# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001410368-26-047040
**Filing Date:** 2026-5
**Character Count:** 1002630
**Document Hash:** d85e757cf1749e9c38c8f61a774119d4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-047040.hdr.sgml**: 20260518

**ACCESSION NUMBER**: 0001410368-26-047040

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260518

**DATE AS OF CHANGE**: 20260518

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036

**ORGANIZATION NAME:**
- **EIN:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 26992613

**BUSINESS ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802
- **BUSINESS PHONE:** 260-455-2000

**MAIL ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AGGRESSIVE GROWTH FUND /
- **DATE OF NAME CHANGE:** 20031001

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **DATE OF NAME CHANGE:** 20030910

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC
- **DATE OF NAME CHANGE:** 19931025

## Series and Classes Contracts Data

### LVIP Franklin Templeton Core Bond Fund (Series ID: S000002812)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000007720 | Standard Class |  |
| C000007721 | Service Class  |  |

## Nport-Ex

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments**

March 31, 2026 (unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Principal** <br>**Amount°**<br>| **Value** <br>**(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.24%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.24%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.24%** |
| Federal Home Loan Mortgage Corp. REMICS  | Federal Home Loan Mortgage Corp. REMICS  | Federal Home Loan Mortgage Corp. REMICS  |
| &nbsp;&nbsp;&nbsp; \*•Series 3973 Class SA 2.70% <br> (6.38% minus 30 day USD <br> SOFR Average) 12/15/41<br>| 83729 | $8463 |
| &nbsp;&nbsp;&nbsp; Series 4676 Class KZ 2.50% <br> 7/15/45<br>| 1750317 | 1539674 |
| &nbsp;&nbsp;&nbsp; Series 4793 Class CB 3.00% <br> 5/15/48<br>| 118381 | 103631 |
| &nbsp;&nbsp;&nbsp; Series 4793 Class CD 3.00% <br> 6/15/48<br>| 79147 | 69626 |
| &nbsp;&nbsp;&nbsp; Series 4813 Class CJ 3.00% <br> 8/15/48<br>| 74497 | 65457 |
| &nbsp;&nbsp;&nbsp; \*Series 4980 Class KI 4.50% <br> 6/25/50<br>| 709127 | 159343 |
| &nbsp;&nbsp;&nbsp; Series 4991 Class QV 2.00% <br> 9/25/45<br>| 87823 | 76849 |
| &nbsp;&nbsp;&nbsp; \*Series 5010 Class IK 2.50% <br> 9/25/50<br>| 112542 | 17203 |
| &nbsp;&nbsp;&nbsp; \*Series 5010 Class JI 2.50% <br> 9/25/50<br>| 274272 | 45209 |
| &nbsp;&nbsp;&nbsp; \*Series 5013 Class IN 2.50% <br> 9/25/50<br>| 68501 | 11372 |
| &nbsp;&nbsp;&nbsp; \*Series 5018 Class MI 2.00% <br> 10/25/50<br>| 212437 | 28623 |
| &nbsp;&nbsp;&nbsp; \*Series 5059 Class IB 2.50% <br> 1/25/51<br>| 434711 | 72795 |
| &nbsp;&nbsp;&nbsp; Series 5092 Class AP 2.00% <br> 4/25/41<br>| 124264 | 110286 |
| &nbsp;&nbsp;&nbsp; \*Series 5093 Class IY 4.50% <br> 12/25/50<br>| 384839 | 88371 |
| &nbsp;&nbsp;&nbsp; \*Series 5118 Class NI 2.00% <br> 2/25/51<br>| 662663 | 85451 |
| &nbsp;&nbsp;&nbsp; \*Series 5140 Class NI 2.50% <br> 5/25/49<br>| 377254 | 52249 |
| &nbsp;&nbsp;&nbsp; \*Series 5148 Class BI 2.50% <br> 1/25/49<br>| 998147 | 142393 |
| &nbsp;&nbsp;&nbsp; \*Series 5148 Class CI 2.00% <br> 6/25/49<br>| 393573 | 48413 |
| &nbsp;&nbsp;&nbsp; \*Series 5159 Class IP 3.00% <br> 11/25/51<br>| 600922 | 83820 |
| &nbsp;&nbsp;&nbsp; \*Series 5161 IO 2.00% <br> 3/25/51<br>| 711762 | 96898 |
| &nbsp;&nbsp;&nbsp; \*Series 5179 Class GI 2.50% <br> 1/25/52<br>| 767750 | 128427 |
| &nbsp;&nbsp;&nbsp; \*Series 5202 Class IN 3.00% <br> 1/25/47<br>| 262714 | 32588 |
