHDK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414758 | PA      | $401450.95    | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133ASJB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426514 | PA      | $366476.90    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2732281 | PA      | $2225632.69   | 0.10%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 31427PHV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1968086 | PA      | $2009728.50   | 0.09%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3142J6BV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3787662 | PA      | $3920950.95   | 0.18%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    826196 | PA      | $676172.90    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DULH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1138415 | PA      | $1185151.45   | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DVE92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1276461 | PA      | $1319293.11   | 0.06%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3142GVJY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1354775 | PA      | $1383696.02   | 0.06%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1077250 | PA      | $1083187.28   | 0.05%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KH3Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145058 | PA      | $144127.08    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    561713 | PA      | $460063.76    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DUL96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3966686 | PA      | $3676787.71   | 0.16%             | 2054-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2438461 | PA      | $2397083.50   | 0.11%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133KNJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1906746 | PA      | $1769274.53   | 0.08%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132E0A77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2028597 | PA      | $2073680.30   | 0.09%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                | FREDDIE MAC POOL                                                                | CUSIP: 3133GEL97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    422213 | PA      | $390847.68    | 0.02%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3133AQFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1229380 | PA      | $1044804.41   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                               | FREDDIE MAC POOL                                                                | CUSIP: 3132DMCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240360 | PA      | $218371.02    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STACR 2021-DNA7 M1 144A                  | FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                         | CUSIP: 35564KMA4<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |    231020 | PA      | $230879.61    | 0.01%             | 2041-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| STACR 2024-HQA2 A1 144A                  | FREDDIE MAC STACR REMIC TRUST 2024-HQA2                                         | CUSIP: 35564NDY6<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | USGSE             | US        |   1176000 | PA      | $1180400.35   | 0.05%             | 2044-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| STACR 2025-DNA3 M1 144A                  | FREDDIE MAC STACR REMIC TRUST 2025-DNA3                                         | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |   1710078 | PA      | $1713046.30   | 0.08%             | 2045-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| STACR 2025-HQA1 A1 144A                  | FREDDIE MAC STACR REMIC TRUST 2025-HQA1                                         | CUSIP: 35564NGY3<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | USGSE             | US        |    607750 | PA      | $608318.55    | 0.03%             | 2045-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                     | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    274000 | PA      | $267154.91    | 0.01%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GFMT 2018-1 A23 144A                     | GALTON FUNDING MORTGAGE TRUST 2017-1                                            | CUSIP: 36417JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31551 | PA      | $29027.07     | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GATX CORP                                | GATX CORP                                                                       | CUSIP: 361448BM4<br>LEI: 549300IHYHCQP2PIR591 | Long             | DBT              | CORP              | US        |   1785000 | PA      | $1906015.93   | 0.09%             | 2034-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM1 A1 144A                   | GCAT 2025-NQM1 TRUST                                                            | CUSIP: 36171GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265271 | PA      | $1277245.34   | 0.06%             | 2069-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM4 A1 144A                   | GCAT 2025-NQM4 TRUST                                                            | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2516683 | PA      | $2548726.05   | 0.11%             | 2070-06-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                   | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XEU6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    600000 | PA      | $623012.87    | 0.03%             | 2029-07-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                   | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XFN1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    650000 | PA      | $652476.08    | 0.03%             | 2036-01-08      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| GEORGETOWN UNIVERSITY                    | GEORGETOWN UNIVERSITY/THE                                                       | CUSIP: 37310PAC5<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1221520.25   | 0.05%             | 2049-04-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                         | GEORGIA POWER CO                                                                | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    895000 | PA      | $913565.48    | 0.04%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA FEB                          | GINNIE MAE                                                                      | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780000 | PA      | $797698.20    | 0.04%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA FEB                          | GINNIE MAE                                                                      | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5485000 | PA      | $5481709.00   | 0.25%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA FEB                          | GINNIE MAE                                                                      | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015000 | PA      | $990769.92    | 0.04%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA FEB                          | GINNIE MAE                                                                      | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7900000 | PA      | $7985162.00   | 0.36%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60718 | PA      | $59195.72     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36209RZR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       161 | PA      | $164.93       | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262493 | PA      | $247852.22    | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36209BFA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        35 | PA      | $35.26        | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       411 | PA      | $434.42       | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210BUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       101 | PA      | $102.62       | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 36225BEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        37 | PA      | $38.32        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN I                     | GINNIE MAE I POOL                                                               | CUSIP: 36206UPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         7 | PA      | $6.60         | 0.00%             | 2026-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36211D2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       246 | PA      | $247.89       | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210RKR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        40 | PA      | $40.40        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54151 | PA      | $55478.64     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 3620AVCW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3483 | PA      | $3495.08      | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67794 | PA      | $66058.31     | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36200X6E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20750 | PA      | $21532.33     | 0.00%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN I                     | GINNIE MAE I POOL                                                               | CUSIP: 36208QJG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       111 | PA      | $110.75       | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36213CU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       779 | PA      | $783.42       | 0.00%             | 2035-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 36225BZP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2178 | PA      | $2271.44      | 0.00%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36184BZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33260 | PA      | $31303.13     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6223 | PA      | $6493.25      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210BBB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       187 | PA      | $192.33       | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36178NGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120726 | PA      | $112044.26    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 36241KAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       451 | PA      | $453.82       | 0.00%             | 2034-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36211BKC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        88 | PA      | $88.80        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210RW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       201 | PA      | $205.50       | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 15 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 3620A56A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35032 | PA      | $35199.86     | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210VKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        20 | PA      | $19.87        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36210JVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        57 | PA      | $57.77        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                          | GINNIE MAE I POOL                                                               | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4121 | PA      | $3824.72      | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE I POOL                                                               | CUSIP: 36209E6V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       157 | PA      | $158.45       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1684746 | PA      | $1581509.64   | 0.07%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4325020 | PA      | $3597846.70   | 0.16%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179VKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148424 | PA      | $131460.28    | 0.01%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18338111 | PA      | $15888168.93  | 0.71%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96846 | PA      | $90876.28     | 0.00%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15652 | PA      | $15705.53     | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1142265 | PA      | $1044774.94   | 0.05%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    672005 | PA      | $630585.29    | 0.03%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141120 | PA      | $132472.31    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       752 | PA      | $687.38       | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3340 | PA      | $3340.11      | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71075 | PA      | $63479.51     | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315169 | PA      | $298369.99    | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176965 | PA      | $181811.99    | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36180AAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    652291 | PA      | $661792.50    | 0.03%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123603 | PA      | $116228.57    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14109 | PA      | $14158.24     | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       735 | PA      | $755.31       | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       618 | PA      | $564.84       | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3724943 | PA      | $3456704.27   | 0.16%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8558 | PA      | $8744.09      | 0.00%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7557804 | PA      | $6548442.13   | 0.29%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49763 | PA      | $47105.09     | 0.00%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201393 | PA      | $205991.47    | 0.01%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138098 | PA      | $129636.02    | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1002130 | PA      | $868247.38    | 0.04%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179RVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1919 | PA      | $1918.89      | 0.00%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1007006 | PA      | $837745.39    | 0.04%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2386252 | PA      | $2350122.55   | 0.11%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187621 | PA      | $187139.92    | 0.01%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159071 | PA      | $145706.40    | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27361 | PA      | $28130.39     | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36178WP45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2688 | PA      | $2544.17      | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1612979 | PA      | $1341865.13   | 0.06%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179RJG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135239 | PA      | $135227.32    | 0.01%             | 2045-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1658220 | PA      | $1496748.09   | 0.07%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3617G85D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21416 | PA      | $21775.54     | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1979452 | PA      | $1715000.75   | 0.08%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185133 | PA      | $185763.99    | 0.01%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1541154 | PA      | $1483098.25   | 0.07%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63413 | PA      | $65857.24     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1466 | PA      | $1428.87      | 0.00%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43870 | PA      | $41248.38     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32319 | PA      | $33094.16     | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780922 | PA      | $751865.92    | 0.03%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    910320 | PA      | $788702.45    | 0.04%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    668426 | PA      | $644008.46    | 0.03%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202DVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       543 | PA      | $553.25       | 0.00%             | 2033-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3622AAC28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585745 | PA      | $554441.04    | 0.02%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       507 | PA      | $517.65       | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335344 | PA      | $342745.67    | 0.02%             | 2048-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101016 | PA      | $95631.77     | 0.00%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       305 | PA      | $316.78       | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    748424 | PA      | $622590.58    | 0.03%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202D7H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8471 | PA      | $8798.56      | 0.00%             | 2034-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79573 | PA      | $81752.08     | 0.00%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90409 | PA      | $90383.05     | 0.00%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       384 | PA      | $393.49       | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123876 | PA      | $120731.18    | 0.01%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202ECN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2755 | PA      | $2814.70      | 0.00%             | 2035-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27934 | PA      | $26222.57     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2772738 | PA      | $2735421.46   | 0.12%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2384633 | PA      | $2276113.30   | 0.10%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154071 | PA      | $137605.72    | 0.01%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5123239 | PA      | $5052532.22   | 0.23%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530739 | PA      | $549046.41    | 0.02%             | 2052-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2478871 | PA      | $2267304.70   | 0.10%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179VQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320426 | PA      | $283804.57    | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1295 | PA      | $1215.54      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3452098 | PA      | $2871859.89   | 0.13%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179VDC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213124 | PA      | $188783.42    | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       346 | PA      | $358.99       | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88209 | PA      | $83484.10     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2812 | PA      | $2821.12      | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    835065 | PA      | $723501.98    | 0.03%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    645994 | PA      | $635064.79    | 0.03%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179MLA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1282 | PA      | $1310.44      | 0.00%             | 2042-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16459 | PA      | $16909.89     | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2208 | PA      | $2256.94      | 0.00%             | 2035-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    744056 | PA      | $698194.94    | 0.03%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340390 | PA      | $352015.06    | 0.02%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100106 | PA      | $102507.94    | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259209 | PA      | $265429.48    | 0.01%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43445 | PA      | $44487.90     | 0.00%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4172 | PA      | $3914.40      | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185468 | PA      | $192616.45    | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212213 | PA      | $218047.55    | 0.01%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4848 | PA      | $5034.18      | 0.00%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17589 | PA      | $16651.21     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1047644 | PA      | $871553.17    | 0.04%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2205845 | PA      | $1835080.51   | 0.08%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225208 | PA      | $218115.35    | 0.01%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1990976 | PA      | $2006308.84   | 0.09%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241919 | PA      | $245819.74    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31018 | PA      | $29164.78     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27541 | PA      | $25993.88     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60189 | PA      | $60397.61     | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3622AACK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393330 | PA      | $369047.32    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50777 | PA      | $49471.65     | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WSZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133355 | PA      | $121231.67    | 0.01%             | 2036-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71753 | PA      | $67356.20     | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213768 | PA      | $218648.41    | 0.01%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108063 | PA      | $101597.41    | 0.00%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227478 | PA      | $201497.77    | 0.01%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56951 | PA      | $53915.68     | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    792238 | PA      | $724622.57    | 0.03%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       374 | PA      | $381.72       | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179W3Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308641 | PA      | $280298.08    | 0.01%             | 2037-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EHE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3938 | PA      | $4024.50      | 0.00%             | 2036-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN II                    | GINNIE MAE II POOL                                                              | CUSIP: 36202CQB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        13 | PA      | $13.08        | 0.00%             | 2026-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51638 | PA      | $53057.35     | 0.00%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1918929 | PA      | $1831602.51   | 0.08%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WG69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424641 | PA      | $408644.68    | 0.02%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1600851 | PA      | $1610038.51   | 0.07%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112660 | PA      | $114340.16    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29259 | PA      | $27615.48     | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1262519 | PA      | $1259279.33   | 0.06%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    462970 | PA      | $446057.44    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470133 | PA      | $416439.97    | 0.02%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2684166 | PA      | $2422790.62   | 0.11%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       849 | PA      | $867.74       | 0.00%             | 2036-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2795 | PA      | $2798.27      | 0.00%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328719 | PA      | $308575.85    | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2832 | PA      | $2894.05      | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13146 | PA      | $13430.65     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78859 | PA      | $76375.77     | 0.00%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 3617G9FT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72275 | PA      | $73487.65     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1699303 | PA      | $1472278.93   | 0.07%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301251 | PA      | $305742.93    | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179X5H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1987659 | PA      | $2024959.54   | 0.09%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202ED48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       370 | PA      | $377.71       | 0.00%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                               | GINNIE MAE II POOL                                                              | CUSIP: 36202D3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65103 | PA      | $67613.10     | 0.00%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179QPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3317 | PA      | $3053.62      | 0.00%             | 2044-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171438 | PA      | $175143.83    | 0.01%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428521 | PA      | $412866.97    | 0.02%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182518 | PA      | $166940.33    | 0.01%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24879 | PA      | $25416.55     | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393034 | PA      | $372037.97    | 0.02%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    901679 | PA      | $782033.65    | 0.04%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135972 | PA      | $138164.71    | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202630 | PA      | $191829.41    | 0.01%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2027 | PA      | $2027.23      | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2016 | PA      | $2060.42      | 0.00%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TSK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211674 | PA      | $216346.05    | 0.01%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202E4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3331 | PA      | $3402.88      | 0.00%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222458 | PA      | $223228.33    | 0.01%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553513 | PA      | $519396.17    | 0.02%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1900769 | PA      | $1866182.52   | 0.08%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89889 | PA      | $86803.83     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720222 | PA      | $624001.86    | 0.03%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39239 | PA      | $37142.55     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179WUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183308 | PA      | $166766.56    | 0.01%             | 2037-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102131 | PA      | $93414.55     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       462 | PA      | $479.36       | 0.00%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                            | GINNIE MAE II POOL                                                              | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    597802 | PA      | $618014.22    | 0.03%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                  | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GC51<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2645000 | PA      | $2662461.31   | 0.12%             | 2056-01-28      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRP INC                    | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    455000 | PA      | $504789.59    | 0.02%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                  | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3705000 | PA      | $3689044.91   | 0.17%             | 2037-01-21      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                  | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1250739.74   | 0.06%             | 2030-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNR 2018-8 DA                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26614 | PA      | $25219.42     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-63 LM                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015000 | PA      | $855391.76    | 0.04%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2017-184 JH                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35423 | PA      | $32034.76     | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GRAND PKWY TRANSPRTN SUB TXBL TELA SR B  | GRAND PARKWAY TRANSPORTATION CORP                                               | CUSIP: 38611TDL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     15000 | PA      | $10423.18     | 0.00%             | 2052-10-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| GSMBS 2020-INV1 A14 144A                 | GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1                                   | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908133 | PA      | $793735.52    | 0.04%             | 2050-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-NQM3 A1 144A                  | GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM3                                   | CUSIP: 36274TAA7<br>LEI: 2549007JKCA9H9HUGZ71 | Long             | ABS-MBS          | CORP              | US        |   1427038 | PA      | $1434458.27   | 0.06%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                 | HACKENSACK MERIDIAN HEALTH INC                                                  | CUSIP: 404530AB3<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1390459.92   | 0.06%             | 2048-07-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| HLSY 2022-6A A1R 144A                    | HALSEYPOINT CLO 6 LTD                                                           | CUSIP: 40639GAN9<br>LEI: 5493001PG85K1980W896 | Long             | ABS-CBDO         | CORP              | KY        |   1710000 | PA      | $1715071.86   | 0.08%             | 2038-01-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| HNGRY 2024-1A A2 144A                    | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    951139 | PA      | $983429.38    | 0.04%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                  | HCA INC                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1691324.41   | 0.08%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                  | HCA INC                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    890000 | PA      | $913039.07    | 0.04%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP 144A            | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                              | CUSIP: 42218SAL2<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1114947.72   | 0.05%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                 | HEALTHCARE REALTY HOLDINGS LP                                                   | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    605000 | PA      | $598874.10    | 0.03%             | 2028-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES                    | HEALTHPEAK OP LLC                                                               | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    710000 | PA      | $672749.89    | 0.03%             | 2028-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES                    | HEALTHPEAK OP LLC                                                               | CUSIP: 42250PAB9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    