# EDGAR Filing Document

**Accession Number:** 0001070222
**File Stem:** 0002048251-26-001869
**Filing Date:** 2026-3
**Character Count:** 382524
**Document Hash:** 29319ec865bb1ddba49582704643f8a5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002048251-26-001869.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0002048251-26-001869

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20260630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NEW COVENANT FUNDS
- **CENTRAL INDEX KEY:** 0001070222

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09025
- **FILM NUMBER:** 26704598

**BUSINESS ADDRESS:**
- **STREET 1:** 200 EAST 12TH ST
- **CITY:** JEFFERSONVILLE
- **STATE:** IN
- **ZIP:** 47130
- **BUSINESS PHONE:** 5025695984

**MAIL ADDRESS:**
- **STREET 1:** 200 EAST 12TH ST
- **CITY:** JEFFERSONVILLE
- **STATE:** IN
- **ZIP:** 47130

## Series and Classes Contracts Data

### New Covenant Income Fund (Series ID: S000024942)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000074155 | New Covenant Income Fund | NCICX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** NEW COVENANT FUNDS

- **b. Investment Company Act file number:** 811-09025

- **c. CIK number of Registrant:** 0001070222

- **d. LEI of Registrant:** RVB8BBBTG6J5RT8BQ908

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

  - **Street Address 1:** 200 EAST 12TH ST

  - **City:** JEFFERSONVILLE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 47130

  - **Telephone number:** 5025695984

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

- **a. Name of Series:** New Covenant Income Fund

- **b. EDGAR series identifier (if any):** S000024942

- **c. LEI of Series:** YXU517QXOB92KBEH0A38

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

- **a. Date of fiscal year-end:** 2026-06-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $386714229.86

**Total Liabilities:** $34970311.70

**Net Assets:** $351743918.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -689.03003850 | **1-Year:** -12971.56491835 | **5-Year:** -36353.49657718 | **10-Year:** -38500.16430579 | **30-Year:** -9459.80468213

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

- **3-Month:** -225.53422742 | **1-Year:** -3410.52879159 | **5-Year:** -8093.28190157 | **10-Year:** -7349.68056389 | **30-Year:** -1661.29001548

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000074155 | 0.04%                | 0.59%                | 0.55%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-99746.59               | $-972037.15                                |
| Month 2  | $305651.43               | $997925.47                                 |
| Month 3  | $287037.07               | $586572.47                                 |

**Designated Index Information**

- **Index Name:** Bloomberg Intermediate US Aggregate Bond Index (USD)