| &nbsp;&nbsp;&nbsp; Series 5224 Class HL 4.00% <br> 4/25/52<br>| 400000 | 366626 |
| &nbsp;&nbsp;&nbsp; \*Series 5293 Class CI 2.50% <br> 4/25/51<br>| 1371994 | 213410 |
| &nbsp;&nbsp;&nbsp; \*Series 5293 IO 2.00% <br> 3/25/51<br>| 811469 | 100234 |
| &nbsp;&nbsp;&nbsp; \*Series 5377 IO 2.50% <br> 12/25/51<br>| 735511 | 88800 |
| &nbsp;&nbsp;&nbsp; \*Series 5389 Class IC 4.50% <br> 11/25/51<br>| 398019 | 88731 |
| &nbsp;&nbsp;&nbsp; •Series 5444 Class FC 4.78% <br> (30 day USD SOFR Average <br> + 1.12%) 8/25/54<br>| 17081894 | 17137730 |
| &nbsp;&nbsp;&nbsp; •Series 5452 Class FC 4.71% <br> (30 day USD SOFR Average <br> + 1.05%) 9/25/54<br>| 13317309 | 13327874 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal Home Loan Mortgage Corp. REMICS (continued)  | Federal Home Loan Mortgage Corp. REMICS (continued)  | Federal Home Loan Mortgage Corp. REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; •Series 5493 Class FK 4.81% <br> (30 day USD SOFR Average <br> + 1.15%) 1/25/55<br>| 283428 | $284276 |
| &nbsp;&nbsp;&nbsp; •Series 5500 Class FW 4.86% <br> (30 day USD SOFR Average <br> + 1.20%) 10/25/54<br>| 436167 | 439817 |
| &nbsp;&nbsp;&nbsp; •Series 5537 Class FC 4.81% <br> (30 day USD SOFR Average <br> + 1.15%) 5/25/55<br>| 13004998 | 13064941 |
| &nbsp;&nbsp; Federal Home Loan Mortgage <br> Corp. Seasoned Credit Risk <br> Transfer Trust Series 2024-1 <br> Class MT 3.00% 11/25/63<br>| 355736 | 298733 |
| •Federal Home Loan Mortgage Corp. STACR REMICS Trust  | •Federal Home Loan Mortgage Corp. STACR REMICS Trust  | •Federal Home Loan Mortgage Corp. STACR REMICS Trust  |
| &nbsp;&nbsp;&nbsp; Series 2021-DNA2 Class M2 <br> 5.96% (30 day USD SOFR <br> Average + 2.30%) 8/25/33<br>| 144193 | 146486 |
| &nbsp;&nbsp;&nbsp; Series 2021-DNA5 Class M2 <br> 5.31% (30 day USD SOFR <br> Average + 1.65%) 1/25/34<br>| 3015748 | 3023674 |
| &nbsp;&nbsp;&nbsp; Series 2021-DNA6 Class M2 <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 10/25/41<br>| 584892 | 585430 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA1 Class M2 <br> 6.16% (30 day USD SOFR <br> Average + 2.50%) 1/25/42<br>| 10549000 | 10627661 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA2 Class M1A <br> 4.96% (30 day USD SOFR <br> Average + 1.30%) 2/25/42<br>| 124183 | 124250 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA3 Class M1B <br> 6.56% (30 day USD SOFR <br> Average + 2.90%) 4/25/42<br>| 830000 | 841679 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA4 Class M1B <br> 7.01% (30 day USD SOFR <br> Average + 3.35%) 5/25/42<br>| 990000 | 1010705 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA5 Class M1B <br> 8.16% (30 day USD SOFR <br> Average + 4.50%) 6/25/42<br>| 240000 | 248726 |
| &nbsp;&nbsp;&nbsp; Series 2024-DNA1 Class M2 <br> 5.61% (30 day USD SOFR <br> Average + 1.95%) 2/25/44<br>| 470000 | 472232 |
| &nbsp;&nbsp;&nbsp; Series 2025-DNA1 Class M2 <br> 5.01% (30 day USD SOFR <br> Average + 1.35%) 1/25/45<br>| 1050000 | 1044041 |
| &nbsp;&nbsp;&nbsp; Series 2025-DNA2 Class M1 <br> 4.86% (30 day USD SOFR <br> Average + 1.20%) 5/25/45<br>| 949658 | 948904 |
| &nbsp;&nbsp;&nbsp; Series 2025-DNA2 Class M2 <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 5/25/45<br>| 4443000 | 4425318 |
| &nbsp;&nbsp;&nbsp; Series 2025-DNA3 Class A1 <br> 4.61% (30 day USD SOFR <br> Average + 0.95%) 9/25/45<br>| 5775300 | 5757112 |
| &nbsp;&nbsp;&nbsp; Series 2025-DNA3 Class M1 <br> 4.76% (30 day USD SOFR <br> Average + 1.10%) 9/25/45<br>| 6322698 | 6313054 |
| &nbsp;&nbsp;&nbsp; Series 2025-DNA4 Class M1 <br> 4.76% (30 day USD SOFR <br> Average + 1.10%) 10/25/45<br>| 4096991 | 4087144 |