420000 | PA      | $389982.12    | 0.02%             | 2031-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORP                         | HF SINCLAIR CORP                                                                | CUSIP: 403949AR1<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |    814000 | PA      | $843636.57    | 0.04%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| HGVT 2025-2A A 144A                      | HILTON GRAND VACATIONS TRUST 2025-2                                             | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618118 | PA      | $619776.56    | 0.03%             | 2044-05-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                           | HOME DEPOT INC/THE                                                              | CUSIP: 437076AS1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3239059.36   | 0.15%             | 2036-12-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM4 A1 144A                  | HOMES 2025-NQM4 TRUST                                                           | CUSIP: 403958AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2658011 | PA      | $2678827.59   | 0.12%             | 2070-08-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA                            | HSBC BANK USA NA                                                                | CUSIP: 4042Q1AA5<br>LEI: 1IE8VN30JCEQV1H4R804 | Long             | DBT              | CORP              | US        |    550000 | PA      | $581672.38    | 0.03%             | 2034-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                        | HSBC HOLDINGS PLC                                                               | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1725000 | PA      | $1882563.46   | 0.08%             | 2044-03-09      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                        | HSBC HOLDINGS PLC                                                               | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3345000 | PA      | $3234705.43   | 0.15%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HY 2025-SPRL A 144A                      | HUDSON YARDS 2025-SPRL MORTGAGE TRUST                                           | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555000 | PA      | $2648236.80   | 0.12%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                               | HUMANA INC                                                                      | CUSIP: 444859BY7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    835000 | PA      | $862853.63    | 0.04%             | 2034-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                               | HUMANA INC                                                                      | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    785000 | PA      | $804216.80    | 0.04%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HACLN 2024-1 B1 144A                     | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104211 | PA      | $105919.85    | 0.00%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HACLN 2025-1 B1 144A                     | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2025-1                          | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999306 | PA      | $1006430.10   | 0.05%             | 2033-03-21      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A             | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    500000 | PA      | $515282.52    | 0.02%             | 2029-03-19      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A             | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ADV6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1982511.00   | 0.09%             | 2028-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A             | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACB1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    820000 | PA      | $821863.39    | 0.04%             | 2026-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A             | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891AEE3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    850000 | PA      | $850616.18    | 0.04%             | 2031-01-08      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                      | ICE_CDX IG CDSI S44 5Y 06/20/2030 BARC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $290282.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                      | ICE_CDX IG CDSI S45 5Y 12/20/2030 BARC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $2257157.09   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| IL TOLL HWY BUILD AMER TXBL              | ILLINOIS STATE TOLL HIGHWAY AUTHORITY                                           | CUSIP: 452252FH7<br>LEI: 549300ISBFGI8MJJKM98 | Long             | DBT              | MUN               | US        |    315000 | PA      | $332814.35    | 0.01%             | 2034-01-01      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| INDIANA UNIV HEALTH INC                  | INDIANA UNIVERSITY HEALTH INC OBLIGATED GROUP                                   | CUSIP: 455170AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1030000 | PA      | $821361.18    | 0.04%             | 2048-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                             | ING GROEP NV                                                                    | CUSIP: 456837BH5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    740000 | PA      | $797711.99    | 0.04%             | 2034-09-11      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                             | ING GROEP NV                                                                    | CUSIP: 456837BM4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1655000 | PA      | $1718104.64   | 0.08%             | 2035-03-19      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                       | INGERSOLL RAND INC                                                              | CUSIP: 45687VAD8<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |   3131000 | PA      | $3237163.10   | 0.15%             | 2029-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                 | INTERCONTINENTAL EXCHANGE INC                                                   | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1479533.32   | 0.07%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                 | INTERCONTINENTAL EXCHANGE INC                                                   | CUSIP: 45866FBA1<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1654864.38   | 0.07%             | 2031-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INVCO 2023-1A AR 144A                    | INVESCO US CLO 2023-1 LTD                                                       | CUSIP: 46146GAQ5<br>LEI: 54930008KXQ75MGXPQ71 | Long             | ABS-CBDO         | CORP              | JE        |    730000 | PA      | $731048.28    | 0.03%             | 2037-04-22      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                | IQVIA INC                                                                       | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    735000 | PA      | $773453.68    | 0.03%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMCC 2016-NINE A 144A                   | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-NINE                | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1215000 | PA      | $1203834.27   | 0.05%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| JPMMT 2023-DSC2 A1 144A                  | J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                            | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    482088 | PA      | $484168.40    | 0.02%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL 144A            | JACKSON NATIONAL LIFE GLOBAL FUNDING                                            | CUSIP: 46849LVC2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   3620000 | PA      | $3652773.50   | 0.16%             | 2027-01-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL 144A            | JACKSON NATIONAL LIFE GLOBAL FUNDING                                            | CUSIP: 46849CJP7<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   2970000 | PA      | $3006982.24   | 0.13%             | 2028-06-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JTWN 2020-15A A1R 144A                   | JAMESTOWN CLO XV LTD                                                            | CUSIP: 47050EAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1315000 | PA      | $1318829.28   | 0.06%             | 2035-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV 144A                       | JDE PEET'S NV                                                                   | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |   1245000 | PA      | $1213662.61   | 0.05%             | 2027-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JMIKE 2021-1A A2I 144A                   | JERSEY MIKE'S FUNDING                                                           | CUSIP: 476681AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49250 | PA      | $48604.45     | 0.00%             | 2052-02-15      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                  | JOHN DEERE CAPITAL CORP                                                         | CUSIP: 24422EXF1<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1854126.05   | 0.08%             | 2027-01-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                  | JOHN DEERE CAPITAL CORP                                                         | CUSIP: 24422EXX2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2552185.96   | 0.11%             | 2031-09-08      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| JPMMT 2019-HYB1 B4 144A                  | JP MORGAN MORTGAGE TRUST 2019-HYB1                                              | CUSIP: 46651FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1079920 | PA      | $1090289.22   | 0.05%             | 2049-10-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-DSC2 A1 144A                  | JP MORGAN MORTGAGE TRUST 2025-DSC2                                              | CUSIP: 46659VAA6<br>LEI: 529900SXYOW2J5ABY729 | Long             | ABS-MBS          | CORP              | US        |   1450357 | PA      | $1460176.06   | 0.07%             | 2065-10-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-NMQ3 A1 144A                  | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM3                                       | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4027370 | PA      | $4072266.81   | 0.18%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    990000 | PA      | $988030.10    | 0.04%             | 2028-02-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46625HRV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    980000 | PA      | $974515.34    | 0.04%             | 2026-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PAJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4905000 | PA      | $4382010.10   | 0.20%             | 2038-07-24      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1351806.58   | 0.06%             | 2036-07-23      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1158705.56   | 0.05%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                      | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3170000 | PA      | $3262165.51   | 0.15%             | 2029-07-24      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| DR PEPPER SNAPPLE GROUP                  | KEURIG DR PEPPER INC                                                            | CUSIP: 26138EAU3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    450000 | PA      | $445700.60    | 0.02%             | 2026-09-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                        | KINDER MORGAN INC                                                               | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1852084.01   | 0.08%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KKR 2022-43A A1R 144A                    | KKR CLO 43 LTD                                                                  | CUSIP: 48255UAJ3<br>LEI: 25490088LQLWORRKOM10 | Long             | ABS-CBDO         | CORP              | JE        |   1080000 | PA      | $1081888.92   | 0.05%             | 2036-01-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                     | KRAFT HEINZ FOODS CO                                                            | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $4009146.39   | 0.18%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                        | L3HARRIS TECHNOLOGIES INC                                                       | CUSIP: 502431AS8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1335683.65   | 0.06%             | 2029-06-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC 144A            | LIBERTY MUTUAL GROUP INC                                                        | CUSIP: 53079EBF0<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1204173.54   | 0.05%             | 2044-08-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                     | LOCKHEED MARTIN CORP                                                            | CUSIP: 539830BB4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    184000 | PA      | $157700.01    | 0.01%             | 2042-12-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                           | LOWE'S COS INC                                                                  | CUSIP: 548661EV5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2370000 | PA      | $2359375.22   | 0.11%             | 2031-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                           | LOWE'S COS INC                                                                  | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1483228.02   | 0.07%             | 2062-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                         | LPL HOLDINGS INC                                                                | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3770283.51   | 0.17%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MAD 2025-11MD A 144A                     | MAD COMMERCIAL MORTGAGE TRUST 2025-11MD                                         | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1960000 | PA      | $1971833.30   | 0.09%             | 2042-10-15      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| MDPK 2019-33A AR 144A                    | MADISON PARK FUNDING XXXIII LTD                                                 | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1099739 | PA      | $1100943.50   | 0.05%             | 2032-10-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| MDPK 2019-35A A1R2 144A                  | MADISON PARK FUNDING XXXV LTD                                                   | CUSIP: 55819MBC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1605000 | PA      | $1605000.00   | 0.07%             | 2039-02-13      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MANUF & TRADERS TRUST CO                 | MANUFACTURERS & TRADERS TRUST CO                                                | CUSIP: 564760CC8<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1468543.20   | 0.07%             | 2028-07-06      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                  | MARATHON PETROLEUM CORP                                                         | CUSIP: 56585ABK7<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   1955000 | PA      | $2012768.27   | 0.09%             | 2030-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| MARS INC 144A                            | MARS INC                                                                        | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2147723.56   | 0.10%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MD ECON DEV SEAGIRT MARINE PRJ SER B     | MARYLAND ECONOMIC DEVELOPMENT CORP                                              | CUSIP: 