- **Index Identifier:** LEHINT_AGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 280 PARK AVENUE MORTGAGE TRUST COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES | 280 PARK AVENUE 2017-280P MORTGAGE TRUST PRK 2017-280P A                          | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    130000 | PA      | $129573.63    | 0.04%             | 2034-09-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 2.950000% 11/21/2026                                                   | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19844.21     | 0.01%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 4.800000% 03/15/2027                                                   | CUSIP: 00287YDR7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111152.12    | 0.03%             | 2027-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CORPORATION                                             | ABFC 2006-OPT1 TRUST ABFC 2006-OPT1 A3D                                           | CUSIP: 00075QAD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    308321 | PA      | $303966.47    | 0.09%             | 2036-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST                                                                   | ACRA TRUST 2024-NQM1 ACRA 2024-NQM1 A1                                            | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    611959 | PA      | $614610.66    | 0.17%             | 2064-10-25      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                           | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 2.450000% 10/29/2026           | CUSIP: 00774MAV7<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |    190000 | PA      | $187417.52    | 0.05%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                           | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028           | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |   1046000 | PA      | $1014085.13   | 0.29%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                           | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028           | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |    180000 | PA      | $174507.96    | 0.05%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO LTD                                                                | AIMCO CLO 11 LTD AIMCO 2020-11A A1R2                                              | CUSIP: 00140NAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    553000 | PA      | $553838.90    | 0.16%             | 2037-07-17      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| ALA TRUST                                                                    | ALA TRUST 2025-OANA ALA 2025-OANA A                                               | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    425000 | PA      | $426592.99    | 0.12%             | 2040-06-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS                                                         | ALIGNED DATA CENTERS ISSUER LLC ADC 2021-1A A2                                    | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    260000 | PA      | $255342.41    | 0.07%             | 2046-08-15      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS                                                         | ALIGNED DATA CENTERS ISSUER LLC ADC 2022-1A A2                                    | CUSIP: 01627AAC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    345000 | PA      | $345247.23    | 0.10%             | 2047-10-15      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| ALLIANT ENERGY CORPORATION                                                   | ALLIANT ENERGY CORP 5.750000% 04/01/2056                                          | CUSIP: 018802AF5<br>LEI: 5493009ML300G373MZ12 | Long             | DBT              | CORP              | US        |    135000 | PA      | $134754.03    | 0.04%             | 2056-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALLO ISSUER LLC                                                              | ALLO ISSUER LLC ALLO 2023-1A A2                                                   | CUSIP: 01983KAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    275000 | PA      | $278523.00    | 0.08%             | 2053-06-20      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 1.200000% 06/03/2027                                               | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19324.77     | 0.01%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 3.150000% 08/22/2027                                               | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    470000 | PA      | $466181.01    | 0.13%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 3.300000% 04/13/2027                                               | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139405.82    | 0.04%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AMCOR FINANCE (USA), INC.                                                    | AMCOR FINANCE USA INC 5.625000% 05/26/2033                                        | CUSIP: 02343UAJ4<br>LEI: 549300ZMT7FVT8R77U18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41754.37     | 0.01%             | 2033-05-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc                                           | AMCOR FLEXIBLES NORTH AMERICA INC 5.100000% 03/17/2030                            | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    425000 | PA      | $436257.08    | 0.12%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY, INC.                                        | AMERICAN ELECTRIC POWER CO INC 5.800000% 03/15/2056                               | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    250000 | PA      | $248190.11    | 0.07%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                     | AMERICAN EXPRESS CO 4.918000% 07/20/2033                                          | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    490000 | PA      | $498671.24    | 0.14%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                     | AMERICAN EXPRESS CO 4.918000% 07/20/2033                                          | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    140000 | PA      | $142477.50    | 0.04%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                     | AMERICAN EXPRESS CO 5.016000% 04/25/2031                                          | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    520000 | PA      | $535883.84    | 0.15%             | 2031-04-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORPORATION                                                   | AMERICAN TOWER CORP 2.900000% 01/15/2030                                          | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    170000 | PA      | $161376.38    | 0.05%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORPORATION                                                   | AMERICAN TOWER CORP 4.900000% 03/15/2030                                          | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    175000 | PA      | $178733.11    | 0.05%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TRUST #1                                                      | AMERICAN TOWER TRUST #1 144A 5.490000% 03/15/2028                                 | CUSIP: 03027WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    554000 | PA      | $563277.17    | 0.16%             | 2028-03-15      | Fixed         | 5.49%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SYSTEMS, INCORPORATED                                  | AMERICAN TRANSMISSION SYSTEMS INC 144A 2.650000% 01/15/2032                       | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $53987.56     | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL CORP.                                                 | AMERICAN WATER CAPITAL CORP 2.800000% 05/01/2030                                  | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   1203000 | PA      | $1140358.09   | 0.32%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AMMC CLO LIMITED                                                             | AMMC CLO 24 LTD AMMC 2021-24A AR                                                  | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499984.50    | 0.14%             | 2035-01-20      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| AMSR TRUST                                                                   | AMSR 2023-SFR1 TRUST AMSR 2023-SFR1 A                                             | CUSIP: 66981XAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    960000 | PA      | $953023.30    | 0.27%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR TRUST                                                                   | AMSR 2024-SFR1 TRUST AMSR 2024-SFR1 A                                             | CUSIP: 00179CAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    600000 | PA      | $596741.58    | 0.17%             | 2041-07-17      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| APIDOS CLO                                                                   | APIDOS CLO XLVIII LTD APID 2024-48A A1                                            | CUSIP: 03770WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    284000 | PA      | $284579.93    | 0.08%             | 2037-07-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| APPLE INC.                                                                   | APPLE INC 2.450000% 08/04/2026                                                    | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69484.71     | 0.02%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| APTARGROUP, INC.                                                             | APTARGROUP INC 4.750000% 03/30/2031                                               | CUSIP: 038336AB9<br>LEI: VNPEQDQFAA7IY1T2PX43 | Long             | DBT              | CORP              | US        |    435000 | PA      | $438071.31    | 0.12%             | 2031-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                   | ARES STRATEGIC INCOME FUND 144A 4.850000% 01/15/2029                              | CUSIP: 04020EAP2<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    346000 | PA      | $341936.75    | 0.10%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Ascension Health Alliance                                                    | ASCENSION HEALTH 4.078000% 11/15/2028                                             | CUSIP: 04351LAC4<br>LEI: 549300IMOY6ECI21DH68 | Long             | DBT              | CORP              | US        |    573000 | PA      | $575293.12    | 0.16%             | 2028-11-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL, INC.                                                        | ASHTEAD CAPITAL INC 144A 5.800000% 04/15/2034                                     | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $733884.98    | 0.21%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 2.300000% 06/01/2027                                                     | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    120000 | PA      | $117257.21    | 0.03%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 2.550000% 12/01/2033                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    472000 | PA      | $402837.96    | 0.11%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 4.250000% 03/01/2027                                                     | CUSIP: 00206RDQ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150335.13    | 0.04%             | 2027-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 4.700000% 08/15/2030                                                     | CUSIP: 00206RMX7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    289000 | PA      | $293783.39    | 0.08%             | 2030-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                   | AVIATION CAPITAL GROUP LLC 144A 4.800000% 10/24/2030                              | CUSIP: 05369AAT8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    851000 | PA      | $851321.81    | 0.24%             | 2030-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO                                                      | BAIN CAPITAL CREDIT CLO 2021-6 LTD BCC 2021-6A A1R                                | CUSIP: 05684PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    425000 | PA      | $424882.70    | 0.12%             | 2034-10-21      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                         | BANK 2021-BNK36 BANK 2021-BN36 A5                                                 | CUSIP: 06540DBH7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    410000 | PA      | $366756.56    | 0.10%             | 2064-09-15      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| BANK                                                                         | BANK 2022-BNK42 BANK 2022-BNK42 A5                                                | CUSIP: 06541MBN3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    450000 | PA      | $441833.72    | 0.13%             | 2055-06-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 1.734000% 07/22/2027                                         | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    971000 | PA      | $958613.06    | 0.27%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 2.592000% 04/29/2031                                         | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    110000 | PA      | $102495.88    | 0.03%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 2.651000% 03/11/2032                                         | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     90000 | PA      | $82673.10     | 0.02%             | 2032-03-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 3.419000% 12/20/2028                                         | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    234000 | PA      | $231056.76    | 0.07%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 6.204000% 11/10/2028                                         | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    584000 | PA      | $606841.22    | 0.17%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.500000% 04/19/2026                                     | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    130000 | PA      | $129832.32    | 0.04%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.593000% 07/21/2028                                     | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    210000 | PA      | $208552.60    | 0.06%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.974000% 02/07/2030                                     | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79549.55     | 0.02%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 4.250000% 10/22/2026                                     | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10023.50     | 0.00%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                        | BANK5 2023-5YR3 BANK5 2023-5YR3 A2                                                | CUSIP: 06211EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    399574 | PA      | $414939.06    | 0.12%             | 2056-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                 | BARCLAYS PLC 6.490000% 09/13/2029                                                 | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | NUSS              | GB        |    887000 | PA      | $937386.28    | 0.27%             | 2029-09-13      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD                                                              | BARINGS CLO LTD 2019-III BABSN 2019-3A A1RR                                       | CUSIP: 06761KAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $449312.40    | 0.13%             | 2036-01-20      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| BBCMS TRUST                                                                  | BBCMS MORTGAGE TRUST 2024-5C25 BBCMS 2024-5C25 A3                                 | CUSIP: 05554VAB6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    759000 | PA      | $793896.24    | 0.23%             | 2057-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                  | BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024-5C29 A3                                 | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    854000 | PA      | $877692.69    | 0.25%             | 2057-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                     | BENCHMARK 2021-B26 MORTGAGE TRUST BMARK 2021-B26 A3                               | CUSIP: 08163EBA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    604000 | PA      | $571095.23    | 0.16%             | 2054-06-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                     | BENCHMARK 2024-V6 MORTGAGE TRUST BMARK 2024-V6 A3                                 | CUSIP: 081927AB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    819000 | PA      | $855677.93    | 0.24%             | 2057-03-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO. L.L.C.                                       | BLACKSTONE HOLDINGS FINANCE CO LLC 144A 1.600000% 03/30/2031                      | CUSIP: 09261BAA8<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    590000 | PA      | $513823.98    | 0.15%             | 2031-03-30      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1                      | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      7674 | PA      | $7510.88      | 0.00%             | 2060-03-25      | Floating      | 0.97%                 | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2022-NQM3 BRAVO 2022-NQM3 A1                      | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    233167 | PA      | $232854.50    | 0.07%             | 2062-07-25      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| THE BROOKLYN UNION GAS COMPANY                                               | BROOKLYN UNION GAS CO/THE 144A 3.407000% 03/10/2026                               | CUSIP: 114259AN4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399485.00    | 0.11%             | 2026-03-10      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN, INC.                                                          | BROWN & BROWN INC 4.900000% 06/23/2030                                            | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    676000 | PA      | $685348.78    | 0.19%             | 2030-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2024-XL4 BX 2024-XL4 A                               | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    770269 | PA      | $770743.32    | 0.22%             | 2039-02-15      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2022-CLS BX 2022-CLS A                                                   | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    463000 | PA      | $464496.69    | 0.13%             | 2027-10-13      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2024-VLT4 BX 2024-VLT4 B                                                 | CUSIP: 05612TAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    250000 | PA      | $249689.28    | 0.07%             | 2041-06-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2025-VLT6 BX 2025-VLT6 A                                                 | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    518000 | PA      | $517352.50    | 0.15%             | 2042-03-15      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX TRUST 2025-VOLT BX 2025-VOLT A                                                 | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    567000 | PA      | $567352.67    | 0.16%             | 2044-12-15      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACS FING AUTH REV                                         | CALIFORNIA ST HLTH FACS FING A CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY   | CUSIP: 13032UC55<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    575000 | PA      | $570772.37    | 0.16%             | 2028-06-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP 4.927000% 05/10/2028                                   | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30353.25     | 0.01%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP 5.700000% 02/01/2030                                   | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    322000 | PA      | $334783.82    | 0.10%             | 2030-02-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP 7.149000% 10/29/2027                                   | CUSIP: 14040HDB8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    189000 | PA      | $193503.52    | 0.06%             | 2027-10-29      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP 7.624000% 10/30/2031                                   | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    446000 | PA      | $504045.06    | 0.14%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORPORATION                                                   | CARRIER GLOBAL CORP 2.722000% 02/15/2030                                          | CUSIP: 14448CAQ7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    625000 | PA      | $588413.98    | 0.17%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CARS DB                                                                      | CARS-DB4 LP CAUTO 2020-1A A5                                                      | CUSIP: 12510HAE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    415349 | PA      | $407802.61    | 0.12%             | 2050-02-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                               | CASCADE MH ASSET TRUST 2021-MH1 CMHAT 2021-MH1 A1                                 | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     49896 | PA      | $45536.41     | 0.01%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| CBRE SERVICES, INC.                                                          | CBRE SERVICES INC 4.800000% 06/15/2030                                            | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    182000 | PA      | $184521.01    | 0.05%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES, INC.                                                          | CBRE SERVICES INC 4.900000% 01/15/2033                                            | CUSIP: 12505BAL4<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    529000 | PA      | $531541.54    | 0.15%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                          | CENTENE CORP 2.500000% 03/01/2031                                                 | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    380000 | PA      | $328157.05    | 0.09%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 3.750000% 02/15/2028           | CUSIP: 161175BJ2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197168.15    | 0.06%             | 2028-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.400000% 04/01/2033           | CUSIP: 161175CJ1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    510000 | PA      | $480454.68    | 0.14%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST                                            | CHASE HOME LENDING MORTGAGE TRUST 2024-8 CHASE 2024-8 A6A                         | CUSIP: 16159XAL6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    221457 | PA      | $221326.94    | 0.06%             | 2055-08-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST                                            | CHASE HOME LENDING MORTGAGE TRUST 2024-9 CHASE 2024-9 A4                          | CUSIP: 16160QAD6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    548743 | PA      | $549303.22    | 0.16%             | 2055-09-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST                                            | CHASE HOME LENDING MORTGAGE TRUST 2025-5 CHASE 2025-5 A4A                         | CUSIP: 161935AE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    402753 | PA      | $405376.76    | 0.12%             | 2056-04-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST                                            | CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-12 CHASE 2025-12 A4A                | CUSIP: 16160CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    864000 | PA      | $868485.28    | 0.25%             | 2056-09-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CHI COMMERCIAL MORTGAGE TRUST                                                | CHI COMMERCIAL MORTGAGE TRUST 2025-SFT CHI 2025-SFT A                             | CUSIP: 16706GAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    450000 | PA      | $461191.14    | 0.13%             | 2042-04-15      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                             | CIFC FUNDING 2014-IV-R LTD CIFC 2014-4RA A1A2                                     | CUSIP: 12552FBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    284000 | PA      | $284199.08    | 0.08%             | 2035-01-17      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                             | CIFC FUNDING 2016-I LTD CIFC 2016-1A AR3                                          | CUSIP: 17180TBL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    376144 | PA      | $375995.64    | 0.11%             | 2031-10-21      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                             | CIFC FUNDING 2023-III LTD CIFC 2023-3A A                                          | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1043000 | PA      | $1042896.74   | 0.30%             | 2037-01-20      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| THE CIGNA GROUP                                                              | CIGNA GROUP/THE 1.250000% 03/15/2026                                              | CUSIP: 125523CP3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    302000 | PA      | $300273.06    | 0.09%             | 2026-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| THE CIGNA GROUP                                                              | CIGNA GROUP/THE 4.375000% 10/15/2028                                              | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    220000 | PA      | $221999.82    | 0.06%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| THE CIGNA GROUP                                                              | CIGNA GROUP/THE 4.500000% 09/15/2030                                              | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    110000 | PA      | $110755.35    | 0.03%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| THE CIGNA GROUP                                                              | CIGNA GROUP/THE 5.250000% 01/15/2036                                              | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111980.67    | 0.03%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 CGCMT 2016-P6 AAB                     | CUSIP: 17291EAX9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    124417 | PA      | $123936.98    | 0.04%             | 2049-12-10      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 2.520000% 11/03/2032                                                | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    110000 | PA      | $98548.73     | 0.03%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.200000% 10/21/2026                                                | CUSIP: 172967KY6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    287000 | PA      | $285323.50    | 0.08%             | 2026-10-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.668000% 07/24/2028                                                | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    340000 | PA      | $337837.64    | 0.10%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.785000% 03/17/2033                                                | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47673.93     | 0.01%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.300000% 11/20/2026                                                | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40098.23     | 0.01%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.450000% 09/29/2027                                                | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90578.95     | 0.03%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.542000% 09/19/2030                                                | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    776000 | PA      | $782170.86    | 0.22%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.658000% 05/24/2028                                                | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    140000 | PA      | $141176.97    | 0.04%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| SEACUBE CONTAINER CLIF                                                       | CLI FUNDING VI LLC CLIF 2020-1A A                                                 | CUSIP: 12563LAN7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    345423 | PA      | $325975.56    | 0.09%             | 2045-09-18      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| SEACUBE CONTAINER CLIF                                                       | CLI FUNDING VI LLC CLIF 2020-3A A                                                 | CUSIP: 12563LAS6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    109667 | PA      | $103672.28    | 0.03%             | 2045-10-18      | Fixed         | 2.07%                 | Yes           |                  2 | On Loan: No      |