---

*LVIP Franklin Templeton Core Bond Fund–1*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •Federal Home Loan Mortgage Corp. STACR REMICS <br> Trust (continued)  | &nbsp;&nbsp; •Federal Home Loan Mortgage Corp. STACR REMICS <br> Trust (continued)  | &nbsp;&nbsp; •Federal Home Loan Mortgage Corp. STACR REMICS <br> Trust (continued)  |
| &nbsp;&nbsp;&nbsp; Series 2025-HQA1 Class M2 <br> 5.31% (30 day USD SOFR <br> Average + 1.65%) 2/25/45<br>| 1200000 | $1194889 |
| \*•Federal Home Loan Mortgage Corp. STRIPS | \*•Federal Home Loan Mortgage Corp. STRIPS | \*•Federal Home Loan Mortgage Corp. STRIPS |
| &nbsp;&nbsp;&nbsp; Series 334 Class S7 2.31% <br> (5.99% minus 30 day USD <br> SOFR Average) 8/15/44<br>| 152047 | 15609 |
| &nbsp;&nbsp;&nbsp; Series 353 Class S1 2.21% <br> (5.89% minus 30 day USD <br> SOFR Average) 12/15/46<br>| 72925 | 7420 |
| &nbsp;&nbsp; ♦Federal Home Loan Mortgage <br> Corp. Structured <br> Pass-Through Certificates <br> Series T-58 Class 2A 6.50% <br> 9/25/43<br>| 108638 | 113258 |
| &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-R01 Class 1M2 <br> 5.21% (30 day USD SOFR <br> Average + 1.55%) 10/25/41<br>| 133632 | 133984 |
| &nbsp;&nbsp;&nbsp; Series 2022-R02 Class 2M2 <br> 6.66% (30 day USD SOFR <br> Average + 3.00%) 1/25/42<br>| 4023770 | 4063896 |
| &nbsp;&nbsp;&nbsp; Series 2022-R03 Class 1M2 <br> 7.16% (30 day USD SOFR <br> Average + 3.50%) 3/25/42<br>| 240000 | 244712 |
| &nbsp;&nbsp;&nbsp; Series 2023-R01 Class 1M2 <br> 7.41% (30 day USD SOFR <br> Average + 3.75%) 12/25/42<br>| 760000 | 788506 |
| &nbsp;&nbsp;&nbsp; Series 2023-R03 Class 2M1 <br> 6.16% (30 day USD SOFR <br> Average + 2.50%) 4/25/43<br>| 18223394 | 18342548 |
| &nbsp;&nbsp;&nbsp; Series 2023-R06 Class 1M2 <br> 6.36% (30 day USD SOFR <br> Average + 2.70%) 7/25/43<br>| 997500 | 1019403 |
| &nbsp;&nbsp;&nbsp; Series 2023-R08 Class 1M1 <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 10/25/43<br>| 3465328 | 3465315 |
| &nbsp;&nbsp;&nbsp; Series 2024-R01 Class 1M2 <br> 5.46% (30 day USD SOFR <br> Average + 1.80%) 1/25/44<br>| 1040000 | 1044492 |
| &nbsp;&nbsp;&nbsp; Series 2024-R02 Class 1M2 <br> 5.46% (30 day USD SOFR <br> Average + 1.80%) 2/25/44<br>| 350000 | 350144 |
| &nbsp;&nbsp;&nbsp; Series 2024-R03 Class 2M1 <br> 4.81% (30 day USD SOFR <br> Average + 1.15%) 3/25/44<br>| 2671241 | 2669988 |
| &nbsp;&nbsp;&nbsp; Series 2024-R04 Class 1A1 <br> 4.66% (30 day USD SOFR <br> Average + 1.00%) 5/25/44<br>| 13111782 | 13093523 |
| &nbsp;&nbsp;&nbsp; Series 2024-R06 Class 1M2 <br> 5.26% (30 day USD SOFR <br> Average + 1.60%) 9/25/44<br>| 828345 | 826757 |
| &nbsp;&nbsp;&nbsp; Series 2025-R01 Class 1M2 <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 1/25/45<br>| 5334000 | 5306909 |