57420NDK4<br>LEI: 549300JJ16DDBSZWSN94 | Long             | DBT              | MUN               | US        |   2045000 | PA      | $1757996.52   | 0.08%             | 2042-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN 144A            | MASSMUTUAL GLOBAL FUNDING II                                                    | CUSIP: 57629W4S6<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |   2940000 | PA      | $2982006.95   | 0.13%             | 2027-04-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MEDSTAR HEALTH INC                       | MEDSTAR HEALTH INC                                                              | CUSIP: 58506YAS1<br>LEI: 549300ICFOCGDEPVJE31 | Long             | DBT              | CORP              | US        |    920000 | PA      | $676212.93    | 0.03%             | 2049-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN-KETTERING                 | MEMORIAL SLOAN-KETTERING CANCER CENTER                                          | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |    600000 | PA      | $486499.20    | 0.02%             | 2055-07-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA 144A                | MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                         | CUSIP: 58769JAF4<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1932565.40   | 0.09%             | 2026-03-30      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MET TOWER GLOBAL FUNDING 144A            | MET TOWER GLOBAL FUNDING                                                        | CUSIP: 58989V2M5<br>LEI: 635400OFJCY9IOGBGY57 | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1891403.28   | 0.08%             | 2029-01-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                       | META PLATFORMS INC                                                              | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1825000 | PA      | $1730973.32   | 0.08%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                       | META PLATFORMS INC                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   3125000 | PA      | $3005170.21   | 0.13%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MST 2018-1A A 144A                       | METLIFE SECURITIZATION TRUST 2018-1                                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550686 | PA      | $538447.82    | 0.02%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MET TRANS AUTH NY DED TX BLD AMER        | METROPOLITAN TRANSPORTATION AUTHORITY DEDICATED TAX FUND                        | CUSIP: 59259NZH9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    125000 | PA      | $146154.69    | 0.01%             | 2039-11-15      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL WTR REC BLD AMERICA           | METROPOLITAN WATER RECLAMATION DISTRICT OF GREATER CHICAGO                      | CUSIP: 167560PL9<br>LEI: 254900GOGQEZEWCZ4D37 | Long             | DBT              | MUN               | US        |    480000 | PA      | $496978.42    | 0.02%             | 2038-12-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                    | MEXICO GOVERNMENT INTERNATIONAL BOND                                            | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5154000 | PA      | $4592474.20   | 0.21%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                    | MEXICO GOVERNMENT INTERNATIONAL BOND                                            | CUSIP: 91087BBR0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    850000 | PA      | $848353.77    | 0.04%             | 2038-02-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE 144A             | MID-ATLANTIC INTERSTATE TRANSMISSION LLC                                        | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1765000 | PA      | $1767087.16   | 0.08%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                   | MITSUBISHI UFJ FINANCIAL GROUP INC                                              | CUSIP: 606822DS0<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2690000 | PA      | $2694748.37   | 0.12%             | 2032-01-14      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                   | MONDELEZ INTERNATIONAL INC                                                      | CUSIP: 609207BC8<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3875097.26   | 0.17%             | 2029-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                           | MORGAN STANLEY                                                                  | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    830000 | PA      | $644054.37    | 0.03%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                           | MORGAN STANLEY                                                                  | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1992789.63   | 0.09%             | 2026-07-27      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                           | MORGAN STANLEY                                                                  | CUSIP: 61748UAS1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    675000 | PA      | $674469.21    | 0.03%             | 2032-01-16      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                           | MORGAN STANLEY                                                                  | CUSIP: 61746BCY0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    175000 | PA      | $177117.51    | 0.01%             | 2026-08-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                           | MORGAN STANLEY                                                                  | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2975000 | PA      | $3098705.84   | 0.14%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| MSBAM 2025-C35 A5                        | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2025-C35                     | CUSIP: 61779CAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1690727.20   | 0.08%             | 2058-08-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                  | MORGAN STANLEY PRIVATE BANK NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   3785000 | PA      | $3834270.37   | 0.17%             | 2031-07-18      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-DSC2 A1 144A                   | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2                        | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364806 | PA      | $368891.30    | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM5 A1 144A                   | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5                        | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323392 | PA      | $326990.06    | 0.01%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                   | MOTOROLA SOLUTIONS INC                                                          | CUSIP: 620076BY4<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    835000 | PA      | $856150.36    | 0.04%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                  | MPLX LP                                                                         | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2174076.94   | 0.10%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                  | MPLX LP                                                                         | CUSIP: 55336VBW9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1489622.20   | 0.07%             | 2053-03-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MUNI ELEC AUTH GA TXB BABS               | MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA                                         | CUSIP: 626207YM0<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |   1692000 | PA      | $1845542.06   | 0.08%             | 2057-04-01      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| MVWOT 2019-2A A 144A                     | MVW 2019-2 LLC                                                                  | CUSIP: 55400DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292522 | PA      | $292160.95    | 0.01%             | 2038-10-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| MVWOT 2020-1A A 144A                     | MVW 2020-1 LLC                                                                  | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91687 | PA      | $90472.50     | 0.00%             | 2037-10-20      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                  | NATIONAL BANK OF CANADA                                                         | CUSIP: 63307A3K9<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   2075000 | PA      | $2079335.73   | 0.09%             | 2029-01-20      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-A A2A 144A                    | NAVIENT PRIVATE EDUCATION LOAN TRUST 2020-A                                     | CUSIP: 63941FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427399 | PA      | $415236.84    | 0.02%             | 2068-11-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| NAVSL 2019-CA A2 144A                    | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-C                                | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182535 | PA      | $180803.86    | 0.01%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-GA A 144A                     | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-G                                | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135472 | PA      | $127844.95    | 0.01%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-HA A 144A                     | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H                                | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110748 | PA      | $105649.48    | 0.00%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| NAVMT 2024-1 A 144A                      | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST                               | CUSIP: 63938PBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $642298.30    | 0.03%             | 2029-04-25      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| NAVMT 2025-1 A 144A                      | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST II 2025-1                     | CUSIP: 63938PBZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1730000 | PA      | $1735925.42   | 0.08%             | 2030-09-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| NESTLE HOLDINGS INC 144A                 | NESTLE HOLDINGS INC                                                             | CUSIP: 641062BH6<br>LEI: 549300EAEU8YV8MQXP30 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2759100.60   | 0.12%             | 2033-03-14      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| NEUB 2022-48A A1R 144A                   | NEUBERGER BERMAN LOAN ADVISERS CLO 48 LTD                                       | CUSIP: 64135GAL2<br>LEI: 549300FC7JRIZ6YLHK36 | Long             | ABS-CBDO         | CORP              | JE        |   4685000 | PA      | $4684953.15   | 0.21%             | 2036-04-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                          | NEVADA POWER CO                                                                 | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    400000 | PA      | $447453.88    | 0.02%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| NJ TPK TXBL BUILD AMERICA F              | NEW JERSEY TURNPIKE AUTHORITY                                                   | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   1000000 | PA      | $1186927.30   | 0.05%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM3 A1 144A                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM3                                   | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |   1108068 | PA      | $1124939.28   | 0.05%             | 2065-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM4 A1 144A                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                                   | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   3080471 | PA      | $3112858.20   | 0.14%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG 144A            | NEW YORK LIFE GLOBAL FUNDING                                                    | CUSIP: 64952WFS7<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   4525000 | PA      | $4531088.31   | 0.20%             | 2029-02-02      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE 144A             | NEW YORK LIFE INSURANCE CO                                                      | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1054436.88   | 0.05%             | 2050-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NY ST DORM AUTH ST SUP DEBT NYU SER B    | NEW YORK STATE DORMITORY AUTHORITY                                              | CUSIP: 64990CER8<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    950000 | PA      | $760871.15    | 0.03%             | 2046-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTRIC & GAS 144A             | NEW YORK STATE ELECTRIC & GAS CORP                                              | CUSIP: 649840CW3<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1230798.77   | 0.06%             | 2034-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 65364UAV8<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   3270000 | PA      | $3253400.60   | 0.15%             | 2036-01-12      | Fixed         | 5.11%                 | No            |                  2 | On Loan: —       |
| NIAGARA MOHAWK POWER 144A                | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1172380.94   | 0.05%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NISOURCE FINANCE CORP                    | NISOURCE INC                                                                    | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    710000 | PA      | $705946.88    | 0.03%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                             | NISOURCE INC                                                                    | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1125111.85   | 0.05%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                             | NISOURCE INC                                                                    | CUSIP: 65473PAQ8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1905362.29   | 0.09%             | 2034-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NISOURCE FINANCE CORP                    | NISOURCE INC                                                                    | CUSIP: 65473QBG7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $773953.28    | 0.03%             | 2048-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NMEF 2025-A A2 144A                      | NMEF FUNDING 2025-A LLC                                                         | CUSIP: 62919VAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    893634 | PA      | $897149.48    | 0.04%             | 2032-07-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORP                      | NORTHERN TRUST CORP                                                             | CUSIP: 665859AY0<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |   2080000 | PA      | $2079636.19   | 0.09%             | 2030-11-19      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| NORTHWELL HEALTHCARE INC                 | NORTHWELL HEALTHCARE INC                                                        | CUSIP: 667274AA2<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1007282.87   | 0.05%             | 2046-11-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: —       |