| CLOUD CAPITAL DATA CENTERS                                                   | CLOUD CAPITAL HOLDCO LP CLDCD 2024-1A A2                                          | CUSIP: 102104AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    260000 | PA      | $261893.01    | 0.07%             | 2049-11-22      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| CLOVER CLO LLC                                                               | CLOVER CLO 2021-3 LLC CLVR 2021-3A AR                                             | CUSIP: 18915FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    450000 | PA      | $449656.20    | 0.13%             | 2035-01-25      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2022-2 MORTGAGE LOAN TRUST COLT 2022-2 A1                                    | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     63105 | PA      | $60629.26     | 0.02%             | 2067-02-25      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING COMPANY LLC                                     | COLUMBIA PIPELINES OPERATING CO LLC 144A 6.036000% 11/15/2033                     | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $267614.38    | 0.08%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON COMPANY                                                  | COMMONWEALTH EDISON CO 3.700000% 08/15/2028                                       | CUSIP: 202795JN1<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    468000 | PA      | $466193.97    | 0.13%             | 2028-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                          | CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 CAS 2021-R03 1M2                     | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    440000 | PA      | $442411.02    | 0.13%             | 2041-12-25      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LLC                                              | CONSOLIDATED COMMUNICATIONS LLC/FIDIUM FIBER FINAN CNSL 2025-1A A2                | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    155000 | PA      | $158603.63    | 0.05%             | 2055-05-20      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CONSUMERS SECURITIZATION FUNDING LLC                                         | CONSUMERS 2023 SECURITIZATION FUNDING LLC 5.210000% 09/01/2030                    | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    512000 | PA      | $527807.69    | 0.15%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE, INC.                                                    | CRH AMERICA FINANCE INC 5.500000% 01/09/2035                                      | CUSIP: 12636YAF9<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    689000 | PA      | $717073.34    | 0.20%             | 2035-01-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST                                                         | CROSS 2024-H6 MORTGAGE TRUST CROSS 2024-H6 A1                                     | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    396324 | PA      | $396839.47    | 0.11%             | 2069-09-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM3 CSMC 2021-NQM3 A3                                                  | CUSIP: 12660LAC3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    110509 | PA      | $97786.08     | 0.03%             | 2066-04-25      | Floating      | 1.63%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM5 TRUST CSMC 2021-NQM5 A1                                            | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    679572 | PA      | $579810.55    | 0.16%             | 2066-05-25      | Floating      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM7 CSMC 2021-NQM7 A1                                                  | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     70020 | PA      | $62740.97     | 0.02%             | 2066-10-25      | Floating      | 1.76%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2022-NQM1 TRUST CSMC 2022-NQM1 A1                                            | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    296431 | PA      | $271727.15    | 0.08%             | 2066-11-25      | Floating      | 2.27%                 | Yes           |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 1.875000% 02/28/2031                                              | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17547.91     | 0.00%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 4.300000% 03/25/2028                                              | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    164000 | PA      | $164543.14    | 0.05%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS PASS-THROUGH TRUST 144A 5.773000% 01/10/2033                                  | CUSIP: 126650BV1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    259811 | PA      | $264891.95    | 0.08%             | 2033-01-10      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS PASS-THROUGH TRUST 144A 7.507000% 01/10/2032                                  | CUSIP: 126650BS8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    767178 | PA      | $814265.37    | 0.23%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| DUNKIN BRANDS                                                                | DB MASTER FINANCE LLC DNKN 2021-1A A2II                                           | CUSIP: 233046AQ4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1007040 | PA      | $953033.65    | 0.27%             | 2051-11-20      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| DC COMMERCIAL MORTGAGE TRUST                                                 | DC COMMERCIAL MORTGAGE TRUST 2023-DC DC 2023-DC A                                 | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    410000 | PA      | $422122.51    | 0.12%             | 2040-09-12      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                                         | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-1 DRMT 2022-1 A1                        | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    196215 | PA      | $184523.75    | 0.05%             | 2067-01-25      | Floating      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| DELL INTERNATIONAL L.L.C.                                                    | DELL INTERNATIONAL LLC / EMC CORP 4.750000% 04/01/2028                            | CUSIP: 24703TAL0<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    255000 | PA      | $258631.98    | 0.07%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL L.L.C.                                                    | DELL INTERNATIONAL LLC / EMC CORP 5.000000% 04/01/2030                            | CUSIP: 24703TAM8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    170000 | PA      | $174212.42    | 0.05%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines                                                              | DELTA AIR LINES 2015-1 CLASS AA PASS THROUGH TRUST 3.625000% 07/30/2027           | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    370979 | PA      | $366684.58    | 0.10%             | 2027-07-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                        | DOMINION ENERGY INC 6.000000% 02/15/2056                                          | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    165000 | PA      | $165761.12    | 0.05%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN CLO LTD                                                               | DRYDEN 68 CLO LTD DRSLF 2019-68A ARR                                              | CUSIP: 26252QAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $399892.00    | 0.11%             | 2035-07-15      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Carolinas, LLC                                                   | DUKE ENERGY CAROLINAS LLC 2.850000% 03/15/2032                                    | CUSIP: 26442CBG8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1057000 | PA      | $967973.70    | 0.28%             | 2032-03-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                               | ELEMENT FLEET MANAGEMENT CORP 144A 4.641000% 11/24/2030                           | CUSIP: 286181AR3<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | NUSS              | CA        |    712000 | PA      | $713985.34    | 0.20%             | 2030-11-24      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH, INC.                                                        | ELEVANCE HEALTH INC 2.550000% 03/15/2031                                          | CUSIP: 036752AP8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1023000 | PA      | $933996.75    | 0.27%             | 2031-03-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH, INC.                                                        | ELEVANCE HEALTH INC 4.100000% 05/15/2032                                          | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77843.89     | 0.02%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH, INC.                                                        | ELEVANCE HEALTH INC 5.000000% 01/15/2036                                          | CUSIP: 036752BK8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    205000 | PA      | $203761.65    | 0.06%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                           | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1                          | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    221041 | PA      | $188158.49    | 0.05%             | 2066-06-25      | Floating      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                           | ELLINGTON FINANCIAL MORTGAGE TRUST 2022-1 EFMT 2022-1 A1                          | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     74465 | PA      | $65444.36     | 0.02%             | 2067-01-25      | Floating      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| ELMWOOD CLO                                                                  | ELMWOOD CLO 22 LTD ELM22 2023-1A AR                                               | CUSIP: 29001YAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    355000 | PA      | $354901.31    | 0.10%             | 2038-04-17      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                           | ENERGY TRANSFER LP 4.950000% 06/15/2028                                           | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10165.30     | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORPORATION                                                          | ENTERGY CORP 5.875000% 06/15/2056                                                 | CUSIP: 29364GAR4<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    205000 | PA      | $204871.95    | 0.06%             | 2056-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                                               | ENTERPRISE FLEET FINANCING 2025-4 LLC EFF 2025-4 A3                               | CUSIP: 29373NAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    534000 | PA      | $536219.62    | 0.15%             | 2029-12-20      | Fixed         | 4.11%                 | Yes           |                  2 | On Loan: No      |
| EXELON CORPORATION                                                           | EXELON CORP 5.625000% 06/15/2035                                                  | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    343000 | PA      | $358196.31    | 0.10%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                                     | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2625000 | PA      | $2418383.78   | 0.69%             | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    575000 | PA      | $583039.99    | 0.17%             | 2056-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1175000 | PA      | $1115921.35   | 0.32%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1300000 | PA      | $1268984.82   | 0.36%             | 2056-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1025000 | PA      | $1022117.19   | 0.29%             | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   7750000 | PA      | $6550566.45   | 1.86%             | 2056-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    950000 | PA      | $878193.36    | 0.25%             | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4825000 | PA      | $3899183.92   | 1.11%             | 2056-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1325000 | PA      | $1171745.12   | 0.33%             | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 735228                                                         | CUSIP: 31402QYZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     36900 | PA      | $38487.26     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 863729                                                         | CUSIP: 31408XSS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     17132 | PA      | $17685.24     | 0.01%             | 2036-01-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 870545                                                         | CUSIP: 31409GES1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     15031 | PA      | $15483.01     | 0.00%             | 2036-03-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 889151                                                         | CUSIP: 31410GZQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     17602 | PA      | $18285.51     | 0.01%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 890604                                                         | CUSIP: 31410LNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    146792 | PA      | $147791.32    | 0.04%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 890695                                                         | CUSIP: 31410LRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    340472 | PA      | $329819.75    | 0.09%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 890843                                                         | CUSIP: 31410LWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    124042 | PA      | $112900.09    | 0.03%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 928938                                                         | CUSIP: 31412MBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       839 | PA      | $883.29       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 934648                                                         | CUSIP: 31412TZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2543 | PA      | $2681.35      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 955183                                                         | CUSIP: 31413TUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2757 | PA      | $2895.09      | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 991549                                                         | CUSIP: 31415WQA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1947 | PA      | $2044.56      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 992249                                                         | CUSIP: 31415XH20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2310 | PA      | $2425.77      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AB3467                                                         | CUSIP: 31416YZ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    101867 | PA      | $102953.15    | 0.03%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AB9597                                                         | CUSIP: 31417GUX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     16662 | PA      | $16295.52     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AK4523                                                         | CUSIP: 3138E9AZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    237812 | PA      | $232581.08    | 0.07%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AK5556                                                         | CUSIP: 3138EAE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    717709 | PA      | $701919.13    | 0.20%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL4741                                                         | CUSIP: 3138EMHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     12675 | PA      | $12659.05     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL6663                                                         | CUSIP: 3138EPMM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    214975 | PA      | $213569.20    | 0.06%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL9546                                                         | CUSIP: 3138ERTC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30876 | PA      | $29400.95     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AP2422                                                         | CUSIP: 3138M5VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    412493 | PA      | $394062.62    | 0.11%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AQ4078                                                         | CUSIP: 3138MKQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     15812 | PA      | $15464.66     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AQ4080                                                         | CUSIP: 3138MKRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     12402 | PA      | $12128.75     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AR7399                                                         | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     14882 | PA      | $13704.33     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS0038                                                         | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     32161 | PA      | $29615.05     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS0070                                                         | CUSIP: 3138W9CG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     14413 | PA      | $14032.99     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS4271                                                         | CUSIP: 3138WDW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     15477 | PA      | $15522.95     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS4347                                                         | CUSIP: 3138WDZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     14264 | PA      | $13833.93     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS4583                                                         | CUSIP: 3138WECV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    195962 | PA      | $189769.95    | 0.05%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS6340                                                         | CUSIP: 3138WGBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     20018 | PA      | $18986.83     | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS6562                                                         | CUSIP: 3138WGJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     34604 | PA      | $32606.84     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS7533                                                         | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     48145 | PA      | $43820.11     | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS7844                                                         | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     23519 | PA      | $21340.84     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS9588                                                         | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     71832 | PA      | $69347.55     | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT5860                                                         | CUSIP: 3138WTQN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    421996 | PA      | $402179.98    | 0.11%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT8394                                                         | CUSIP: 3138WWKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     17815 | PA      | $17408.01     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT9637                                                         | CUSIP: 3138WXV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30829 | PA      | $30121.60     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT9653                                                         | CUSIP: 3138WXWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     35857 | PA      | $35038.25     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT9657                                                         | CUSIP: 3138WXWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     14520 | PA      | $14188.65     | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AU3751                                                         | CUSIP: 3138X3EZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    244259 | PA      | $238808.34    | 0.07%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AU5890                                                         | CUSIP: 3138X5RL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1532 | PA      | $1535.17      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AU6735                                                         | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     19935 | PA      | $18354.60     | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BC1509                                                         | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     26152 | PA      | $23774.34     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BE3776                                                         | CUSIP: 3140FPFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     36970 | PA      | $36719.13     | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0104                                                         | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30847 | PA      | $29327.27     | 0.01%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0145                                                         | CUSIP: 3140FXET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    186488 | PA      | $171326.75    | 0.05%             | 2057-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0148                                                         | CUSIP: 3140FXEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    118926 | PA      | $117751.28    | 0.03%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0191                                                         | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     28630 | PA      | $27219.25     | 0.01%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0222                                                         | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     88499 | PA      | $86419.44     | 0.02%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0301                                                         | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     57756 | PA      | $56399.57     | 0.02%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0560                                                         | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72003 | PA      | $59287.32     | 0.02%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BJ9257                                                         | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     20048 | PA      | $19982.86     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BK2620                                                         | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     49980 | PA      | $43037.71     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM3259                                                         | CUSIP: 3140J7TR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    501347 | PA      | $463260.47    | 0.13%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM3286                                                         | CUSIP: 3140J7UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    191798 | PA      | $191741.81    | 0.05%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM4097                                                         | CUSIP: 3140J8RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    472775 | PA      | $470039.91    | 0.13%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM4751                                                         | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     56388 | PA      | $53851.12     | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM5695                                                         | CUSIP: 3140JAKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     97308 | PA      | $93885.63     | 0.03%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM5956                                                         | CUSIP: 3140JATN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    172823 | PA      | $171237.53    | 0.05%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BN1623                                                         | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     20043 | PA      | $19902.81     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BN4303                                                         | CUSIP: 3140JLX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    487778 | PA      | $494116.72    | 0.14%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BN6257                                                         | CUSIP: 3140JN5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    500523 | PA      | $476137.53    | 0.14%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BO1406                                                         | CUSIP: 3140JVR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    184669 | PA      | $172665.63    | 0.05%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BO6275                                                         | CUSIP: 3140K16M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    496106 | PA      | $463262.47    | 0.13%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BO9169                                                         | CUSIP: 3140K5FK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    687336 | PA      | $618618.53    | 0.18%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BP0661                                                         | CUSIP: 3140K7WX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    615579 | PA      | $587670.85    | 0.17%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BP2898                                                         | CUSIP: 3140KAGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     95779 | PA      | $91444.13     | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ3137                                                         | CUSIP: 3140KNPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    235025 | PA      | $203071.72    | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ3138                                                         | CUSIP: 3140KNPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    205243 | PA      | $177109.79    | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ5101                                                         | CUSIP: 3140KQU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    516130 | PA      | $460952.14    | 0.13%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ6341                                                         | CUSIP: 3140KSBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     34667 | PA      | $31052.09     | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR2664                                                         | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     56992 | PA      | $47011.88     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR4756                                                         | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     61458 | PA      | $50565.27     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5587                                                         | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     65434 | PA      | $54040.03     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5632                                                         | CUSIP: 3140L4HJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    560144 | PA      | $463153.92    | 0.13%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5633                                                         | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     66173 | PA      | $54548.80     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BU1030                                                         | CUSIP: 3140M2EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    213459 | PA      | $175994.37    | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BV3089                                                         | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     68552 | PA      | $58970.29     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BW0048                                                         | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     67024 | PA      | $67334.75     | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BW9916                                                         | CUSIP: 3140N3AS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     69631 | PA      | $69778.89     | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BX0426                                                         | CUSIP: 3140N4PL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    831326 | PA      | $850090.32    | 0.24%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2047                                                         | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     35381 | PA      | $35140.90     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2199                                                         | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     54255 | PA      | $53875.19     | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2472                                                         | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     47024 | PA      | $45237.58     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2482                                                         | CUSIP: 3140Q9XL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     35254 | PA      | $35064.24     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA4950                                                         | CUSIP: 3140QCQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    493932 | PA      | $461559.67    | 0.13%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5122                                                         | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    352894 | PA      | $318036.92    | 0.09%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5379                                                         | CUSIP: 3140QC6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     32442 | PA      | $32174.45     | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5969                                                         | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    836270 | PA      | $721567.20    | 0.21%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5986                                                         | CUSIP: 3140QDUL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    788305 | PA      | $679594.75    | 0.19%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA6097                                                         | CUSIP: 3140QDX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    499076 | PA      | $465029.90    | 0.13%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA6799                                                         | CUSIP: 3140QERV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1025906 | PA      | $842466.50    | 0.24%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA6871                                                         | CUSIP: 3140QET51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1056600 | PA      | $1002995.68   | 0.29%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA7257                                                         | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     61128 | PA      | $52828.69     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA7531                                                         | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     62366 | PA      | $55930.64     | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB1878                                                         | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    132177 | PA      | $118645.70    | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB2664                                                         | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    285868 | PA      | $253820.13    | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3044                                                         | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    148615 | PA      | $127909.55    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3126                                                         | CUSIP: 3140QNPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     76218 | PA      | $71310.03     | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3880                                                         | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     66183 | PA      | $66793.44     | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3899                                                         | CUSIP: 3140QPKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    164166 | PA      | $152761.94    | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB4103                                                         | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    143263 | PA      | $145924.13    | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB4337                                                         | CUSIP: 3140QPZB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    876858 | PA      | $870355.22    | 0.25%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB4352                                                         | CUSIP: 3140QPZS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    699833 | PA      | $708260.38    | 0.20%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB5108                                                         | CUSIP: 3140QQVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    155363 | PA      | $158713.90    | 0.05%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB6322                                                         | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     79758 | PA      | $81386.38     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB7109                                                         | CUSIP: 3140QS3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    164643 | PA      | $168608.53    | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FA0658                                                         | CUSIP: 3140W0WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1373039 | PA      | $1342883.92   | 0.38%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1000                                                         | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    271817 | PA      | $246605.20    | 0.07%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1263                                                         | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     31261 | PA      | $30801.23     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1266                                                         | CUSIP: 3140X4MQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    246852 | PA      | $250762.51    | 0.07%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1363                                                         | CUSIP: 3140X4QR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    167192 | PA      | $165229.94    | 0.05%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1387                                                         | CUSIP: 3140X4RH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    364810 | PA      | $371002.41    | 0.11%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1727                                                         | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72723 | PA      | $73860.90     | 0.02%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1756                                                         | CUSIP: 3140X45S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    180221 | PA      | $185316.55    | 0.05%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2256                                                         | CUSIP: 3140X5QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     58982 | PA      | $59067.94     | 0.02%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2336                                                         | CUSIP: 3140X5S20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    103307 | PA      | $99529.88     | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2373                                                         | CUSIP: 3140X5T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     28606 | PA      | $28993.94     | 0.01%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2493                                                         | CUSIP: 3140X5XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     73368 | PA      | $74529.60     | 0.02%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2674                                                         | CUSIP: 3140X56L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    218445 | PA      | $210187.13    | 0.06%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2770                                                         | CUSIP: 3140X6CG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     70344 | PA      | $65708.94     | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3002                                                         | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     20093 | PA      | $20047.33     | 0.01%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3049                                                         | CUSIP: 3140X6L74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     65341 | PA      | $63784.78     | 0.02%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3194                                                         | CUSIP: 3140X6RQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    546229 | PA      | $554061.67    | 0.16%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3250                                                         | CUSIP: 3140X6TG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    154609 | PA      | $144557.58    | 0.04%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3407                                                         | CUSIP: 3140X6YD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    193710 | PA      | $181414.23    | 0.05%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3444                                                         | CUSIP: 3140X6ZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    240225 | PA      | $224533.22    | 0.06%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3572                                                         | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    125764 | PA      | $124910.72    | 0.04%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3773                                                         | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     87897 | PA      | $83150.78     | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4252                                                         | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     57992 | PA      | $47344.70     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4311                                                         | CUSIP: 3140X7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     55476 | PA      | $49752.98     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4330                                                         | CUSIP: 3140X7Y45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    415522 | PA      | $359664.65    | 0.10%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4946                                                         | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     59819 | PA      | $60364.27     | 0.02%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4965                                                         | CUSIP: 3140X8QT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    383292 | PA      | $355905.30    | 0.10%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5012                                                         | CUSIP: 3140X8SA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    151736 | PA      | $150814.94    | 0.04%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5313                                                         | CUSIP: 3140X83X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     66557 | PA      | $57124.81     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5819                                                         | CUSIP: 3140X9PD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    474175 | PA      | $456493.38    | 0.13%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6117                                                         | CUSIP: 3140X9YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     88443 | PA      | $80186.01     | 0.02%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6184                                                         | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    121552 | PA      | $100408.56    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6465                                                         | CUSIP: 3140XAFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    408709 | PA      | $393496.50    | 0.11%             | 2031-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6954                                                         | CUSIP: 3140XAWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    428294 | PA      | $370898.20    | 0.11%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7148                                                         | CUSIP: 3140XA5J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    473402 | PA      | $462582.45    | 0.13%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7785                                                         | CUSIP: 3140XBUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    773967 | PA      | $747883.91    | 0.21%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7786                                                         | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    125801 | PA      | $121633.63    | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7796                                                         | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     47726 | PA      | $46145.44     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7910                                                         | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     69323 | PA      | $60165.97     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8216                                                         | CUSIP: 3140XCDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    609213 | PA      | $587490.79    | 0.17%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8576                                                         | CUSIP: 3140XCQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    242643 | PA      | $220114.86    | 0.06%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8648                                                         | CUSIP: 3140XCTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    128149 | PA      | $115082.74    | 0.03%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8672                                                         | CUSIP: 3140XCT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    338564 | PA      | $325408.93    | 0.09%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9044                                                         | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     64887 | PA      | $58777.47     | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9387                                                         | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     71413 | PA      | $58614.24     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9412                                                         | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1242299 | PA      | $1069396.94   | 0.30%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9461                                                         | CUSIP: 3140XDQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    505479 | PA      | $470479.90    | 0.13%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9464                                                         | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    129198 | PA      | $116413.61    | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9728                                                         | CUSIP: 3140XDY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1500295 | PA      | $1292260.18   | 0.37%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0024                                                         | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     61287 | PA      | $53246.50     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0037                                                         | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     57927 | PA      | $52320.22     | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0067                                                         | CUSIP: 3140XFCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     56980 | PA      | $56378.81     | 0.02%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0240                                                         | CUSIP: 3140XFHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     67305 | PA      | $60764.04     | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0331                                                         | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    143160 | PA      | $127855.60    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0352                                                         | CUSIP: 3140XFMA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    226906 | PA      | $185519.56    | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0366                                                         | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     67933 | PA      | $59305.77     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0424                                                         | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    644388 | PA      | $555347.25    | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0434                                                         | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     68407 | PA      | $59304.68     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0520                                                         | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     70791 | PA      | $63611.91     | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0582                                                         | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     71408 | PA      | $61539.91     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0751                                                         | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    144197 | PA      | $128031.59    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1014                                                         | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     75361 | PA      | $62071.94     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1074                                                         | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    424798 | PA      | $383895.56    | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1112                                                         | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    368527 | PA      | $304728.35    | 0.09%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1171                                                         | CUSIP: 3140XGJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    173877 | PA      | $155267.41    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1462                                                         | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     69049 | PA      | $64688.26     | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1539                                                         | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     68872 | PA      | $63418.45     | 0.02%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1556                                                         | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    296271 | PA      | $277859.06    | 0.08%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1938                                                         | CUSIP: 3140XHEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    850614 | PA      | $732030.85    | 0.21%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2296                                                         | CUSIP: 3140XHRS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    203418 | PA      | $189449.15    | 0.05%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2496                                                         | CUSIP: 3140XHX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    124609 | PA      | $122659.62    | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2764                                                         | CUSIP: 3140XJCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    419064 | PA      | $410573.14    | 0.12%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2914                                                         | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     75880 | PA      | $74769.13     | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS3196                                                         | CUSIP: 3140XJRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    723322 | PA      | $596938.61    | 0.17%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS3249                                                         | CUSIP: 3140XJTF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     62916 | PA      | $63227.15     | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS3800                                                         | CUSIP: 3140XKGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    399724 | PA      | $401991.01    | 0.11%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS4166                                                         | CUSIP: 3140XKTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     73564 | PA      | $75335.37     | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS4367                                                         | CUSIP: 3140XKZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    558966 | PA      | $549358.48    | 0.16%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS4764                                                         | CUSIP: 3140XLJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    863118 | PA      | $743281.20    | 0.21%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS4805                                                         | CUSIP: 3140XLKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72326 | PA      | $73734.12     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS5059                                                         | CUSIP: 3140XLTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     79086 | PA      | $74958.59     | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS5155                                                         | CUSIP: 3140XLWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    153199 | PA      | $155394.04    | 0.04%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS5625                                                         | CUSIP: 3140XMHB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    727489 | PA      | $735809.24    | 0.21%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS5647                                                         | CUSIP: 3140XMHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     81630 | PA      | $83930.95     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS6214                                                         | CUSIP: 3140XM3Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    486005 | PA      | $500663.09    | 0.14%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS6451                                                         | CUSIP: 3140XNEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     76288 | PA      | $77890.80     | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS7294                                                         | CUSIP: 3140XPC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     76193 | PA      | $79931.29     | 0.02%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS8867                                                         | CUSIP: 3140XQZ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    804614 | PA      | $808380.52    | 0.23%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS9271                                                         | CUSIP: 3140XRJR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    756593 | PA      | $751456.92    | 0.21%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1253                                                         | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     21975 | PA      | $21396.38     | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1463                                                         | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    164945 | PA      | $156655.75    | 0.04%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1591                                                         | CUSIP: 31418AXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     32397 | PA      | $32357.79     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1629                                                         | CUSIP: 31418AY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     29440 | PA      | $29403.82     | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1664                                                         | CUSIP: 31418AZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     14007 | PA      | $13989.39     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1711                                                         | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     15320 | PA      | $15301.25     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA3210                                                         | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    149858 | PA      | $140340.05    | 0.04%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4031                                                         | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     18071 | PA      | $17821.40     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4325                                                         | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    288994 | PA      | $235244.76    | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4437                                                         | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    460126 | PA      | $373685.20    | 0.