| &nbsp;&nbsp;&nbsp; Series 2025-R02 Class 1M2 <br> 5.26% (30 day USD SOFR <br> Average + 1.60%) 2/25/45<br>| 4558000 | 4555365 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust (continued) | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust (continued) | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2025-R03 Class 2M1 <br> 5.26% (30 day USD SOFR <br> Average + 1.60%) 3/25/45<br>| 4270180 | $4273543 |
| &nbsp;&nbsp;&nbsp; Series 2025-R04 Class 1M2 <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 5/25/45<br>| 11307000 | 11255355 |
| &nbsp;&nbsp;&nbsp; Series 2025-R05 Class 2M1 <br> 4.86% (30 day USD SOFR <br> Average + 1.20%) 7/25/45<br>| 6851822 | 6843037 |
| &nbsp;&nbsp;&nbsp; Series 2025-R06 Class 1A1 <br> 4.56% (30 day USD SOFR <br> Average + 0.90%) 9/25/45<br>| 6757504 | 6723063 |
| &nbsp;&nbsp;&nbsp; Series 2026-R01 Class 2A1 <br> 4.51% (30 day USD SOFR <br> Average + 0.85%) 1/25/46<br>| 12714476 | 12674402 |
| &nbsp;&nbsp;&nbsp; Series 2026-R01 Class 2M1 <br> 4.66% (30 day USD SOFR <br> Average + 1.00%) 1/25/46<br>| 14429227 | 14390356 |
| &nbsp;&nbsp;&nbsp; Series 2026-R02 Class 1M1 <br> 4.71% (30 day USD SOFR <br> Average + 1.05%) 2/25/46<br>| 8639687 | 8644095 |
| \*Federal National Mortgage Association Interest STRIPS | \*Federal National Mortgage Association Interest STRIPS | \*Federal National Mortgage Association Interest STRIPS |
| &nbsp;&nbsp;&nbsp; Series 427 Class C21 2.00% <br> 3/25/50<br>| 703512 | 88986 |
| &nbsp;&nbsp;&nbsp; Series 427 Class C73 3.00% <br> 12/25/48<br>| 430518 | 70397 |
| &nbsp;&nbsp;&nbsp; Series 440 Class C50 4.50% <br> 10/25/53<br>| 1671961 | 383045 |
| &nbsp;&nbsp;&nbsp; Series 440 Class C6 2.00% <br> 10/25/52<br>| 1642113 | 208067 |
| &nbsp;&nbsp; •Federal National Mortgage <br> Association REMICS Series <br> 2025-25 Class FB 4.61% (30 <br> day USD SOFR Average + <br> 0.95%) 4/25/55<br>| 8691564 | 8664534 |
| Federal National Mortgage Association REMICS  | Federal National Mortgage Association REMICS  | Federal National Mortgage Association REMICS  |
| &nbsp;&nbsp;&nbsp; \*•Series 2010-100 Class SV <br> 2.85% (6.52% minus 30 day <br> USD SOFR Average) <br> 9/25/40<br>| 172159 | 16608 |
| &nbsp;&nbsp;&nbsp; Series 2012-118 Class VZ <br> 3.00% 11/25/42<br>| 201501 | 184087 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-124 Class SB <br> 2.17% (5.84% minus 30 day <br> USD SOFR Average) <br> 12/25/43<br>| 30470 | 2943 |
| &nbsp;&nbsp;&nbsp; Series 2013-44 Class Z 3.00% <br> 5/25/43<br>| 197992 | 156659 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-54 Class BS <br> 2.37% (6.04% minus 30 day <br> USD SOFR Average) <br> 6/25/43<br>| 12633 | 1308 |
| &nbsp;&nbsp;&nbsp; Series 2015-65 Class CZ <br> 3.50% 9/25/45<br>| 289511 | 250202 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-61 Class BS <br> 2.32% (5.99% minus 30 day <br> USD SOFR Average) <br> 9/25/46<br>| 195911 | 11796 |