| NTT FINANCE CORP 144A                    | NTT FINANCE CORP                                                                | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   1160000 | PA      | $1182959.58   | 0.05%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                              | NUTRIEN LTD                                                                     | CUSIP: 67077MAE8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    525000 | PA      | $525447.57    | 0.02%             | 2026-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                   | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HBF4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    590000 | PA      | $592563.23    | 0.03%             | 2028-08-19      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                   | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    395000 | PA      | $390734.96    | 0.02%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NYC 2025-28L A 144A                      | NYC COMMERCIAL MORTGAGE TRUST 2025-28L                                          | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $140684.78    | 0.01%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| NYMT 2025-INV1 A1 144A                   | NYMT LOAN TRUST 2025-INV1                                                       | CUSIP: 67120YAC3<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |   1062036 | PA      | $1069809.33   | 0.05%             | 2060-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| NYMT 2026-INV1 A1 144A                   | NYMT LOAN TRUST 2026-INV1                                                       | CUSIP: 62957GAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100199.07    | 0.00%             | 2061-02-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                  | O'REILLY AUTOMOTIVE INC                                                         | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19889.63     | 0.00%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                  | O'REILLY AUTOMOTIVE INC                                                         | CUSIP: 67103HAM9<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    390000 | PA      | $394833.45    | 0.02%             | 2026-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                   | O'REILLY AUTOMOTIVE INC                                                         | CUSIP: 67103HAH0<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2451359.08   | 0.11%             | 2029-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP3 2A2 144A                   | OBX 2019-EXP3 TRUST                                                             | CUSIP: 67113ABC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11058 | PA      | $11063.87     | 0.00%             | 2059-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP3 1A9 144A                   | OBX 2019-EXP3 TRUST                                                             | CUSIP: 67113AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93782 | PA      | $88649.31     | 0.00%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM15 A1F 144A                  | OBX 2025-NQM15 TRUST                                                            | CUSIP: 67122CAD7<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |    758052 | PA      | $758680.61    | 0.03%             | 2065-07-27      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM15 A1 144A                   | OBX 2025-NQM15 TRUST                                                            | CUSIP: 67122CAC9<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |   1439850 | PA      | $1450726.09   | 0.07%             | 2065-07-27      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                 | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EK7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1469848.90   | 0.07%             | 2032-01-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OCP 2017-13A AR2 144A                    | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   2370000 | PA      | $2377584.00   | 0.11%             | 2037-11-26      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| OCTL 2024-1A A2 144A                     | OCTANE RECEIVABLES TRUST 2024-1                                                 | CUSIP: 67571FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181185 | PA      | $182465.38    | 0.01%             | 2030-05-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| OCTL 2024-RVM1 A 144A                    | OCTANE RECEIVABLES TRUST 2024-RVM1                                              | CUSIP: 67579FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655767 | PA      | $665374.66    | 0.03%             | 2046-01-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| OCTL 2025-RVM1 A 144A                    | OCTANE RECEIVABLES TRUST 2025-RVM1                                              | CUSIP: 67571HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2592774 | PA      | $2597996.31   | 0.12%             | 2046-12-20      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| OMNICOM GROUP INC                        | OMNICOM GROUP INC / OMNICOM CAPITAL INC                                         | CUSIP: 68217FAA0<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | DBT              | CORP              | US        |    695000 | PA      | $694135.99    | 0.03%             | 2026-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                | ONEOK INC                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1346141.90   | 0.06%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                              | ORACLE CORP                                                                     | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1350138.18   | 0.06%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                              | ORACLE CORP                                                                     | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2925000 | PA      | $2629221.65   | 0.12%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                              | ORACLE CORP                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3145000 | PA      | $2997515.61   | 0.13%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| ORANGE SA 144A                           | ORANGE SA                                                                       | CUSIP: 685218AE9<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |   1830000 | PA      | $1824589.01   | 0.08%             | 2033-01-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING                            | OWENS CORNING                                                                   | CUSIP: 690742AP6<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1297838.83   | 0.06%             | 2034-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| PACCAR FINANCIAL CORP                    | PACCAR FINANCIAL CORP                                                           | CUSIP: 69371RS72<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |   2895000 | PA      | $2927390.36   | 0.13%             | 2026-11-09      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PACCAR FINANCIAL CORP                    | PACCAR FINANCIAL CORP                                                           | CUSIP: 69371RT22<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |   3070000 | PA      | $3120790.98   | 0.14%             | 2027-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                   | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1985000 | PA      | $1928084.23   | 0.09%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GF II 144A                  | PACIFIC LIFE GLOBAL FUNDING II                                                  | CUSIP: 6944PL3M9<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |   3795000 | PA      | $3798304.97   | 0.17%             | 2031-02-03      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PEAC 2025-1A A2 144A                     | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                                           | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2308105 | PA      | $2321528.18   | 0.10%             | 2028-10-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| PEAC 2026-1A A3 144A                     | PEAC SOLUTIONS RECEIVABLES 2026-1 LLC                                           | CUSIP: 704583AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1210000 | PA      | $1213842.98   | 0.05%             | 2033-07-20      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                           | PECO ENERGY CO                                                                  | CUSIP: 693304AH0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    150000 | PA      | $162017.45    | 0.01%             | 2036-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| P11 2025-P11 A 144A                      | PENN COMMERCIAL MORTGAGE TRUST 2025-P11                                         | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2820000 | PA      | $2900178.52   | 0.13%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| PERU                                     | PERUVIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    740000 | PA      | $754555.02    | 0.03%             | 2035-02-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                               | PFIZER INC                                                                      | CUSIP: 717081FE8<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   3245000 | PA      | $3253976.99   | 0.15%             | 2032-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| PNC FINANCIAL SERVICES                   | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    495000 | PA      | $506952.26    | 0.02%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PREF 2024-1A A2 144A                     | POST ROAD EQUIPMENT FINANCE 2024-1 LLC                                          | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68268 | PA      | $68521.84     | 0.00%             | 2029-11-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| PREF 2025-1A A2 144A                     | POST ROAD EQUIPMENT FINANCE 2025-1 LLC                                          | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1478464 | PA      | $1491855.73   | 0.07%             | 2031-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS OF HARVAR                 | PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                        | CUSIP: 740816AL7<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |    385000 | PA      | $342736.61    | 0.02%             | 2037-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| PRICOA GLOBAL FUNDING 1 144A             | PRICOA GLOBAL FUNDING I                                                         | CUSIP: 74153WCZ0<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |   5380000 | PA      | $5381538.48   | 0.24%             | 2030-11-25      | Fixed         | 4.35%                 | No            |                  2 | On Loan: —       |
| PRINCIPAL FINANCIAL GRP                  | PRINCIPAL FINANCIAL GROUP INC                                                   | CUSIP: 74251VAR3<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9863.62      | 0.00%             | 2029-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP 144A             | PRINCIPAL FINANCIAL GROUP INC                                                   | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1099340.46   | 0.05%             | 2028-02-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                  | PRINCIPAL FINANCIAL GROUP INC                                                   | CUSIP: 74251VAS1<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1732338.38   | 0.08%             | 2030-06-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR5 A 144A                    | PROGRESS RESIDENTIAL 2021-SFR5 TRUST                                            | CUSIP: 74333FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329574 | PA      | $325834.01    | 0.01%             | 2038-07-17      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| PROG 2024-SFR5 A 144A                    | PROGRESS RESIDENTIAL 2024-SFR5 TRUST                                            | CUSIP: 74332HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740844 | PA      | $704262.22    | 0.03%             | 2029-08-09      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROG 2025-SFR5 A 144A                    | PROGRESS RESIDENTIAL 2025-SFR5 TRUST                                            | CUSIP: 74334RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $634105.70    | 0.03%             | 2042-10-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                              | PROLOGIS LP                                                                     | CUSIP: 74340XBX8<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $2113729.97   | 0.09%             | 2028-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALBERTA                                  | PROVINCE OF ALBERTA CANADA                                                      | CUSIP: 013051EA1<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |   1605000 | PA      | $1591014.75   | 0.07%             | 2028-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                      | PROVINCE OF ALBERTA CANADA                                                      | CUSIP: 013051ET0<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |   1405000 | PA      | $1415536.06   | 0.06%             | 2034-01-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA                         | PROVINCE OF BRITISH COLUMBIA CANADA                                             | CUSIP: 11070TAM0<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   2644000 | PA      | $2616947.99   | 0.12%             | 2033-07-06      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MANITOBA (PROVINCE OF)                   | PROVINCE OF MANITOBA CANADA                                                     | CUSIP: 563469VC6<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | NUSS              | CA        |   2045000 | PA      | $2034476.17   | 0.09%             | 2033-07-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PROV OF NEW BRUNSWICK                    | PROVINCE OF NEW BRUNSWICK CANADA                                                | CUSIP: 642869AM3<br>LEI: 549300POZA55ZTGSOU44 | Long             | DBT              | NUSS              | CA        |   2545000 | PA      | $2535137.11   | 0.11%             | 2028-02-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ONTARIO                                  | PROVINCE OF ONTARIO CANADA                                                      | CUSIP: 683234AW8<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |   4360000 | PA      | $4345996.15   | 0.19%             | 2029-09-17      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| QUEBEC (PROVINCE OF)                     | PROVINCE OF QUEBEC CANADA                                                       | CUSIP: 748148QR7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    104000 | PA      | $116786.75    | 0.01%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PUB FIN WI REV TXBL BAYHEALTH PROJ SR B  | PUBLIC FINANCE AUTHORITY                                                        | CUSIP: 74442PVD4<br>LEI: 5493004S6D3NA627K012 | Long             | DBT              | MUN               | US        |   2520000 | PA      | $1768883.26   | 0.08%             | 2051-07-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PUB SVC ELEC & GAS                       | PUBLIC SERVICE ELECTRIC AND GAS CO                                              | CUSIP: 74456QAQ9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    180000 | PA      | $190348.77    | 0.01%             | 2036-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                           | PUBLIC STORAGE OPERATING CO                                                     | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1218317.07   | 0.05%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| QATAR 144A                               | QATAR GOVERNMENT INTERNATIONAL BOND                                             | CUSIP: 74727PBD2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    730000 | PA      | $722572.20    | 0.03%             | 2030-04-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                | QORVO INC                                                                       | CUSIP: 