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4562                                                         | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2549733 | PA      | $2067128.52   | 0.59%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4579                                                         | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1169590 | PA      | $1037398.20   | 0.29%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4599                                                         | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     80096 | PA      | $70985.64     | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4626                                                         | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2484863 | PA      | $2371442.18   | 0.67%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4701                                                         | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    154280 | PA      | $151242.73    | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4784                                                         | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    385983 | PA      | $378584.85    | 0.11%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4866                                                         | CUSIP: 31418EMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    245499 | PA      | $234217.08    | 0.07%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4869                                                         | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72121 | PA      | $73422.66     | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA5009                                                         | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    246219 | PA      | $246826.92    | 0.07%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2005-29 ZA                                                  | CUSIP: 31394DEV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     60032 | PA      | $62158.01     | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2012-118 VZ                                                 | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    104006 | PA      | $96241.22     | 0.03%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2014-6 Z                                                    | CUSIP: 3136AH6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    126188 | PA      | $112523.45    | 0.03%             | 2044-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2018-74 AB                                                  | CUSIP: 3136B3HQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     52854 | PA      | $49549.41     | 0.01%             | 2048-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2020-47 GZ                                                  | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    111617 | PA      | $67595.31     | 0.02%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2020-56 AQ                                                  | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    198834 | PA      | $161808.58    | 0.05%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2020-57 TA                                                  | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     77482 | PA      | $68937.78     | 0.02%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2023-2 CI                                                   | CUSIP: 3136BPUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    819130 | PA      | $99772.36     | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE TRUST 2003-W2 FNW 2003-W2 2A9                                          | CUSIP: 31392JAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    201202 | PA      | $203750.49    | 0.06%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Ferguson Finance Plc                                                         | FERGUSON FINANCE PLC 144A 3.250000% 06/02/2030                                    | CUSIP: 314890AB0<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | NUSS              | US        |    851000 | PA      | $812151.02    | 0.23%             | 2030-06-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ferguson Finance Plc                                                         | FERGUSON FINANCE PLC 144A 4.500000% 10/24/2028                                    | CUSIP: 314890AA2<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | NUSS              | US        |    459000 | PA      | $462346.05    | 0.13%             | 2028-10-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES TRUST                                                         | FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021-SFR1 A                                    | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    685651 | PA      | $674174.95    | 0.19%             | 2038-08-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FIRSTKEY HOMES TRUST                                                         | FIRSTKEY HOMES 2021-SFR3 TRUST FKH 2021-SFR3 A                                    | CUSIP: 33768JAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    414260 | PA      | $406148.93    | 0.12%             | 2038-12-17      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| FISERV, INC.                                                                 | FISERV INC 4.550000% 02/15/2031                                                   | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84125.24     | 0.02%             | 2031-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FISERV, INC.                                                                 | FISERV INC 5.450000% 03/15/2034                                                   | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    290000 | PA      | $294036.23    | 0.08%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FISERV, INC.                                                                 | FISERV INC 5.625000% 08/21/2033                                                   | CUSIP: 337738BH0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72181.40     | 0.02%             | 2033-08-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD                                                             | FLATIRON CLO 26 LTD FLAT 2024-4A A                                                | CUSIP: 33888AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    525000 | PA      | $525111.30    | 0.15%             | 2038-01-15      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FLATIRON CLO LTD                                                             | FLATIRON RR CLO 22 LLC FLAT 2021-2A AR                                            | CUSIP: 33883QAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    693000 | PA      | $689484.41    | 0.20%             | 2034-10-15      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT COMPANY                                                | FLORIDA POWER & LIGHT CO 2.450000% 02/03/2032                                     | CUSIP: 341081GG6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    544000 | PA      | $490905.01    | 0.14%             | 2032-02-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                        | FOUNDRY JV HOLDCO LLC 144A 5.500000% 01/25/2031                                   | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    335000 | PA      | $345785.18    | 0.10%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G02469                                                   | CUSIP: 3128M4CE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     10458 | PA      | $10946.63     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G04588                                                   | CUSIP: 3128M6ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     10450 | PA      | $10904.00     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G07668                                                   | CUSIP: 3128M9Z96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    280848 | PA      | $279333.14    | 0.08%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G07697                                                   | CUSIP: 3128M93E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    131190 | PA      | $131445.67    | 0.04%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G08844                                                   | CUSIP: 3128MJ5E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      9161 | PA      | $9292.51      | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G08859                                                   | CUSIP: 3128MJ5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     25120 | PA      | $25526.91     | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G60199                                                   | CUSIP: 31335AGG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    332173 | PA      | $332856.66    | 0.09%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G60804                                                   | CUSIP: 31335A3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    163604 | PA      | $165205.15    | 0.05%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G60985                                                   | CUSIP: 31335BCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    180770 | PA      | $165224.97    | 0.05%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G61242                                                   | CUSIP: 31335BLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    193036 | PA      | $194059.80    | 0.06%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G61526                                                   | CUSIP: 31335BVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    182541 | PA      | $189580.07    | 0.05%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G61739                                                   | CUSIP: 31335B4Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     90655 | PA      | $82786.86     | 0.02%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G67701                                                   | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    107077 | PA      | $98687.00     | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG L00016                                                   | CUSIP: 3128DFAR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    298773 | PA      | $303791.74    | 0.09%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q05692                                                   | CUSIP: 3132GL7D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    239930 | PA      | $234927.12    | 0.07%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q17792                                                   | CUSIP: 3132J9C63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     61910 | PA      | $59103.76     | 0.02%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q19236                                                   | CUSIP: 3132JAV69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     13652 | PA      | $13335.11     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q19254                                                   | CUSIP: 3132JAWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     14193 | PA      | $13708.15     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q19615                                                   | CUSIP: 3132JBDV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     15453 | PA      | $15119.54     | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q26814                                                   | CUSIP: 3132M7GX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     46351 | PA      | $44982.34     | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q41945                                                   | CUSIP: 3132WFET2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      7960 | PA      | $7848.83      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q42618                                                   | CUSIP: 3132WF4C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    382767 | PA      | $347659.17    | 0.10%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q53595                                                   | CUSIP: 3132XV7H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    290461 | PA      | $273664.15    | 0.08%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U90503                                                   | CUSIP: 3132H3RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     40832 | PA      | $38825.20     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U90903                                                   | CUSIP: 3132H4AC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     18610 | PA      | $17695.00     | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U91254                                                   | CUSIP: 3132HBH73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     35953 | PA      | $35047.45     | 0.01%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U91671                                                   | CUSIP: 3132HBW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    230997 | PA      | $219641.56    | 0.06%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U95137                                                   | CUSIP: 3132H5EK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     14094 | PA      | $13738.99     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U99045                                                   | CUSIP: 3132H7BP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     75562 | PA      | $71848.80     | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U99124                                                   | CUSIP: 3132H7D68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    143094 | PA      | $136060.05    | 0.04%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U99126                                                   | CUSIP: 3132H7D84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    214644 | PA      | $198190.53    | 0.06%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG V83157                                                   | CUSIP: 3132L8QJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    184070 | PA      | $182058.32    | 0.05%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Z40125                                                   | CUSIP: 3132FCD69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    359904 | PA      | $375529.33    | 0.11%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1515 X1                 | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2263746 | PA      | $219487.64    | 0.06%             | 2035-02-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K118 X1                   | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  13452350 | PA      | $499850.33    | 0.14%             | 2030-09-25      | Floating      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K740 X1                   | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7636081 | PA      | $76724.29     | 0.02%             | 2027-09-25      | Floating      | 0.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KG06 X1                   | CUSIP: 3137H4C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6479991 | PA      | $162326.38    | 0.05%             | 2031-10-25      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 841089                                               | CUSIP: 31288QF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    173456 | PA      | $179929.59    | 0.05%             | 2047-06-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 841090                                               | CUSIP: 31288QF70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    281836 | PA      | $292758.87    | 0.08%             | 2046-10-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QA8518                                                        | CUSIP: 3133A3PB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    347901 | PA      | $312996.43    | 0.09%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QC7411                                                        | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     74275 | PA      | $64067.96     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QC9154                                                        | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     74871 | PA      | $67477.27     | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE0399                                                        | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     73914 | PA      | $65627.11     | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE1492                                                        | CUSIP: 3133BAUR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     67912 | PA      | $63563.92     | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE2241                                                        | CUSIP: 3133BBP29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     67334 | PA      | $66597.52     | 0.02%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE6679                                                        | CUSIP: 3133BGM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     71736 | PA      | $71116.00     | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QF3213                                                        | CUSIP: 3133BQSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      7937 | PA      | $7792.09      | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QF5465                                                        | CUSIP: 3133BTCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     73809 | PA      | $73831.09     | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QG1295                                                        | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     62415 | PA      | $63507.63     | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QG7311                                                        | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     74995 | PA      | $76571.73     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QN1779                                                        | CUSIP: 3133G76Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    362967 | PA      | $346902.63    | 0.10%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA2572                                                        | CUSIP: 3133KH2D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    378510 | PA      | $353556.35    | 0.10%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA3913                                                        | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    351391 | PA      | $304381.37    | 0.09%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA5117                                                        | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    273346 | PA      | $224942.53    | 0.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA5373                                                        | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     72539 | PA      | $59677.09     | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA5731                                                        | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    216571 | PA      | $176624.27    | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA6562                                                        | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     68574 | PA      | $59565.87     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA6954                                                        | CUSIP: 3133KNWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     75306 | PA      | $66863.39     | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA8694                                                        | CUSIP: 3133KQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    318548 | PA      | $319592.09    | 0.09%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA8790                                                        | CUSIP: 3133KQXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     80225 | PA      | $80522.15     | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA9437                                                        | CUSIP: 3133KRPW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     76088 | PA      | $77585.02     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RB0714                                                        | CUSIP: 3133KTYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     71590 | PA      | $62224.81     | 0.02%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SC0093                                                        | CUSIP: 3132D9C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    114019 | PA      | $99643.17     | 0.03%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SC0160                                                        | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    130689 | PA      | $113154.94    | 0.03%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SC0188                                                        | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     65353 | PA      | $57155.77     | 0.02%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SC0206                                                        | CUSIP: 3132D9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     66576 | PA      | $57990.30     | 0.02%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SC0384                                                        | CUSIP: 3132D9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    158397 | PA      | $136103.54    | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0499                                                        | CUSIP: 3132DMRU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1068663 | PA      | $966799.46    | 0.27%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0573                                                        | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     57048 | PA      | $47173.22     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0615                                                        | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     66935 | PA      | $65991.75     | 0.02%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0619                                                        | CUSIP: 3132DMVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    782424 | PA      | $744397.78    | 0.21%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0745                                                        | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     71925 | PA      | $59328.51     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0781                                                        | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     64402 | PA      | $57468.84     | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1217                                                        | CUSIP: 3132DNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    921129 | PA      | $757931.30    | 0.22%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1775                                                        | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    164836 | PA      | $162092.53    | 0.05%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1807                                                        | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     73259 | PA      | $72083.16     | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1844                                                        | CUSIP: 3132DPBM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    398232 | PA      | $354592.98    | 0.10%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1936                                                        | CUSIP: 3132DPEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     79366 | PA      | $73747.42     | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2138                                                        | CUSIP: 3132DPLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     77706 | PA      | $79780.41     | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2245                                                        | CUSIP: 3132DPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     76781 | PA      | $78515.87     | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2511                                                        | CUSIP: 3132DPYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     75425 | PA      | $76777.59     | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2591                                                        | CUSIP: 3132DP2Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     77852 | PA      | $78378.93     | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2723                                                        | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     83937 | PA      | $85700.09     | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2762                                                        | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     78168 | PA      | $79942.50     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2792                                                        | CUSIP: 3132DQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     70240 | PA      | $70544.56     | 0.02%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2866                                                        | CUSIP: 3132DQFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     78019 | PA      | $75553.69     | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD3171                                                        | CUSIP: 3132DQQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     80961 | PA      | $82910.68     | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD3294                                                        | CUSIP: 3132DQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    413728 | PA      | $426063.98    | 0.12%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD3475                                                        | CUSIP: 3132DQ2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     82491 | PA      | $84477.46     | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD4365                                                        | CUSIP: 3132E0Z62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     80790 | PA      | $82506.00     | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD4709                                                        | CUSIP: 3132DSGS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     72263 | PA      | $74151.74     | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD5270                                                        | CUSIP: 3132DS2B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    661850 | PA      | $669021.45    | 0.19%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7440                                                        | CUSIP: 3132DVHR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    885652 | PA      | $893095.80    | 0.25%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7534                                                        | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    118870 | PA      | $103044.65    | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7540                                                        | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1923032 | PA      | $1659556.05   | 0.47%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7543                                                        | CUSIP: 3132DVLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    915634 | PA      | $790536.42    | 0.22%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7552                                                        | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    745008 | PA      | $643003.32    | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7560                                                        | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    152849 | PA      | $147445.91    | 0.04%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8079                                                        | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    151982 | PA      | $124205.08    | 0.04%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8204                                                        | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1682504 | PA      | $1364044.29   | 0.39%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8212                                                        | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    227590 | PA      | $193426.54    | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8213                                                        | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1341929 | PA      | $1191084.79   | 0.34%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8256                                                        | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1420480 | PA      | $1354997.23   | 0.39%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8264                                                        | CUSIP: 3132DWFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1251280 | PA      | $1159645.40   | 0.33%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8267                                                        | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     