---

*LVIP Franklin Templeton Core Bond Fund–2*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; Series 2017-40 Class GZ <br> 3.50% 5/25/47<br>| 2317793 | $2150122 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-76 Class SB <br> 2.32% (5.99% minus 30 day <br> USD SOFR Average) <br> 10/25/57<br>| 216917 | 27234 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-85 Class SC <br> 2.42% (6.09% minus 30 day <br> USD SOFR Average) <br> 11/25/47<br>| 39300 | 3180 |
| &nbsp;&nbsp;&nbsp; Series 2020-47 Class GZ <br> 2.00% 7/25/50<br>| 224353 | 133410 |
| &nbsp;&nbsp;&nbsp; Series 2020-56 Class AQ <br> 2.00% 8/25/50<br>| 587384 | 471291 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-56 Class DI <br> 2.50% 8/25/50<br>| 131339 | 21626 |
| &nbsp;&nbsp;&nbsp; Series 2020-57 Class TA <br> 2.00% 4/25/50<br>| 338047 | 302211 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-61 Class NI <br> 3.50% 9/25/50<br>| 510498 | 80789 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-73 Class KI <br> 3.00% 10/25/50<br>| 120632 | 21112 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-1 Class IG 2.50% <br> 2/25/51<br>| 350376 | 59316 |
| &nbsp;&nbsp;&nbsp; Series 2021-28 Class LB <br> 2.00% 4/25/51<br>| 313251 | 261130 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-3 Class NI 2.50% <br> 2/25/51<br>| 609416 | 89913 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-3 Class QI 2.50% <br> 2/25/51<br>| 459434 | 71766 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-43 IO 2.50% <br> 6/25/51<br>| 780841 | 120775 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-44 Class MI <br> 2.50% 7/25/51<br>| 163149 | 28222 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-61 Class KI <br> 2.50% 4/25/49<br>| 770731 | 111816 |
| &nbsp;&nbsp;&nbsp; Series 2021-65 Class JA <br> 2.00% 1/25/46<br>| 116037 | 105409 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-77 Class WI <br> 3.00% 8/25/50<br>| 572885 | 90117 |
| &nbsp;&nbsp;&nbsp; \*Series 2022-22 IO 2.50% <br> 10/25/51<br>| 1184925 | 203782 |
| &nbsp;&nbsp;&nbsp; Series 2022-29 Class KZ <br> 1.50% 6/25/42<br>| 423659 | 325522 |
| &nbsp;&nbsp;&nbsp; \*Series 2022-86 IO 2.50% <br> 5/25/50<br>| 484316 | 67477 |
| &nbsp;&nbsp;&nbsp; \*Series 2023-2 Class CI 2.00% <br> 10/25/50<br>| 1614252 | 198559 |
| &nbsp;&nbsp;&nbsp; \*Series 2024-22 Class IC <br> 2.50% 10/25/51<br>| 2920372 | 388332 |
| &nbsp;&nbsp;&nbsp; •Series 2024-49 Class AF <br> 4.76% (30 day USD SOFR <br> Average + 1.10%) 7/25/54<br>| 6020695 | 6046356 |
| &nbsp;&nbsp;&nbsp; \*Series 2024-5 Class DI 3.00% <br> 10/25/51<br>| 923707 | 161593 |
| &nbsp;&nbsp;&nbsp; •Series 2024-77 Class FM <br> 4.61% (30 day USD SOFR <br> Average + 0.95%) 11/25/54<br>| 785862 | 787032 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; •Series 2024-87 Class FB <br> 4.76% (30 day USD SOFR <br> Average + 1.10%) 12/25/54<br>| 9945205 | $9958971 |