74736KAH4<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    559000 | PA      | $550551.90    | 0.02%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RCKT 2024-CES9 A1A 144A                  | RCKT MORTGAGE TRUST 2024-CES9                                                   | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270475 | PA      | $273434.69    | 0.01%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                       | REALTY INCOME CORP                                                              | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    685000 | PA      | $658151.24    | 0.03%             | 2028-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                       | REALTY INCOME CORP                                                              | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    835000 | PA      | $835719.71    | 0.04%             | 2027-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                       | REGAL REXNORD CORP                                                              | CUSIP: 758750AP8<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1752250.73   | 0.08%             | 2033-04-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                       | REGENCY CENTERS LP                                                              | CUSIP: 75884RAW3<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1711507.56   | 0.08%             | 2047-02-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                       | REGENCY CENTERS LP                                                              | CUSIP: 75884RBB8<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1374900.13   | 0.06%             | 2034-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                       | REGENCY CENTERS LP                                                              | CUSIP: 75884RAV5<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    350000 | PA      | $348793.66    | 0.02%             | 2027-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                       | REGENCY CENTERS LP                                                              | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    520000 | PA      | $521431.96    | 0.02%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNIV CA REGTS MED CTR POOLED TXBL SER N  | REGENTS OF THE UNIVERSITY OF CALIFORNIA MEDICAL CENTER POOLED REVENUE           | CUSIP: 913366KC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    700000 | PA      | $453305.16    | 0.02%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                         | RELX CAPITAL INC                                                                | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1065111.20   | 0.05%             | 2030-05-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| POLAND                                   | REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |   2365000 | PA      | $2244217.47   | 0.10%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| POLAND                                   | REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 731011AU6<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    890000 | PA      | $889099.36    | 0.04%             | 2026-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| REVVITY INC                              | REVVITY INC                                                                     | CUSIP: 714046AM1<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1486232.39   | 0.07%             | 2028-09-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING 144A                  | RGA GLOBAL FUNDING                                                              | CUSIP: 76209PAK9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1603059.33   | 0.07%             | 2030-11-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING 144A                  | RGA GLOBAL FUNDING                                                              | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1792651.07   | 0.08%             | 2029-05-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| RGA GLOBAL FUNDING 144A                  | RGA GLOBAL FUNDING                                                              | CUSIP: 76209PAH6<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1156944.64   | 0.05%             | 2028-08-25      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC 144A                  | ROCHE HOLDINGS INC                                                              | CUSIP: 771196CS9<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $2103309.54   | 0.09%             | 2030-12-02      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| ROCKT 2022-1A A1R 144A                   | ROCKFORD TOWER CLO 2022-1 LTD                                                   | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4690000 | PA      | $4695290.32   | 0.21%             | 2035-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                 | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   1615000 | PA      | $1647943.97   | 0.07%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                 | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   1885000 | PA      | $1906612.16   | 0.09%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                             | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 77586RAX8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   3300000 | PA      | $3455181.18   | 0.15%             | 2036-05-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                   | ROPER TECHNOLOGIES INC                                                          | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    575000 | PA      | $520112.39    | 0.02%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                   | ROPER TECHNOLOGIES INC                                                          | CUSIP: 776743AD8<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    660000 | PA      | $659297.08    | 0.03%             | 2026-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ROSS STORES INC                          | ROSS STORES INC                                                                 | CUSIP: 778296AG8<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    300000 | PA      | $264584.09    | 0.01%             | 2031-04-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                 | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    815000 | PA      | $817032.58    | 0.04%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                 | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    655000 | PA      | $658539.90    | 0.03%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GLOBAL 144A            | SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                          | CUSIP: 79587J2E2<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1797203.19   | 0.08%             | 2030-12-12      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| SAN DIEGO CA WTR BUILD AMERICA B         | SAN DIEGO COUNTY WATER AUTHORITY                                                | CUSIP: 79741TAR5<br>LEI: 549300Y0QN5OFKA1G520 | Long             | DBT              | MUN               | US        |    275000 | PA      | $281798.11    | 0.01%             | 2049-05-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                          | SAN DIEGO GAS & ELECTRIC CO                                                     | CUSIP: 797440BJ2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    170000 | PA      | $184152.96    | 0.01%             | 2037-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                          | SAN DIEGO GAS & ELECTRIC CO                                                     | CUSIP: 797440BX1<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1413444.54   | 0.06%             | 2049-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SAN JOSE CA REDEV AGY TAX SEN SER A T    | SAN JOSE REDEVELOPMENT AGENCY SUCCESSOR AGENCY                                  | CUSIP: 798170AN6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    610000 | PA      | $576961.49    | 0.03%             | 2034-08-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SDART 2025-4 A3                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4                                   | CUSIP: 802923AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240000 | PA      | $240859.97    | 0.01%             | 2030-04-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                   | SANTANDER HOLDINGS USA INC                                                      | CUSIP: 80282KBF2<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    885000 | PA      | $923051.87    | 0.04%             | 2029-03-09      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                   | SANTANDER HOLDINGS USA INC                                                      | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $2053819.90   | 0.09%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: —       |
| SAN 2025-NQM6 A1 144A                    | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM6                             | CUSIP: 80265DAA1<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-MBS          | CORP              | US        |    443706 | PA      | $446155.51    | 0.02%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                 | SANTANDER UK GROUP HOLDINGS PLC                                                 | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1190000 | PA      | $1191512.84   | 0.05%             | 2029-09-22      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| SAUDI 144A                               | SAUDI GOVERNMENT INTERNATIONAL BOND                                             | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   2010000 | PA      | $2087624.76   | 0.09%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SCFET 2024-1A C 144A                     | SCF EQUIPMENT LEASING 2024-1 LLC                                                | CUSIP: 783896AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840000 | PA      | $870462.18    | 0.04%             | 2032-09-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SCFET 2025-1A A3 144A                    | SCF EQUIPMENT LEASING 2025-1 LLC                                                | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1278529.13   | 0.06%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SCFET 2025-1A A2 144A                    | SCF EQUIPMENT LEASING 2025-1 LLC                                                | CUSIP: 78437DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    664867 | PA      | $666921.80    | 0.03%             | 2030-07-22      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| SEB4P 2024-1A A2 144A                    | SEB FUNDING LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    688000 | PA      | $706905.21    | 0.03%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH2 A3 144A                    | SEQUOIA MORTGAGE TRUST 2018-CH2                                                 | CUSIP: 81747EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75977 | PA      | $71127.14     | 0.00%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SEMT 2024-HYB1 A1A 144A                  | SEQUOIA MORTGAGE TRUST 2024-HYB1                                                | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162212 | PA      | $1167518.17   | 0.05%             | 2063-11-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                           | SERVICENOW INC                                                                  | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |   3710000 | PA      | $3270023.45   | 0.15%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-2A B 144A                     | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2                                | CUSIP: 78397XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $169495.85    | 0.01%             | 2030-08-20      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-2A A3 144A                    | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2                                | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    747095 | PA      | $755822.54    | 0.03%             | 2029-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                      | SHERWIN-WILLIAMS CO/THE                                                         | CUSIP: 824348BT2<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2451728.83   | 0.11%             | 2031-09-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| SRFC 2025-2A A 144A                      | SIERRA TIMESHARE 2025-2 RECEIVABLES FUNDING LLC                                 | CUSIP: 82653HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    754446 | PA      | $758540.57    | 0.03%             | 2044-04-20      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| SRFC 2025-3A A 144A                      | SIERRA TIMESHARE 2025-3 RECEIVABLES FUNDING LLC                                 | CUSIP: 82650FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    321389 | PA      | $321387.26    | 0.01%             | 2044-08-22      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SPEAK 2018-5A A1R 144A                   | SIGNAL PEAK CLO 5 LTD                                                           | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2310000 | PA      | $2312418.57   | 0.10%             | 2037-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                  | SIMON PROPERTY GROUP LP                                                         | CUSIP: 828807DJ3<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   2830000 | PA      | $2134234.20   | 0.10%             | 2050-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| SIMON PROPERTY GROUP LP                  | SIMON PROPERTY GROUP LP                                                         | CUSIP: 828807EB9<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1117110.63   | 0.05%             | 2031-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| SKANDINAVISKA ENSKILDA 144A              | SKANDINAVISKA ENSKILDA BANKEN AB                                                | CUSIP: 830505AZ6<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   2930000 | PA      | $2971219.95   | 0.13%             | 2027-03-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| SMB 2020-BA A1A 144A                     | SMB PRIVATE EDUCATION LOAN TRUST                                                | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    577804 | PA      | $552696.61    | 0.02%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| SMB 2018-B A2A 144A                      | SMB PRIVATE EDUCATION LOAN TRUST 2018-B                                         | CUSIP: 78449LAB4<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |    108749 | PA      | $108193.63    | 0.00%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB 2020-A A2A 144A                      | SMB PRIVATE EDUCATION LOAN TRUST 2020-A                                         | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197422 | PA      | $191915.43    | 0.01%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| SMB 2021-A APT1 144A                     | SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                         | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370924 | PA      | $1258286.22   | 0.06%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                    | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1305000 | PA      | $1376321.63   | 0.06%             | 2035-01-19      | Variable      | 6.07%                 | No            |                  2 | On Loan: —       |