78739 | PA      | $78932.70     | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8286                                                        | CUSIP: 3132DWF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    566803 | PA      | $540754.38    | 0.15%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8287                                                        | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    621253 | PA      | $608703.60    | 0.17%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SL1660                                                        | CUSIP: 31427NZ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    866627 | PA      | $849474.00    | 0.24%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA5297                                                        | CUSIP: 31329N3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    349913 | PA      | $338183.00    | 0.10%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA5297                                                        | CUSIP: 31329N3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     54702 | PA      | $52868.62     | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA5318                                                        | CUSIP: 31329N4B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    143972 | PA      | $135040.88    | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA6531                                                        | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    335527 | PA      | $332766.35    | 0.09%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS4693                                                        | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    237189 | PA      | $215118.58    | 0.06%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS7738                                                        | CUSIP: 3132A8S34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    183648 | PA      | $178664.36    | 0.05%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS7740                                                        | CUSIP: 3132A8S59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    140296 | PA      | $136731.86    | 0.04%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZT0794                                                        | CUSIP: 3132AC3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    235138 | PA      | $233710.22    | 0.07%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZT1858                                                        | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    314052 | PA      | $311791.60    | 0.09%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4391 MZ                                                    | CUSIP: 3137BDMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    140085 | PA      | $127800.55    | 0.04%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4813 CJ                                                    | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     25011 | PA      | $22266.05     | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4980 KI                                                    | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    361883 | PA      | $84923.82     | 0.02%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5224 HL                                                    | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    300000 | PA      | $279504.87    | 0.08%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5293 IO                                                    | CUSIP: 3137H9QG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    823943 | PA      | $103528.00    | 0.03%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5473 BF                                                    | CUSIP: 3137HHFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    407401 | PA      | $409675.30    | 0.12%             | 2054-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2018-4 MA                 | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    156329 | PA      | $153140.90    | 0.04%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-1 MA                 | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    289829 | PA      | $283637.03    | 0.08%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2021-DNA6 STACR 2021-DNA6 M2                        | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    183997 | PA      | $184520.58    | 0.05%             | 2041-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-DNA2 STACR 2022-DNA2 M1A                       | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     16802 | PA      | $16807.97     | 0.00%             | 2042-02-25      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| FRESB MORTGAGE TRUST                                                         | FRESB 2018-SB48 MORTGAGE TRUST FRESB 2018-SB48 A10F                               | CUSIP: 30296RAP5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    316391 | PA      | $311028.89    | 0.09%             | 2028-02-25      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Genpact Luxembourg S.a.r.l.                                                  | GENPACT LUXEMBOURG SARL/GENPACT USA INC 6.000000% 06/04/2029                      | CUSIP: 37190AAB5<br>LEI: 549300875ZJZQ1PBR343 | Long             | DBT              | NUSS              | US        |    469000 | PA      | $489898.88    | 0.14%             | 2029-06-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA ST HIGHER ED FACS AUTH REV                                           | GEORGIA ST HGR EDU FACS AUTH R GEORGIA HIGHER EDUCATION FACILITIES AUTHORITY      | CUSIP: 373511KJ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    315000 | PA      | $317199.08    | 0.09%             | 2034-01-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 692307                                                       | CUSIP: 36296JDL6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11897 | PA      | $12252.94     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 734152                                                       | CUSIP: 3620AMTH5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    165411 | PA      | $160321.50    | 0.05%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784085                                                       | CUSIP: 3622A2RE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    600639 | PA      | $601361.16    | 0.17%             | 2034-09-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784369                                                       | CUSIP: 3622A22A9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    202854 | PA      | $195549.27    | 0.06%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784571                                                       | CUSIP: 3622A3CG3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     50266 | PA      | $46991.35     | 0.01%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784605                                                       | CUSIP: 3622AAAE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     41614 | PA      | $41629.75     | 0.01%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN BS8439                                                       | CUSIP: 3617MKLU1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     31519 | PA      | $28818.44     | 0.01%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JANUARY)                                             | CUSIP: 21H030617<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    400000 | PA      | $359359.38    | 0.10%             | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JANUARY)                                             | CUSIP: 21H022614<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2525000 | PA      | $2177615.25   | 0.62%             | 2056-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JANUARY)                                             | CUSIP: 21H042612<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    875000 | PA      | $852167.97    | 0.24%             | 2056-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JANUARY)                                             | CUSIP: 21H052611<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    325000 | PA      | $328151.33    | 0.09%             | 2056-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 3953                                                        | CUSIP: 36202EMA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18628 | PA      | $19232.45     | 0.01%             | 2037-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4194                                                        | CUSIP: 36202EUT4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9884 | PA      | $10199.64     | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4308                                                        | CUSIP: 36202EYD5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4301 | PA      | $4319.52      | 0.00%             | 2038-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4696                                                        | CUSIP: 36202FGD2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     98883 | PA      | $99597.39     | 0.03%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4747                                                        | CUSIP: 36202FHY5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    185371 | PA      | $190732.27    | 0.05%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4923                                                        | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     71839 | PA      | $72343.50     | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 783368                                                      | CUSIP: 36241LW51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     25538 | PA      | $25709.45     | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784106                                                      | CUSIP: 3622A2R38<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10362 | PA      | $9654.21      | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784319                                                      | CUSIP: 3622A2YQ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     65441 | PA      | $65890.95     | 0.02%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784825                                                      | CUSIP: 3622AAHA5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8518 | PA      | $7756.13      | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784894                                                      | CUSIP: 3622AAKF0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     84048 | PA      | $77058.82     | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 785283                                                      | CUSIP: 3622AAXL3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    794702 | PA      | $682919.97    | 0.19%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786108                                                      | CUSIP: 3622ABU91<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     83659 | PA      | $74935.85     | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786216                                                      | CUSIP: 3622ABYM8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     59616 | PA      | $53546.57     | 0.02%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786474                                                      | CUSIP: 3622ACCK4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     74711 | PA      | $75131.28     | 0.02%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786709                                                      | CUSIP: 3622ACKW9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     77002 | PA      | $77435.17     | 0.02%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786843                                                      | CUSIP: 3622ACP46<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     76678 | PA      | $68831.59     | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 787097                                                      | CUSIP: 3622ACX21<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     70842 | PA      | $71228.81     | 0.02%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 AY6444                                                      | CUSIP: 36196WER4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    209776 | PA      | $193618.49    | 0.06%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 BM9743                                                      | CUSIP: 3617K1ZG1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     52753 | PA      | $50314.23     | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA1995                                                      | CUSIP: 36179QGC9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     21451 | PA      | $20003.55     | 0.01%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA2304                                                      | CUSIP: 36179QRZ6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6632 | PA      | $6411.73      | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA2678                                                      | CUSIP: 36179Q6P1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7822 | PA      | $7293.78      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA2894                                                      | CUSIP: 36179RGB9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    365094 | PA      | $364072.29    | 0.10%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3521                                                      | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     82316 | PA      | $76689.96     | 0.02%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3597                                                      | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     33136 | PA      | $30871.20     | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3663                                                      | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11077 | PA      | $10319.88     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3736                                                      | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     22809 | PA      | $21244.84     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3803                                                      | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11447 | PA      | $10590.30     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3875                                                      | CUSIP: 36179SJU2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     70713 | PA      | $68248.52     | 0.02%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3937                                                      | CUSIP: 36179SLS4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12543 | PA      | $11677.62     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4451                                                      | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    134487 | PA      | $124986.14    | 0.04%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4511                                                      | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    229549 | PA      | $221239.68    | 0.06%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4587                                                      | CUSIP: 36179TCY9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     19874 | PA      | $19188.88     | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4654                                                      | CUSIP: 36179TE35<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     17420 | PA      | $17322.65     | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4719                                                      | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     62001 | PA      | $57355.48     | 0.02%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4720                                                      | CUSIP: 36179TG58<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     87482 | PA      | $84267.51     | 0.02%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4780                                                      | CUSIP: 36179TJZ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9059 | PA      | $9007.06      | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4781                                                      | CUSIP: 36179TJ22<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     45585 | PA      | $46457.23     | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4838                                                      | CUSIP: 36179TLT0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     55330 | PA      | $53277.34     | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4901                                                      | CUSIP: 36179TNS0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     22140 | PA      | $21314.74     | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5020                                                      | CUSIP: 36179TSH9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     20400 | PA      | $19635.22     | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5078                                                      | CUSIP: 36179TUB9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    167973 | PA      | $161648.55    | 0.05%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5137                                                      | CUSIP: 36179TV69<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     76345 | PA      | $73254.36     | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5138                                                      | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     22861 | PA      | $22702.68     | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5193                                                      | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8174 | PA      | $8091.80      | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5194                                                      | CUSIP: 36179TXX8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     14484 | PA      | $14725.39     | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5265                                                      | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    238946 | PA      | $236918.51    | 0.07%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5331                                                      | CUSIP: 36179T4Q5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     14411 | PA      | $14292.72     | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5529                                                      | CUSIP: 36179UEA6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     30632 | PA      | $30362.45     | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5597                                                      | CUSIP: 36179UGE6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     29256 | PA      | $29726.61     | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5652                                                      | CUSIP: 36179UH54<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6718 | PA      | $6655.73      | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5653                                                      | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     35876 | PA      | $36398.78     | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5711                                                      | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    121364 | PA      | $120287.71    | 0.03%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5712                                                      | CUSIP: 36179UKZ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    161278 | PA      | $163774.31    | 0.05%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5763                                                      | CUSIP: 36179UML3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     89728 | PA      | $86051.46     | 0.02%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5817                                                      | CUSIP: 36179UPA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     50528 | PA      | $48427.00     | 0.01%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5818                                                      | CUSIP: 36179UPB2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    126733 | PA      | $125536.44    | 0.04%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5876                                                      | CUSIP: 36179UQ54<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     40010 | PA      | $38322.64     | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5877                                                      | CUSIP: 36179UQ62<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     17695 | PA      | $17595.83     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5878                                                      | CUSIP: 36179UQ70<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     14582 | PA      | $14837.52     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA6287                                                      | CUSIP: 36179U6Y3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12995 | PA      | $13212.03     | 0.00%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA6413                                                      | CUSIP: 36179VDS6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     27968 | PA      | $28434.70     | 0.01%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA6477                                                      | CUSIP: 36179VFS4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12828 | PA      | $12698.63     | 0.00%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7056                                                      | CUSIP: 36179VZV5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     52987 | PA      | $52380.43     | 0.01%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7589                                                      | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1760679 | PA      | $1519523.63   | 0.43%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7880                                                      | CUSIP: 36179WXH6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1008151 | PA      | $835194.40    | 0.24%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7989                                                      | CUSIP: 36179W2W7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    298089 | PA      | $273733.01    | 0.08%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8044                                                      | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    993703 | PA      | $915270.73    | 0.26%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8202                                                      | CUSIP: 36179XDF0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    145920 | PA      | $146225.19    | 0.04%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8429                                                      | CUSIP: 36179XLJ3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    136465 | PA      | $139063.13    | 0.04%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8570                                                      | CUSIP: 36179XQX7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     65413 | PA      | $66549.99     | 0.02%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8726                                                      | CUSIP: 36179XVT0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     67780 | PA      | $68904.26     | 0.02%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8801                                                      | CUSIP: 36179XX68<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    277421 | PA      | $281886.79    | 0.08%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8879                                                      | CUSIP: 36179X2L9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    777234 | PA      | $790359.15    | 0.22%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8879                                                      | CUSIP: 36179X2L9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    291372 | PA      | $296292.13    | 0.08%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA9304                                                      | CUSIP: 36179YKR4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    868827 | PA      | $871577.33    | 0.25%             | 2053-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA9963                                                      | CUSIP: 36180AB85<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    846578 | PA      | $825483.66    | 0.23%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MB0024                                                      | CUSIP: 3618N5A25<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    616417 | PA      | $601057.84    | 0.17%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC (FIN) COMPANY                                                | GLOBAL ATLANTIC FIN CO 144A 3.125000% 06/15/2031                                  | CUSIP: 37959GAB3<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |   1026000 | PA      | $927416.16    | 0.26%             | 2031-06-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC.                                                         | GLOBAL PAYMENTS INC 4.500000% 11/15/2028                                          | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    260000 | PA      | $260494.47    | 0.07%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO LTD                                        | GOLDENTREE LOAN MANAGEMENT US CLO 11 LTD GLM 2021-11A AR                          | CUSIP: 38138KAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    415000 | PA      | $414792.09    | 0.12%             | 2034-10-20      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 3.500000% 11/16/2026                                  | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89686.29     | 0.03%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 3.615000% 03/15/2028                                  | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29833.43     | 0.01%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 4.223000% 05/01/2029                                  | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    650000 | PA      | $651352.36    | 0.19%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 5.536000% 01/28/2036                                  | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36325.67     | 0.01%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC, INC.                                                      | GOLUB CAPITAL BDC INC 7.050000% 12/05/2028                                        | CUSIP: 38173MAD4<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |    164000 | PA      | $173057.95    | 0.05%             | 2028-12-05      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA (JAN)                           | CUSIP: 21H050615<br>LEI: N/A                  | Long             | DBT              |  | US        |   1900000 | PA      | $1895509.22   | 0.54%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA (JANUARY)                       | CUSIP: 21H040616<br>LEI: N/A                  | Long             | DBT              |  | US        |   1075000 | PA      | $1015329.10   | 0.29%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA JANUARY                         | CUSIP: 21H032613<br>LEI: N/A                  | Long             | DBT              |  | US        |   1625000 | PA      | $1478558.56   | 0.42%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-34 SA                           | CUSIP: 38378D2U8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12438 | PA      | $1223.24      | 0.00%             | 2042-03-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-113 IO                          | CUSIP: 38379UH41<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3345566 | PA      | $201806.90    | 0.06%             | 2058-02-16      | Floating      | 1.