| &nbsp;&nbsp;&nbsp; •Series 2024-95 Class KF <br> 4.76% (30 day USD SOFR <br> Average + 1.10%) 12/25/54<br>| 1235983 | 1238694 |
| &nbsp;&nbsp;&nbsp; •Series 2025-55 Class FG <br> 4.76% (30 day USD SOFR <br> Average + 1.10%) 7/25/55<br>| 8083137 | 8141062 |
| &nbsp;&nbsp;&nbsp; •Series Update Class FE <br> 4.81% (30 day USD SOFR <br> Average + 1.15%) 2/25/55<br>| 13105364 | 13175942 |
| &nbsp;&nbsp; Federal National Mortgage <br> Association REMICS Trust <br> Series 2004-W11 Class 1A2 <br> 6.50% 5/25/44<br>| 31388 | 32204 |
| Government National Mortgage Association REMICS  | Government National Mortgage Association REMICS  | Government National Mortgage Association REMICS  |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-51 Class SG <br> 2.79% (6.47% minus 1 mo. <br> USD Term SOFR) 8/20/37<br>| 22643 | 2062 |
| &nbsp;&nbsp;&nbsp; Series 2013-113 Class LY <br> 3.00% 5/20/43<br>| 2088266 | 1949967 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-135 Class SB <br> 2.31% (5.99% minus 1 mo. <br> USD Term SOFR) 10/16/46<br>| 123830 | 15033 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-21 Class ST <br> 2.36% (6.04% minus 1 mo. <br> USD Term SOFR) 2/20/46<br>| 198437 | 21248 |
| &nbsp;&nbsp;&nbsp; \*Series 2016-84 Class IG <br> 4.50% 11/16/45<br>| 314046 | 60789 |
| &nbsp;&nbsp;&nbsp; Series 2017-163 Class ZK <br> 3.50% 11/20/47<br>| 404623 | 376120 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-H11 IO 2.25% <br> 5/20/67<br>| 3857264 | 121527 |
| &nbsp;&nbsp;&nbsp; •Series 2017-H14 Class FK <br> 3.70% (1 yr. CMT + 0.20%) <br> 5/20/67<br>| 6460 | 6449 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-H22 Class IC <br> 2.52% 11/20/67<br>| 91923 | 3555 |
| &nbsp;&nbsp;&nbsp; •Series 2018-H13 Class FC <br> 4.08% (1 mo. USD Term <br> SOFR + 0.41%) 7/20/68<br>| 31051 | 31008 |
| &nbsp;&nbsp;&nbsp; •Series 2019-H13 Class FT <br> 3.95% (1 yr. CMT + 0.45%) <br> 8/20/69<br>| 7676 | 7691 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-123 Class IL <br> 2.50% 8/20/50<br>| 53258 | 7708 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-123 Class NI <br> 2.50% 8/20/50<br>| 244386 | 35955 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-127 Class IN <br> 2.50% 8/20/50<br>| 118744 | 17912 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-129 Class IE <br> 2.50% 9/20/50<br>| 59932 | 8949 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-160 Class IH <br> 2.50% 10/20/50<br>| 64623 | 9471 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-160 Class VI <br> 2.50% 10/20/50<br>| 62819 | 9576 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-173 Class MI <br> 2.50% 11/20/50<br>| 1429076 | 209261 |