| SOCIETE GENERALE 144A                    | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1230000 | PA      | $1244462.50   | 0.06%             | 2027-02-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                           | SOLVENTUM CORP                                                                  | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    673000 | PA      | $697250.96    | 0.03%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                      | SOUTHERN CALIFORNIA EDISON CO                                                   | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   2105000 | PA      | $2155043.39   | 0.10%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                    | SOUTHERN CALIFORNIA GAS CO                                                      | CUSIP: 842434CG5<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    140000 | PA      | $147572.68    | 0.01%             | 2035-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                  | SOUTHERN CO GAS CAPITAL CORP                                                    | CUSIP: 8426EPAH1<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1736964.88   | 0.08%             | 2034-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                              | SOUTHERN CO/THE                                                                 | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    725000 | PA      | $761567.96    | 0.03%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                              | SOUTHERN CO/THE                                                                 | CUSIP: 842587CX3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1636169.94   | 0.07%             | 2046-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERV                 | SOUTHWESTERN PUBLIC SERVICE CO                                                  | CUSIP: 845743BX0<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    365000 | PA      | $372912.05    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY PARTNERS                  | SPECTRA ENERGY PARTNERS LP                                                      | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |    460000 | PA      | $458227.93    | 0.02%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC 144A              | STANDARD CHARTERED PLC                                                          | CUSIP: 85325C2L5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1060000 | PA      | $1056574.12   | 0.05%             | 2037-01-13      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| STANFORD HEALTH CARE                     | STANFORD HEALTH CARE                                                            | CUSIP: 85434VAA6<br>LEI: 5493005311WCPXQGDG42 | Long             | DBT              | CORP              | US        |    440000 | PA      | $341900.78    | 0.02%             | 2048-11-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| STAR 2019-INV1 A3 144A                   | STARWOOD MORTGAGE RESIDENTIAL TRUST 2019-INV1                                   | CUSIP: 85572JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75798 | PA      | $75322.05     | 0.00%             | 2049-09-27      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| STAR 2020-INV1 A1 144A                   | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV                                    | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151255 | PA      | $145393.66    | 0.01%             | 2055-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| CA ST TXBLE BUILD AMERICA                | STATE OF CALIFORNIA                                                             | CUSIP: 13063BFR8<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |   1350000 | PA      | $1613319.53   | 0.07%             | 2040-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-BA A4 144A                    | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B                   | CUSIP: 858933AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1115000 | PA      | $1120627.63   | 0.05%             | 2029-06-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-BA B 144A                     | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B                   | CUSIP: 858933AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585000 | PA      | $589483.67    | 0.03%             | 2029-07-20      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-37A AR2 144A                   | SYMPHONY CLO 37 LTD                                                             | CUSIP: 87169VBG9<br>LEI: 54930094HTRXFLXUBV36 | Long             | ABS-CBDO         | CORP              | JE        |   1865000 | PA      | $1865000.00   | 0.08%             | 2037-01-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-31A AR 144A                    | SYMPHONY CLO XXXI LTD                                                           | CUSIP: 87168YAN0<br>LEI: 549300OJB1EXT6QKOX87 | Long             | ABS-CBDO         | CORP              | BM        |    670000 | PA      | $669502.86    | 0.03%             | 2038-01-22      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                         | T-MOBILE USA INC                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3565000 | PA      | $3555928.67   | 0.16%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                         | T-MOBILE USA INC                                                                | CUSIP: 87264ADZ5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1285861.12   | 0.06%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                         | T-MOBILE USA INC                                                                | CUSIP: 87264ADX0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2880000 | PA      | $2848665.11   | 0.13%             | 2035-11-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| T. Rowe Price Government Reserve Fund    | T. Rowe Price Government Reserve Fund                                           | CUSIP: 76105Y109<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |  97609353 | NS      | $97609353.10  | 4.38%             |  |  |  | No            |                  1 | On Loan: No      |
| TAMPA ELECTRIC                           | TAMPA ELECTRIC CO                                                               | CUSIP: 875127AW2<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    700000 | PA      | $750452.20    | 0.03%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY 144A            | TEACHERS INSURANCE & ANNUITY ASSOCIATION OF AMERICA                             | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1155047.31   | 0.05%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| TX NATURAL GAS SECZ FIN CORP TXBL TR A2  | TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                   | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    705000 | PA      | $714700.02    | 0.03%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| TX ST PRIV ACT NTE MAN PROJ TAXABLE SR B | TEXAS PRIVATE ACTIVITY BOND SURFACE TRANSPORTATION CORP                         | CUSIP: 882667AZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2400000 | PA      | $1920565.92   | 0.09%             | 2049-12-31      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| WINDR 2019-3A AR3 144A                   | THL CREDIT WIND RIVER 2019-3 CLO LTD                                            | CUSIP: 97314JBC8<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |    890000 | PA      | $891459.60    | 0.04%             | 2038-01-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                    | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    235000 | PA      | $237610.69    | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                    | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   2580000 | PA      | $2586440.54   | 0.12%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TJX COS INC                              | TJX COS INC/THE                                                                 | CUSIP: 872540AW9<br>LEI: V167QI9I69W364E2DY52 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1250850.13   | 0.06%             | 2031-05-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                    | TORONTO-DOMINION BANK/THE                                                       | CUSIP: 89115A2Y7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2200000 | PA      | $2258149.49   | 0.10%             | 2029-04-05      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| TOTALENERGI CAP USA LLC                  | TOTALENERGIES CAPITAL USA LLC                                                   | CUSIP: 89158TAB5<br>LEI: 9845000979865101C194 | Long             | DBT              | CORP              | US        |   3240000 | PA      | $3237514.39   | 0.15%             | 2033-01-13      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| TPMT 2018-1 A1 144A                      | TOWD POINT MORTGAGE TRUST 2018-1                                                | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12851 | PA      | $12779.94     | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TPMT 2019-HY3 M1 144A                    | TOWD POINT MORTGAGE TRUST 2019-HY3                                              | CUSIP: 89177XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $514404.46    | 0.02%             | 2059-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-2 A1B 144A                     | TOWD POINT MORTGAGE TRUST 2024-2                                                | CUSIP: 89183AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5453815 | PA      | $5513672.92   | 0.25%             | 2064-12-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-1 A1B 144A                     | TOWD POINT MORTGAGE TRUST 2025-1                                                | CUSIP: 89190KAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640588 | PA      | $642841.33    | 0.03%             | 2065-06-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| TLOT 2025-A A4 144A                      | TOYOTA LEASE OWNER TRUST 2025-A                                                 | CUSIP: 89239NAE5<br>LEI: 254900299R9KF5UH9O95 | Long             | ABS-O            | CORP              | US        |   1225000 | PA      | $1239563.29   | 0.06%             | 2029-06-20      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                 | TOYOTA MOTOR CREDIT CORP                                                        | CUSIP: 89236TNR2<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2693949.11   | 0.12%             | 2028-09-05      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| TPIC PRE FUND SR TERM NOTE PP            | TPIC Pre Fund Sr Term Note PP                                                   | CUSIP: 000000000<br>LEI: 98450079E44D2D1B6432 | Long             | DBT              | CORP              | US        |     72921 | PA      | $72921.10     | 0.00%             | 2026-04-30      | Fixed         | 125.27%               | Yes           |                  3 | On Loan: No      |
| TPIC ROLLUP SR TERM NOTES PP             | TPIC Rollup Sr Term Notes PP                                                    | CUSIP: 000000000<br>LEI: 98450079E44D2D1B6432 | Long             | DBT              | CORP              | US        |     80587 | PA      | $80586.76     | 0.00%             | 2026-12-06      | Fixed         | 46.47%                | Yes           |                  3 | On Loan: No      |
| TPIC SPV I LLC 2024-1 A1 PP              | TPIC SPV I LLC                                                                  | CUSIP: 872660AA3<br>LEI: 98450079E44D2D1B6432 | Long             | ABS-O            | CORP              | US        |   1879704 | PA      | $1673561.13   | 0.08%             | 2044-11-30      | Fixed         | 7.13%                 | Yes           |                  3 | On Loan: No      |
| TR FINANCE LLC                           | TR FINANCE LLC                                                                  | CUSIP: 87268LAA5<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224318.99    | 0.01%             | 2026-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                  | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    790000 | PA      | $685531.20    | 0.03%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO 144A               | TRANSURBAN FINANCE CO PTY LTD                                                   | CUSIP: 89400PAG8<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    128000 | PA      | $127124.92    | 0.01%             | 2027-03-22      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO 144A               | TRANSURBAN FINANCE CO PTY LTD                                                   | CUSIP: 89400PAK9<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |   1820000 | PA      | $1654319.35   | 0.07%             | 2031-03-16      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                        | TRAVELERS COS INC/THE                                                           | CUSIP: 89417EAD1<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |    225000 | PA      | $249296.66    | 0.01%             | 2037-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GRS - SECURITY LENDING COLLATERAL        | TREASURY RESERVE FUND - Collateral                                              | CUSIP: 000000000<br>LEI: 549300SIV6FPS9Y7IH33 | Long             | STIV             | RF                | US        |  32842430 | NS      | $32842430.00  | 1.47%             |  |  |  | No            |                  1 | On Loan: No      |
| TCN 2024-SFR3 A 144A                     | TRICON RESIDENTIAL 2024-SFR3 TRUST                                              | CUSIP: 89616YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1058778 | PA      | $1052707.07   | 0.05%             | 2041-08-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                    | TRUIST FINANCIAL CORP                                                           | CUSIP: 89788MAB8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1336481.97   | 0.06%             | 2030-06-05      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| TX 2024-HOU A 144A                       | TX TRUST 2024-HOU                                                               | CUSIP: 90216DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660000 | PA      | $660412.50    | 0.03%             | 2039-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| TYCO ELECTRONICS GROUP S                 | TYCO ELECTRONICS GROUP SA                                                       | CUSIP: 902133BF3<br>LEI: C33G1C5SYE2YM95EE712 | Long             | DBT              | CORP              | LU        |   1820000 | PA      | $1810279.06   | 0.08%             | 2036-02-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                    | UBER TECHNOLOGIES INC                                                           | CUSIP: 90353TAN0<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2718507.51   | 0.12%             | 2030-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                  | UNITED AIRLINES 2016-2 CLASS A PASS THROUGH TRUST                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    551026 | PA      | $526550.49    | 0.02%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 A PTT SER A            | UNITED AIRLINES 2018-1 CLASS A PASS THROUGH TRUST                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    803486 | PA      | $766464.99    | 0.03%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $44268.75     | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34340000 | PA      | $20067437.50  | 0.90%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10890000 | PA      | $11001452.34  | 0.49%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18065000 | PA      | $18104517.19  | 0.81%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11100000 | PA      | $11110406.25  | 0.50%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19030000 | PA      | $19630634.38  | 0.88%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9980000 | PA      | $10167904.69  | 0.46%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6895000 | PA      | $7019971.88   | 0.31%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12570000 | PA      | $12486527.34  | 0.56%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13885000 | PA      | $12700435.94  | 0.57%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15835000 | PA      | $11745116.41  | 0.53%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18400000 | PA      | $18696125.00  | 0.84%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2740000 | PA      | $1526265.63   | 0.07%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26205000 | PA      | $25611292.97  | 1.15%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12435000 | PA      | $12133839.84  | 0.54%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $47695.31     | 0.00%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13300000 | PA      | $12736828.13  | 0.57%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26275000 | PA      | $26531591.80  | 1.19%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6515000 | PA      | $6239130.47   | 0.28%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7275000 | PA      | $4394554.69   | 0.20%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11500000 | PA      | $11669804.69  | 0.52%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23365000 | PA      | $23496428.13  | 1.05%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3450000 | PA      | $2590734.38   | 0.12%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4840000 | PA      | $3348675.00   | 0.15%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5550000 | PA      | $3168703.13   | 0.14%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10285000 | PA      | $10376600.78  | 0.47%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58475000 | PA      | $58781080.08  | 2.64%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2900000 | PA      | $2873265.63   | 0.13%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10870000 | PA      | $10615234.38  | 0.48%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2005000 | PA      | $1848985.94   | 0.08%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14550000 | PA      | $14607972.66  | 0.66%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12380000 | PA      | $12622764.06  | 0.57%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7700000 | PA      | $7710226.56   | 0.35%             | 2028-05-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4200000 | PA      | $2994468.75   | 0.13%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14055000 | PA      | $13874920.31  | 0.62%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2845000 | PA      | $2167089.84   | 0.10%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3570000 | PA      | $2520196.88   | 0.11%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12200000 | PA      | $12321046.88  | 0.55%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7145000 | PA      | $6428267.19   | 0.29%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $2136484.38   | 0.10%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17585000 | PA      | $14488391.41  | 0.65%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11335000 | PA      | $10194415.63  | 0.46%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27220000 | PA      | $27872854.69  | 1.25%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8400000 | PA      | $8346187.50   | 0.37%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13045000 | PA      | $10499186.72  | 0.47%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2550000 | PA      | $2148773.44   | 0.10%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14350000 | PA      | $14033851.56  | 0.63%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    885000 | PA      | $846972.66    | 0.04%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3150000 | PA      | $2357578.13   | 0.11%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8430000 | PA      | $7535629.69   | 0.34%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $31234.38     | 0.00%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11910000 | PA      | $12170531.25  | 0.55%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52695000 | PA      | $54086477.34  | 2.43%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    835000 | PA      | $852156.64    | 0.04%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1420000 | PA      | $891493.75    | 0.04%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6210000 | PA      | $6268461.33   | 0.28%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2540000 | PA      | $2192337.50   | 0.10%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7900000 | PA      | $8109843.75   | 0.36%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6900000 | PA      | $4640250.00   | 0.21%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23105000 | PA      | $23209694.53  | 1.04%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7990000 | PA      | $8028077.34   | 0.36%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1710000 | PA      | $1218107.81   | 0.05%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29340000 | PA      | $29773223.44  | 1.34%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     35000 | PA      | $35470.31     | 0.00%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4100000 | PA      | $4009031.25   | 0.18%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1250000 | PA      | $1244921.88   | 0.06%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $10992695.31  | 0.49%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $19409.38     | 0.00%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND - WHEN ISSUED                                  | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29230000 | PA      | $29024476.56  | 1.30%             | 2030-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                          | UNITED STATES TREASURY NOTE/BOND - WHEN ISSUED                                  | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16000000 | PA      | $15957500.00  | 0.72%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                   | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFM9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1734399.31   | 0.08%             | 2064-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                   | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9128.06      | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                   | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $1617792.50   | 0.07%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                   | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFN7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    330000 | PA      | $333348.96    | 0.01%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                   | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    900000 | PA      | $802717.44    | 0.04%             | 2045-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UXYH6 US 10YR ULTRA FUT MAR26            | US 10YR ULTRA FUT MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -41 | NC      | $67848.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TUH6 US 2YR NOTE (CBT) MAR26             | US 2YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       196 | NC      | $-82965.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FVH6 US 5YR NOTE (CBT) MAR26             | US 5YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       137 | NC      | $-109265.63   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FVH6 US 5YR NOTE (CBT) MAR26             | US 5YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       356 | NC      | $-283931.14   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| US BANCORP                               | US BANCORP                                                                      | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    665000 | PA      | $688064.52    | 0.03%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| VERD 2024-1A A2 144A                     | VERDANT RECEIVABLES 2024-1 LLC                                                  | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118896 | PA      | $121146.07    | 0.01%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| VERD 2025-1A B 144A                      | VERDANT RECEIVABLES 2025-1 LLC                                                  | CUSIP: 92340GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102427.14    | 0.00%             | 2033-05-12      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                   | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VHF4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1929429.56   | 0.09%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                   | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1139076.82   | 0.05%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                   | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    625000 | PA      | $554237.59    | 0.02%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| VERUS 2021-1 A1 144A                     | VERUS SECURITIZATION TRUST 2021-1                                               | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347717 | PA      | $318646.35    | 0.01%             | 2066-01-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| VERUS 2023-INV1 A1 144A                  | VERUS SECURITIZATION TRUST 2023-INV1                                            | CUSIP: 92539FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015484 | PA      | $1012670.04   | 0.05%             | 2068-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS 2024-INV1 A2 144A                  | VERUS SECURITIZATION TRUST 2024-INV1                                            | CUSIP: 92540FAB6<br>LEI: 9845000FE754F4AE7E70 | Long             | ABS-MBS          | CORP              | US        |   1128597 | PA      | $1142213.18   | 0.05%             | 2069-03-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-7 A1F 144A                    | VERUS SECURITIZATION TRUST 2025-7                                               | CUSIP: 924931AD0<br>LEI: 213800OVCAXDOBS94P47 | Long             | ABS-MBS          | CORP              | US        |   2064207 | PA      | $2066213.74   | 0.09%             | 2070-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| VA PUB BLDG BUILD AMERICA                | VIRGINIA PUBLIC BUILDING AUTHORITY                                              | CUSIP: 928172WG6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    540000 | PA      | $557116.27    | 0.02%             | 2030-08-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                               | VMWARE LLC                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   3475000 | PA      | $3429694.96   | 0.15%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA 144A            | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668CM2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    495000 | PA      | $502596.91    | 0.02%             | 2029-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WB 2024-HQ A 144A                        | WB COMMERCIAL MORTGAGE TRUST 2024-HQ                                            | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $490810.71    | 0.02%             | 2040-03-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                    | WELLS FARGO & CO                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1293375.46   | 0.06%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                    | WELLS FARGO & CO                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2925000 | PA      | $2785532.89   | 0.12%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                    | WELLS FARGO & CO                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2364414.78   | 0.11%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                    | WELLS FARGO & CO                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1457047.15   | 0.07%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                    | WELLS FARGO & CO                                                                | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1933149.18   | 0.09%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| WFCM 2019-C54 A4                         | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C54                                  | CUSIP: 95001YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $717785.63    | 0.03%             | 2052-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                         | WELLTOWER OP LLC                                                                | CUSIP: 95041AAG3<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |   3390000 | PA      | $3442031.37   | 0.15%             | 2035-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WEST VA HEALTH SYS OBL                   | WEST VIRGINIA UNITED HEALTH SYSTEM OBLIGATED GROUP                              | CUSIP: 956708AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1406738.01   | 0.06%             | 2048-06-01      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| WESTERN MN MUNI PWR AGY SER A            | WESTERN MINNESOTA MUNICIPAL POWER AGENCY                                        | CUSIP: 958697LB8<br>LEI: 549300LFJK9CQSN2NJ11 | Long             | DBT              | MUN               | US        |   2350000 | PA      | $2016103.31   | 0.09%             | 2039-01-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| WESTPAC NEW ZEALAND LTD 144A             | WESTPAC NEW ZEALAND LTD                                                         | CUSIP: 96122FAC1<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |   1935000 | PA      | $1995303.94   | 0.09%             | 2029-02-28      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WFLF 2025-2A A1 144A                     | WHEELS FLEET LEASE FUNDING 1 LLC                                                | CUSIP: 96328GCK1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   4330000 | PA      | $4362400.52   | 0.20%             | 2040-05-18      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                   | WILLIAMS COS INC/THE                                                            | CUSIP: 969457CR9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1495708.90   | 0.07%             | 2030-06-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                   | WILLIAMS COS INC/THE                                                            | CUSIP: 88339WAB2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1447446.84   | 0.06%             | 2029-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WILLIAMS PARTNERS LP                     | WILLIAMS COS INC/THE                                                            | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    190000 | PA      | $166097.18    | 0.01%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                 | WILLIS NORTH AMERICA INC                                                        | CUSIP: 970648AG6<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1119039.55   | 0.05%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WEF 2025-1A A2 144A                      | WINGSPIRE EQUIPMENT FINANCE 2025-1 LLC                                          | CUSIP: 97415CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $295989.28    | 0.01%             | 2033-09-20      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD 144A                | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AN3<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    330000 | PA      | $328856.15    | 0.01%             | 2026-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD 144A                | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AP8<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    435000 | PA      | $430303.19    | 0.02%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD 144A                | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AQ6<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   1435000 | PA      | $1437812.17   | 0.06%             | 2029-03-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                               | ZOETIS INC                                                                      | CUSIP: 98978VAW3<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   3805000 | PA      | $3826212.94   | 0.17%             | 2028-08-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President