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-168 PA                          | CUSIP: 38381BDT8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     33978 | PA      | $33075.32     | 0.01%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-182 IA                          | CUSIP: 38380RLQ1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   4712768 | PA      | $203275.81    | 0.06%             | 2063-06-16      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-108 IO                          | CUSIP: 38381DPK0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3126808 | PA      | $222059.35    | 0.06%             | 2061-06-16      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-188 PA                          | CUSIP: 38383CRU6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    167371 | PA      | $138583.06    | 0.04%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-189 PT                          | CUSIP: 38383LDU1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    159124 | PA      | $133782.45    | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-9 GA                            | CUSIP: 38383FR62<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    136962 | PA      | $114469.31    | 0.03%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                 | GS MORTGAGE SECURITIES TRUST 2020-GC45 GSMS 2020-GC45 A5                          | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    889000 | PA      | $837334.96    | 0.24%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                          | GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 GSMBS 2018-RPL1 A1A                 | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     79467 | PA      | $78374.67     | 0.02%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                          | GS MORTGAGE-BACKED SECURITIES TRUST 2025-PJ4 GSMBS 2025-PJ4 A5                    | CUSIP: 36271WAE5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    347826 | PA      | $350058.54    | 0.10%             | 2055-09-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                          | GS MORTGAGE-BACKED SECURITIES TRUST 2025-PJ7 GSMBS 2025-PJ7 A5                    | CUSIP: 36272MAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    453418 | PA      | $455734.53    | 0.13%             | 2055-12-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| HEALTHPEAK OP, LLC                                                           | HEALTHPEAK OP LLC 2.125000% 12/01/2028                                            | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    769000 | PA      | $726257.62    | 0.21%             | 2028-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| HILT MORTGAGE TRUST                                                          | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL HILT 2024-ORL A                           | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    400000 | PA      | $400496.88    | 0.11%             | 2037-05-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                         | HOME DEPOT INC/THE 2.500000% 04/15/2027                                           | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    450000 | PA      | $442758.02    | 0.13%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST                                               | HOME PARTNERS OF AMERICA 2022-1 TRUST HPA 2022-1 A                                | CUSIP: 43730NAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    244465 | PA      | $243301.19    | 0.07%             | 2039-04-17      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| HOMES TRUST                                                                  | HOMES 2024-NQM2 TRUST HOMES 2024-NQM2 A1                                          | CUSIP: 43761CAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    377842 | PA      | $381062.22    | 0.11%             | 2069-10-25      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| HONDA MOTOR CO., LTD.                                                        | HONDA MOTOR CO LTD 2.534000% 03/10/2027                                           | CUSIP: 438127AB8<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | DBT              | CORP              | JP        |    632000 | PA      | $621476.88    | 0.18%             | 2027-03-10      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS, L.P.                                                  | HOST HOTELS & RESORTS LP 5.700000% 06/15/2032                                     | CUSIP: 44107TBD7<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    290000 | PA      | $302799.57    | 0.09%             | 2032-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HOTWIRE FUNDING LLC                                                          | HOTWIRE FUNDING LLC HWIRE 2021-1 A2                                               | CUSIP: 44148JAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    335000 | PA      | $328108.55    | 0.09%             | 2051-11-20      | Fixed         | 2.31%                 | Yes           |                  2 | On Loan: No      |
| HPS LOAN MANAGEMENT LTD                                                      | HPS LOAN MANAGEMENT 2021-16 LTD HLM 2021-16A A1R                                  | CUSIP: 40440XAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $399788.80    | 0.11%             | 2035-01-23      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| HUMANA INC.                                                                  | HUMANA INC 2.150000% 02/03/2032                                                   | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26004.65     | 0.01%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| HUMANA INC.                                                                  | HUMANA INC 3.700000% 03/23/2029                                                   | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157095.63    | 0.04%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| HUMANA INC.                                                                  | HUMANA INC 5.750000% 12/01/2028                                                   | CUSIP: 444859BZ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207975.70    | 0.06%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                     | HYATT HOTELS CORP 5.050000% 03/30/2028                                            | CUSIP: 448579AU6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    255000 | PA      | $259624.19    | 0.07%             | 2028-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ILLINOIS HSG DEV AUTH REV                                                    | ILLINOIS ST HSG DEV AUTH REVEN ILLINOIS HOUSING DEVELOPMENT AUTHORITY             | CUSIP: 45203MC41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    580000 | PA      | $586917.37    | 0.17%             | 2027-04-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ING Groep N.V.                                                               | ING GROEP NV 6.114000% 09/11/2034                                                 | CUSIP: 456837BH5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | NUSS              | NL        |    539000 | PA      | $582355.81    | 0.17%             | 2034-09-11      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| INTEL CORPORATION                                                            | INTEL CORP 2.000000% 08/12/2031                                                   | CUSIP: 458140BU3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    305000 | PA      | $267471.57    | 0.08%             | 2031-08-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IOWA STUDENT LN LIQUIDITY CORP STUDENT LN REV                                | IOWA ST STUDENT LOAN LIQUIDITY IOWA STUDENT LOAN LIQUIDITY CORP                   | CUSIP: 462590NZ9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    166000 | PA      | $166517.95    | 0.05%             | 2034-12-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                       | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES T JPMCC 2016-NINE B              | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    510000 | PA      | $502995.81    | 0.14%             | 2038-09-06      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORPORATION                                               | JOHN DEERE CAPITAL CORP MTN 3.350000% 04/18/2029                                  | CUSIP: 24422EWE5<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    934000 | PA      | $916207.16    | 0.26%             | 2029-04-18      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2025-1 JPMMT 2025-1 A4A                                  | CUSIP: 46658UAF8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    407050 | PA      | $409287.43    | 0.12%             | 2055-06-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2025-5MPR A1B                                      | CUSIP: 46593VAB3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    189320 | PA      | $189390.80    | 0.05%             | 2055-11-25      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST SERIES 2024-4 JPMMT 2024-4 A4A                           | CUSIP: 46657WAE8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    195789 | PA      | $197454.20    | 0.06%             | 2054-10-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST SERIES 2025-11 JPMMT 2025-11 A4                          | CUSIP: 46662QAQ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    856000 | PA      | $855952.92    | 0.24%             | 2056-05-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                                   | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C25 A5              | CUSIP: 46643PBE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     35948 | PA      | $35545.91     | 0.01%             | 2047-11-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 2.522000% 04/22/2031                                          | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    190000 | PA      | $176990.16    | 0.05%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.005000% 04/23/2029                                          | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99903.62     | 0.03%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.203000% 07/23/2029                                          | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    673000 | PA      | $675182.27    | 0.19%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.203000% 07/23/2029                                          | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100324.26    | 0.03%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.452000% 12/05/2029                                          | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202060.74    | 0.06%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.565000% 06/14/2030                                          | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    998000 | PA      | $1009611.41   | 0.29%             | 2030-06-14      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.915000% 01/24/2029                                          | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    240000 | PA      | $244461.60    | 0.07%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 5.294000% 07/22/2035                                          | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103168.20    | 0.03%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| KENVUE INC.                                                                  | KENVUE INC 5.350000% 03/22/2026                                                   | CUSIP: 49177JAD4<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150289.73    | 0.04%             | 2026-03-22      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO. VI LLC                                                 | KKR GROUP FINANCE CO VI LLC 144A 3.750000% 07/01/2029                             | CUSIP: 48252AAA9<br>LEI: 549300TUJWGHJM3FSJ07 | Long             | DBT              | CORP              | US        |   1149000 | PA      | $1125281.27   | 0.32%             | 2029-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| THE KROGER CO.                                                               | KROGER CO/THE 7.700000% 06/01/2029                                                | CUSIP: 501044BT7<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    565000 | PA      | $624845.56    | 0.18%             | 2029-06-01      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| LCM LTD.                                                                     | LCM 29 LTD LCM 29A AR                                                             | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    157675 | PA      | $157721.29    | 0.04%             | 2031-04-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| LCM LTD.                                                                     | LCM 37 LTD LCM 37A A1R                                                            | CUSIP: 50204JAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    411873 | PA      | $410984.29    | 0.12%             | 2034-04-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| LCM LTD.                                                                     | LCM 39 LTD LCM 39A A2R                                                            | CUSIP: 50204NAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    487500 | PA      | $487366.43    | 0.14%             | 2034-10-15      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| LINEAGE OP, LP                                                               | LINEAGE OP LP 144A 5.250000% 07/15/2030                                           | CUSIP: 53567YAA7<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              | CORP              | US        |    155000 | PA      | $156369.70    | 0.04%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LKQ CORPORATION                                                              | LKQ CORP 5.750000% 06/15/2028                                                     | CUSIP: 501889AD1<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | DBT              | CORP              | US        |    682000 | PA      | $704517.00    | 0.20%             | 2028-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                     | LLOYDS BANKING GROUP PLC 5.721000% 06/05/2030                                     | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | NUSS              | GB        |    865000 | PA      | $906560.94    | 0.26%             | 2030-06-05      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDL FING AUTH ED LN REV                                        | MASSACHUSETTS ST EDUCTNL FING MASSACHUSETTS EDUCATIONAL FINANCING AUTHORITY       | CUSIP: 57563RUE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    845000 | PA      | $854256.98    | 0.24%             | 2035-07-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.500000% 07/01/2027                                          | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9945.80      | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.800000% 04/01/2028                                          | CUSIP: 58013MFF6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    280000 | PA      | $279647.93    | 0.08%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS, INC.                                                         | META PLATFORMS INC 4.875000% 11/15/2035                                           | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    590000 | PA      | $589209.41    | 0.17%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                                | MILL CITY MORTGAGE LOAN TRUST 2019-1 MCMLT 2019-1 A1                              | CUSIP: 59981AAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     90872 | PA      | $89054.97     | 0.03%             | 2069-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORPORATION                                                          | MOODY'S CORP 2.000000% 08/19/2031                                                 | CUSIP: 615369AW5<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $888601.35    | 0.25%             | 2031-08-19      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY 5.320000% 07/19/2035                                               | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1261000 | PA      | $1298075.59   | 0.37%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY 5.466000% 01/18/2035                                               | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    230000 | PA      | $239079.32    | 0.07%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2016-C30 A4              | CUSIP: 61766NBA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    310107 | PA      | $309289.18    | 0.09%             | 2049-09-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2017-C34 ASB             | CUSIP: 61767EAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    190361 | PA      | $188882.03    | 0.05%             | 2052-11-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2025-5C1 A3              | CUSIP: 61778GAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    828000 | PA      | $865021.45    | 0.25%             | 2058-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 2.699000% 01/22/2031                                           | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    200000 | PA      | $187599.32    | 0.05%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 3.622000% 04/01/2031                                           | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    475000 | PA      | $461521.62    | 0.13%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK, NATIONAL ASSOCIATION                            | MORGAN STANLEY PRIVATE BANK NA 4.204000% 11/17/2028                               | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150468.62    | 0.04%             | 2028-11-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK, NATIONAL ASSOCIATION                            | MORGAN STANLEY PRIVATE BANK NA 4.734000% 07/18/2031                               | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    395000 | PA      | $400410.53    | 0.11%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST                               | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 202 MSRM 2025-1 A4                 | CUSIP: 617944AF0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    314976 | PA      | $316345.52    | 0.09%             | 2055-03-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| NEW HAMPSHIRE HEALTH & ED FACS AUTH REV                                      | NEW HAMPSHIRE ST HLTH & EDU FA NEW HAMPSHIRE HEALTH AND EDUCATION FACILITIES AUTH | CUSIP: 64461XKB0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1090000 | PA      | $1096828.20   | 0.31%             | 2034-11-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 NRZT 2018-RPL1 M2                   | CUSIP: 64829VAD8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    240000 | PA      | $207824.76    | 0.06%             | 2057-12-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B1                        | CUSIP: 64828GAS9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    158710 | PA      | $154740.70    | 0.04%             | 2059-09-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B2                        | CUSIP: 64828GBB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    158710 | PA      | $155446.93    | 0.04%             | 2059-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1                   | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     49415 | PA      | $47682.30     | 0.01%             | 2059-09-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1                   | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     64962 | PA      | $58707.13     | 0.02%             | 2056-11-27      | Floating      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A3                   | CUSIP: 64831TAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     42212 | PA      | $38188.44     | 0.01%             | 2056-11-27      | Floating      | 1.52%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-NQM4 NRZT 2022-NQM4 A1                   | CUSIP: 64831UAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    270682 | PA      | $269740.47    | 0.08%             | 2062-06-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER CORPORATION                                             | NIAGARA MOHAWK POWER CORP 144A 4.647000% 10/03/2030                               | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    180000 | PA      | $181111.21    | 0.05%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC COMPANY                                                       | NSTAR ELECTRIC CO 1.950000% 08/15/2031                                            | CUSIP: 67021CAR8<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $881202.11    | 0.25%             | 2031-08-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| NXP B.V.                                                                     | NXP BV / NXP FUNDING LLC / NXP USA INC 5.000000% 01/15/2033                       | CUSIP: 62954HBB3<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | NUSS              | NL        |    916000 | PA      | $930500.96    | 0.26%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYC TRUST                                                                    | NYCT TRUST 2024-3ELV NYCT 2024-3ELV A                                             | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    475000 | PA      | $476381.49    | 0.14%             | 2029-08-15      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST                                                | NYO COMMERCIAL MORTGAGE TRUST 2021-1290 NYO 2021-1290 A                           | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    345000 | PA      | $344390.45    | 0.10%             | 2038-11-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1                                              | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    196775 | PA      | $163137.66    | 0.05%             | 2061-05-25      | Floating      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM2 TRUST OBX 2021-NQM2 A3                                              | CUSIP: 670857AC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    162345 | PA      | $135457.80    | 0.04%             | 2061-05-25      | Floating      | 1.56%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM3 TRUST OBX 2021-NQM3 A1                                              | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    104384 | PA      | $85905.03     | 0.02%             | 2061-07-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM4 TRUST OBX 2021-NQM4 A1                                              | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    176884 | PA      | $152646.02    | 0.04%             | 2061-10-25      | Floating      | 1.96%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2022-NQM1 TRUST OBX 2022-NQM1 A1                                              | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    262377 | PA      | $237546.38    | 0.07%             | 2061-11-25      | Floating      | 2.31%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2024-NQM11 TRUST OBX 2024-NQM11 A3                                            | CUSIP: 67119EAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    163910 | PA      | $165351.00    | 0.05%             | 2064-06-25      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2025-J3 TRUST OBX 2025-J3 A5                                                  | CUSIP: 67449KAE3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    557354 | PA      | $555741.60    | 0.16%             | 2055-10-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2025-NQM1 TRUST OBX 2025-NQM1 A2                                              | CUSIP: 673914AD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    504356 | PA      | $507561.47    | 0.14%             | 2064-12-25      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                             | OCCIDENTAL PETROLEUM CORP ZERO COUPON 10/10/2036                                  | CUSIP: 674599DG7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1346000 | PA      | $812876.99    | 0.23%             | 2036-10-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD                                                                  | OCP CLO 2015-10 LTD OCP 2015-10A AR3                                              | CUSIP: 67092DBD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    880000 | PA      | $880607.20    | 0.25%             | 2038-01-26      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS, LTD.                                            | OCTAGON INVESTMENT PARTNERS 40 LTD OCT40 2019-1A BRR                              | CUSIP: 67592BBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    470000 | PA      | $469539.87    | 0.13%             | 2035-01-20      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY COMPANY LLC                                          | ONCOR ELECTRIC DELIVERY CO LLC 4.150000% 06/01/2032                               | CUSIP: 68233JCF9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    300000 | PA      | $293552.41    | 0.08%             | 2032-06-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                           | ORACLE CORP 1.650000% 03/25/2026                                                  | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    130000 | PA      | $129180.36    | 0.04%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                           | ORACLE CORP 3.800000% 11/15/2037                                                  | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    245000 | PA      | $197798.74    | 0.06%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                           | ORACLE CORP 4.650000% 05/06/2030                                                  | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69386.74     | 0.02%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO                                                            | PALMER SQUARE CLO 2022-2 LTD PLMRS 2022-2A AR                                     | CUSIP: 69688NAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    523000 | PA      | $523797.05    | 0.15%             | 2037-07-20      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| PAYCHEX, INC.                                                                | PAYCHEX INC 5.100000% 04/15/2030                                                  | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    310000 | PA      | $319149.46    | 0.09%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PEACHTREE CORNERS FUNDING TRUST II                                           | PEACHTREE CORNERS FUNDING TRUST II 144A 6.012000% 05/15/2035                      | CUSIP: 70470BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    682000 | PA      | $718825.45    | 0.20%             | 2035-05-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| PFIZER INC.                                                                  | PFIZER INC 2.625000% 04/01/2030                                                   | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94356.69     | 0.03%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                                          | PFS FINANCING CORP PFSFC 2025-D A                                                 | CUSIP: 69335PFY6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    536000 | PA      | $541730.97    | 0.15%             | 2030-05-15      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                           | PG&E WILDFIRE RECOVERY FUNDING LLC 3.594000% 06/01/2030                           | CUSIP: 693342AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    473420 | PA      | $468702.95    | 0.13%             | 2030-06-01      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                           | PG&E WILDFIRE RECOVERY FUNDING LLC 4.022000% 06/01/2031                           | CUSIP: 693342AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    532733 | PA      | $531730.36    | 0.15%             | 2031-06-01      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| THE PNC FINANCIAL SERVICES GROUP, INC.                                       | PNC FINANCIAL SERVICES GROUP INC/THE 6.875000% 10/20/2034                         | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    834000 | PA      | $943776.89    | 0.27%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST                                                                  | PRKCM 2021-AFC1 TRUST PRKCM 2021-AFC1 A1                                          | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    148174 | PA      | $125941.87    | 0.04%             | 2056-08-25      | Floating      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| PRKCM TRUST                                                                  | PRKCM 2021-AFC2 TRUST PRKCM 2021-AFC2 A1                                          | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    108670 | PA      | $97357.50     | 0.03%             | 2056-11-25      | Floating      | 2.07%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                                            | PROGRESS RESIDENTIAL 2022-SFR2 TRUST PROG 2022-SFR2 A                             | CUSIP: 74332VAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    949725 | PA      | $934242.31    | 0.27%             | 2027-04-17      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                                            | PROGRESS RESIDENTIAL 2022-SFR3 TRUST PROG 2022-SFR3 A                             | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    487239 | PA      | $480578.52    | 0.14%             | 2039-04-17      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Province de Quebec                                                           | PROVINCE OF QUEBEC CANADA MTN 6.350000% 01/30/2026                                | CUSIP: 74815HBZ4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   1010000 | PA      | $1011625.31   | 0.29%             | 2026-01-30      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                     | PRPM 2023-RCF2 LLC PRPM 2023-RCF2 A1                                              | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    502826 | PA      | $498503.99    | 0.14%             | 2053-11-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                                     | PRPM 2024-RPL1 LLC PRPM 2024-RPL1 A1                                              | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    453456 | PA      | $448655.53    | 0.13%             | 2064-12-25      | Floating      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST                                                          | RCKT MORTGAGE TRUST 2024-INV1 RCKT 2024-INV1 A1                                   | CUSIP: 74938QAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     77044 | PA      | $78973.10     | 0.02%             | 2054-06-25      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| RENTOKIL TERMINIX FUNDING, LLC                                               | RENTOKIL TERMINIX FUNDING LLC 144A 5.000000% 04/28/2030                           | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |    453000 | PA      | $460847.93    | 0.13%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FINANCE (USA) PLC                                                  | RIO TINTO FINANCE USA PLC 4.875000% 03/14/2030                                    | CUSIP: 76720AAS5<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | NUSS              | AU        |   1055000 | PA      | $1083844.86   | 0.31%             | 2030-03-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO                                                           | ROCKFORD TOWER CLO 2020-1 LTD ROCKT 2020-1A A1RR                                  | CUSIP: 77341EBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    475000 | PA      | $474066.63    | 0.13%             | 2036-01-20      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| RYDER SYSTEM, INC.                                                           | RYDER SYSTEM INC MTN 5.250000% 06/01/2028                                         | CUSIP: 78355HKW8<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    609000 | PA      | $625156.10    | 0.18%             | 2028-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SABEY DATA CENTER ISSUER, LLC                                                | SABEY DATA CENTER ISSUER LLC SDCP 2021-1 A2                                       | CUSIP: 78520EAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1027000 | PA      | $1011947.16   | 0.29%             | 2046-06-20      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| SABEY DATA CENTER ISSUER, LLC                                                | SABEY DATA CENTER ISSUER LLC SDCP 2021-1 A2                                       | CUSIP: 78520EAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    491000 | PA      | $483803.36    | 0.14%             | 2046-06-20      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| SMALL BUSINESS INVESTMENT COMPANIES                                          | SBA SMALL BUSINESS INVESTMENT COS SBIC 2023-10A 1                                 | CUSIP: 83162CS79<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    777994 | PA      | $794267.51    | 0.23%             | 2033-03-10      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS INVESTMENT COMPANIES                                          | SBA SMALL BUSINESS INVESTMENT COS SBIC 2024-10A 1                                 | CUSIP: 831641FX8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    826952 | PA      | $837210.30    | 0.24%             | 2034-03-10      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                              | SBA TOWER TRUST 144A 2.593000% 10/15/2031                                         | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    996000 | PA      | $898596.38    | 0.26%             | 2031-10-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                              | SBA TOWER TRUST 144A 4.831000% 10/15/2029                                         | CUSIP: 78403DBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    445000 | PA      | $447774.17    | 0.13%             | 2029-10-15      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                      | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   2043842 | NS      | $2043842.16   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                      | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  15473470 | NS      | $15473469.97  | 4.40%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                      | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |       179 | NS      | $179.01       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 2024-4 SEMT 2024-4 A4                                      | CUSIP: 81743BAD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    224395 | PA      | $226310.73    | 0.06%             | 2054-05-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 2024-6 SEMT 2024-6 A5                                      | CUSIP: 81743DAE3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    257203 | PA      | $260095.77    | 0.07%             | 2054-07-27      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 2025-2 SEMT 2025-2 A5                                      | CUSIP: 816935AE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    400041 | PA      | $402409.60    | 0.11%             | 2055-03-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST                                                | SG RESIDENTIAL MORTGAGE TRUST 2022-1 SGR 2022-1 A1                                | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    304795 | PA      | $286603.91    | 0.08%             | 2062-03-27      | Floating      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| SIXTH STREET CLO LTD                                                         | SIXTH STREET CLO VIII LTD SIXST 2017-8A A1R2                                      | CUSIP: 83012VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $399889.60    | 0.11%             | 2034-10-20      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| SLG OFFICE TRUST                                                             | SLG OFFICE TRUST 2021-OVA SLG 2021-OVA A                                          | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    510000 | PA      | $455941.63    | 0.13%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                            | SMBC AVIATION CAPITAL FINANCE DAC 144A 5.100000% 04/01/2030                       | CUSIP: 78448TAN2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | NUSS              | IE        |    205000 | PA      | $209682.45    | 0.06%             | 2030-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SOUTH CAROLINA STUDENT LN CORP REV                                           | SOUTH CAROLINA ST STUDENT LOAN SOUTH CAROLINA STUDENT LOAN CORP                   | CUSIP: 83715AAZ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    530000 | PA      | $529641.88    | 0.15%             | 2036-12-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| THE SOUTHERN COMPANY                                                         | SOUTHERN CO/THE 3.750000% 09/15/2051                                              | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    425000 | PA      | $418982.30    | 0.12%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORPORATION                                                        | STARBUCKS CORP 4.800000% 05/15/2030                                               | CUSIP: 855244BL2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    420000 | PA      | $428676.09    | 0.12%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORPORATION                                                     | STATE STREET CORP 5.159000% 05/18/2034                                            | CUSIP: 857477CC5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    520000 | PA      | $537597.06    | 0.15%             | 2034-05-18      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| STRYKER CORPORATION                                                          | STRYKER CORP 4.700000% 02/10/2028                                                 | CUSIP: 863667BK6<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    420000 | PA      | $425993.95    | 0.12%             | 2028-02-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                                           | SUBWAY FUNDING LLC SUBWAY 2024-1A A2II                                            | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    703890 | PA      | $718694.78    | 0.20%             | 2054-07-30      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 2.050000% 02/15/2028                                             | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19199.01     | 0.01%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 2.550000% 02/15/2031                                             | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    204000 | PA      | $186371.04    | 0.05%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 3.375000% 04/15/2029                                             | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    219000 | PA      | $213442.15    | 0.06%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 3.500000% 04/15/2031                                             | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    180000 | PA      | $172090.84    | 0.05%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 3.750000% 04/15/2027                                             | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19937.17     | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TACO BELL FUNDING, LLC                                                       | TACO BELL FUNDING LLC BELL 2021-1A A2II                                           | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    582622 | PA      | $543143.42    | 0.15%             | 2051-08-25      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS LIMITED                                          | TEXTAINER MARINE CONTAINERS VII LTD TMCL 2020-2A A                                | CUSIP: 88315LAG3<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |    242949 | PA      | $230650.71    | 0.07%             | 2045-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS LIMITED                                          | TEXTAINER MARINE CONTAINERS VII LTD TMCL 2020-3A A                                | CUSIP: 88315LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |    261125 | PA      | $249896.59    | 0.07%             | 2045-09-20      | Fixed         | 2.11%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2019-HY2 TPMT 2019-HY2 M2                               | CUSIP: 89177HAD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    100000 | PA      | $100399.29    | 0.03%             | 2058-05-25      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTATE LINE COMPANY                                      | TRANS-ALLEGHENY INTERSTATE LINE CO 144A 5.000000% 01/15/2031                      | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $349269.68    | 0.10%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 01/15/2026                                                | CUSIP: 912797RJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $8988497.37   | 2.56%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 03/19/2026                                                | CUSIP: 912797PV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    303000 | PA      | $300744.13    | 0.09%             | 2026-03-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST                                                  | TRICON AMERICAN HOMES 2019-SFR1 TRUST TAH 2019-SFR1 A                             | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    267190 | PA      | $266109.52    | 0.08%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL TRUST                                                     | TRICON RESIDENTIAL 2021-SFR1 TRUST TCN 2021-SFR1 A                                | CUSIP: 89614YAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    847674 | PA      | $837093.71    | 0.24%             | 2038-07-17      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| TRICON RESIDENTIAL TRUST                                                     | TRICON RESIDENTIAL 2025-SFR2 TRUST TCN 2025-SFR2 A                                | CUSIP: 89617FAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    485363 | PA      | $489510.33    | 0.14%             | 2044-08-17      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| TRINITY RAIL LEASING LLC                                                     | TRINITY RAIL LEASING 2019-1 LLC TRL 2019-1A A                                     | CUSIP: 89657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    370661 | PA      | $369527.84    | 0.11%             | 2049-04-17      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD                                           | TRTX 2025-FL6 ISSUER LTD TRTX 2025-FL6 A                                          | CUSIP: 897764AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    513000 | PA      | $514078.33    | 0.15%             | 2042-09-18      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125%  01/15/2030                   | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    784000 | PA      | $940980.55    | 0.27%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                                                | UBS COMMERCIAL MORTGAGE TRUST 2019-C16 UBSCM 2019-C16 ASB                         | CUSIP: 90276YAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    190388 | PA      | $188598.97    | 0.05%             | 2052-04-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS GROUP AG 144A 2.746000% 02/11/2033                                            | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | NUSS              | CH        |    575000 | PA      | $515620.08    | 0.15%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2010-20H 1                       | CUSIP: 83162CTL7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     63669 | PA      | $62924.05     | 0.02%             | 2030-08-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20B 1                       | CUSIP: 83162CTV5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     62359 | PA      | $62167.71     | 0.02%             | 2031-02-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20J 1                       | CUSIP: 83162CUH4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     38553 | PA      | $37155.36     | 0.01%             | 2031-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2013-20K 1                       | CUSIP: 83162CVX8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    197528 | PA      | $192369.29    | 0.05%             | 2033-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2014-20F 1                       | CUSIP: 83162CWH2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    289179 | PA      | $276375.59    | 0.08%             | 2034-06-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20C 1                       | CUSIP: 83162CWX7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    273177 | PA      | $260168.17    | 0.07%             | 2035-03-01      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20E 1                       | CUSIP: 83162CXA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    146626 | PA      | $139136.76    | 0.04%             | 2035-05-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20K 1                       | CUSIP: 83162CXK4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    194313 | PA      | $183519.98    | 0.05%             | 2035-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25E 1                       | CUSIP: 83162CP56<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    779896 | PA      | $742525.32    | 0.21%             | 2047-05-01      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25F 1                       | CUSIP: 83162CP72<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    542844 | PA      | $521567.96    | 0.15%             | 2047-06-01      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25G 1                       | CUSIP: 83162CQ22<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    829120 | PA      | $796589.72    | 0.23%             | 2047-07-01      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25H 1                       | CUSIP: 83162CQ48<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    411061 | PA      | $389313.98    | 0.11%             | 2047-08-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2023-25F 1                       | CUSIP: 83162CT60<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    754901 | PA      | $765424.22    | 0.22%             | 2048-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2024-25C 1                       | CUSIP: 83162CW58<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    772143 | PA      | $784294.03    | 0.22%             | 2049-03-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 1.250000% 01/15/2026                                       | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19980.39     | 0.01%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 2.000000% 05/15/2030                                       | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27360.97     | 0.01%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 2.300000% 05/15/2031                                       | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18036.21     | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 3.875000% 12/15/2028                                       | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29976.86     | 0.01%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 4.000000% 05/15/2029                                       | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199800.96    | 0.06%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 5.150000% 07/15/2034                                       | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51212.47     | 0.01%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| US 10YR ULTRA FUT MAR26                                                      | US 10YR ULTRA FUT MAR26 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -40 | NC      | $-4600625.00  | -1.31%            |  |  |  | No            |                  1 | On Loan: No      |
| US 2YR NOTE (CBT) MAR26                                                      | US 2YR NOTE (CBT) MAR26 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       211 | NC      | $44054492.19  | 12.52%            |  |  |  | No            |                  1 | On Loan: No      |
| U.S. BANCORP                                                                 | US BANCORP 5.775000% 06/12/2029                                                   | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103940.38    | 0.03%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| U.S. BANCORP                                                                 | US BANCORP MTN 2.215000% 01/27/2028                                               | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58928.88     | 0.02%             | 2028-01-27      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.375000% 12/31/2027                                              | CUSIP: 91282CPS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  18525000 | PA      | $18488818.45  | 5.26%             | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.500000% 10/15/2028                                              | CUSIP: 91282CPC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2891000 | PA      | $2888063.84   | 0.82%             | 2028-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.500000% 11/30/2030                                              | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2551000 | PA      | $2525290.72   | 0.72%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.500000% 12/15/2028                                              | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   5010000 | PA      | $5004128.88   | 1.42%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.500000% 12/15/2028                                              | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   1058000 | PA      | $1056760.15   | 0.30%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.625000% 08/31/2030                                              | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  12397000 | PA      | $12352932.51  | 3.51%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.625000% 12/31/2030                                              | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  28635000 | PA      | $28498536.47  | 8.10%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.875000% 08/15/2034                                              | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    840000 | PA      | $827071.88    | 0.24%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.875000% 12/31/2032                                              | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   5115000 | PA      | $5092621.88   | 1.45%             | 2032-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 02/28/2030                                              | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   3166000 | PA      | $3206317.05   | 0.91%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 05/31/2030                                              | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   5514000 | PA      | $5584217.37   | 1.59%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 11/15/2035                                              | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2201000 | PA      | $2169360.63   | 0.62%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.125000% 11/30/2029                                              | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    745000 | PA      | $757862.89    | 0.22%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.250000% 05/15/2035                                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   3606000 | PA      | $3635862.19   | 1.03%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.250000% 11/15/2034                                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   4246000 | PA      | $4290616.16   | 1.22%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US ULTRA BOND CBT MAR26 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -22 | NC      | $-2596000.00  | -0.74%            |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 2.355000% 03/15/2032                                   | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    546000 | PA      | $481162.28    | 0.14%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 2.550000% 03/21/2031                                   | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    664000 | PA      | $606360.46    | 0.17%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                         | VERIZON MASTER TRUST VZMT 2025-10 A                                               | CUSIP: 92348KEZ2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    892000 | PA      | $894768.95    | 0.25%             | 2033-10-20      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| VIRGINIA ST HSG DEV AUTH COMWLTH MTG                                         | VIRGINIA HSG DEV AUTH VIRGINIA HOUSING DEVELOPMENT AUTHORITY                      | CUSIP: 92812XDH2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    270000 | PA      | $272050.84    | 0.08%             | 2027-01-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE, LLC                                     | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 144A 5.650000% 03/25/2032                 | CUSIP: 928668CR1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | DE        |    230000 | PA      | $238607.29    | 0.07%             | 2032-03-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE, LLC                                     | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 144A 5.800000% 03/27/2035                 | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | DE        |     90000 | PA      | $93213.95     | 0.03%             | 2035-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                   | WARNERMEDIA HOLDINGS INC 4.054000% 03/15/2029                                     | CUSIP: 55903VBY8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58068.00     | 0.02%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC.                                                        | WEC ENERGY GROUP INC 5.625000% 05/15/2056                                         | CUSIP: 92939UAU0<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    260000 | PA      | $261637.53    | 0.07%             | 2056-05-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO 3.000000% 10/23/2026                                             | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    190000 | PA      | $188610.61    | 0.05%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO 5.499000% 01/23/2035                                             | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20867.40     | 0.01%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 2.393000% 06/02/2028                                         | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    290000 | PA      | $283357.25    | 0.08%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 4.300000% 07/22/2027                                         | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200779.58    | 0.06%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 4.478000% 04/04/2031                                         | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    220000 | PA      | $221453.76    | 0.06%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 5.557000% 07/25/2034                                         | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20968.27     | 0.01%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                           | WENDY'S FUNDING LLC WEN 2021-1A A2I                                               | CUSIP: 95058XAK4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    589683 | PA      | $549564.32    | 0.16%             | 2051-06-15      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                           | WENDY'S FUNDING LLC WEN 2021-1A A2II                                              | CUSIP: 95058XAL2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    253073 | PA      | $225667.47    | 0.06%             | 2051-06-15      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| THE WILLIAMS COMPANIES, INC.                                                 | WILLIAMS COS INC/THE 3.750000% 06/15/2027                                         | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    390000 | PA      | $388436.22    | 0.11%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER COMPANY                                             | WISCONSIN ELECTRIC POWER CO 4.600000% 10/01/2034                                  | CUSIP: 976656CS5<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |    588000 | PA      | $582485.56    | 0.17%             | 2034-10-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| W.P. CAREY INC.                                                              | WP CAREY INC 4.650000% 07/15/2030                                                 | CUSIP: 92936UAN9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    380000 | PA      | $382648.37    | 0.11%             | 2030-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-31

**Name of Applicant:** NEW COVENANT FUNDS

**Signature:** Glenn Kurdziel

**Name of Signer:** Glenn Kurdziel

**Title:** Controller and Chief Financial Officer