---

*LVIP Franklin Templeton Core Bond Fund–3*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association REMICS (continued)  | Government National Mortgage Association REMICS (continued)  | Government National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; \*Series 2020-181 Class WI <br> 2.00% 12/20/50<br>| 701368 | $83391 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-47 Class MI <br> 3.50% 4/20/50<br>| 190306 | 36985 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-47 Class NI <br> 3.50% 4/20/50<br>| 54487 | 10730 |
| &nbsp;&nbsp;&nbsp; •Series 2020-H13 Class FA <br> 4.23% (1 mo. USD Term <br> SOFR + 0.56%) 7/20/70<br>| 61133 | 60965 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-138 Class IK <br> 3.00% 7/20/51<br>| 755162 | 109001 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-191 Class NI <br> 3.00% 10/20/51<br>| 159004 | 29180 |
| &nbsp;&nbsp;&nbsp; Series 2021-223 Class P <br> 2.00% 6/20/51<br>| 279009 | 247648 |
| &nbsp;&nbsp;&nbsp; Series 2022-139 Class AL <br> 4.00% 7/20/51<br>| 500000 | 455146 |
| &nbsp;&nbsp;&nbsp; Series 2022-189 Class PT <br> 2.50% 10/20/51<br>| 235330 | 198680 |
| &nbsp;&nbsp;&nbsp; Series 2022-24 Class AH <br> 2.50% 2/20/52<br>| 136360 | 116819 |
| &nbsp;&nbsp;&nbsp; \*Series 2022-81 Class CI <br> 3.00% 9/20/50<br>| 639864 | 91760 |
| &nbsp;&nbsp;&nbsp; Series 2022-9 Class GA <br> 2.00% 1/20/52<br>| 268202 | 221319 |
| &nbsp;&nbsp;&nbsp; Series 2022-99 Class JW <br> 2.50% 1/20/52<br>| 100000 | 84148 |
| &nbsp;&nbsp;&nbsp; \*Series 2023-130 IO 4.00% <br> 8/20/47<br>| 1278020 | 220851 |
| &nbsp;&nbsp;&nbsp; \*•Series 2024-151 Class KS <br> 2.38% (6.05% minus 30 day <br> USD SOFR Average) <br> 9/20/54<br>| 822737 | 71192 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-108 Class SC <br> 2.21% (5.88% minus 30 day <br> USD SOFR Average) <br> 6/20/55<br>| 3583675 | 298705 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-114 Class WS <br> 1.48% (5.15% minus 30 day <br> USD SOFR Average) <br> 7/20/55<br>| 1896246 | 77299 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-141 Class SE <br> 2.18% (5.85% minus 30 day <br> USD SOFR Average) <br> 8/20/55<br>| 2135407 | 176806 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-55 Class SD <br> 2.28% (5.95% minus 30 day <br> USD SOFR Average) <br> 3/20/55<br>| 3658480 | 302454 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-95 Class SB <br> 2.13% (5.80% minus 30 day <br> USD SOFR Average) <br> 5/20/55<br>| 2033602 | 152123 |
| **Total Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $271,649,288)** | **Total Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $271,649,288)** | **271028378** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–0.69%** | **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–0.69%** | **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–0.69%** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates |
| &nbsp;&nbsp;&nbsp; \*♦•Series K058 Class X1 0.89% <br> 8/25/26<br>| 5809492 | $8772 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K094 Class X1 0.87% <br> 6/25/29<br>| 674929 | 15991 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K094 Class XAM <br> 1.15% 6/25/29<br>| 1150000 | 38812 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K095 Class XAM <br> 1.23% 6/25/29<br>| 300000 | 11357 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K101 Class X1 0.83% <br> 10/25/29<br>| 288220 | 7095 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K104 Class XAM <br> 1.38% 1/25/30<br>| 600000 | 27740 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K105 Class X1 1.51% <br> 1/25/30<br>| 1650680 | 78780 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K110 Class X1 1.64% <br> 4/25/30<br>| 1752948 | 94287 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K115 Class X1 1.31% <br> 6/25/30<br>| 683954 | 31744 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K116 Class X1 1.41% <br> 7/25/30<br>| 1257204 | 60615 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K124 Class X1 0.71% <br> 12/25/30<br>| 690450 | 19191 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K128 Class X1 0.51% <br> 3/25/31<br>| 1966119 | 40280 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K130 Class X1 1.03% <br> 6/25/31<br>| 2876456 | 125680 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K131 Class X1 0.72% <br> 7/25/31<br>| 2382115 | 77054 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K133 Class X1 0.34% <br> 9/25/31<br>| 3759819 | 62292 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K142 Class X1 0.30% <br> 3/25/32<br>| 1594282 | 25308 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K143 Class X1 0.34% <br> 4/25/55<br>| 1689424 | 31926 |
| &nbsp;&nbsp;&nbsp; ♦Series K144 Class A2 2.45% <br> 4/25/32<br>| 21463000 | 19229449 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K145 Class X1 0.32% <br> 5/25/32<br>| 1889702 | 34069 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K147 Class X1 0.37% <br> 6/25/32<br>| 2648325 | 57581 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K148 Class X1 0.25% <br> 7/25/32<br>| 5785438 | 90589 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K149 Class X1 0.27% <br> 8/25/32<br>| 2681432 | 45584 |
| &nbsp;&nbsp;&nbsp; ♦•Series K-150 Class A2 3.71% <br> 9/25/32<br>| 10595000 | 10175471 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-151 Class X1 0.18% <br> 10/25/32<br>| 4785709 | 61648 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-1511 Class X1 0.77% <br> 3/25/34<br>| 577788 | 23878 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-1520 Class X1 0.47% <br> 2/25/36<br>| 1183600 | 38960 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-157 Class X1 0.25% <br> 5/25/33<br>| 2198726 | 40654 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K737 Class X1 0.60% <br> 10/25/26<br>| 1683130 | 2668 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K741 Class X1 0.54% <br> 12/25/27<br>| 649931 | 4985 |

---

*LVIP Franklin Templeton Core Bond Fund–4*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) |
| &nbsp;&nbsp;&nbsp; \*♦•Series K742 Class X1 0.63% <br> 3/25/28<br>| 1109392 | $9674 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K743 Class X1 0.90% <br> 5/25/28<br>| 974563 | 15870 |
| &nbsp;&nbsp;&nbsp; ♦Series K753 Class A2 4.40% <br> 10/25/30<br>| 7284000 | 7326149 |
| &nbsp;&nbsp;&nbsp; \*♦•Series KC05 Class X1 1.18% <br> 6/25/27<br>| 248611 | 1856 |
| Federal National Mortgage Association-ACES | Federal National Mortgage Association-ACES | Federal National Mortgage Association-ACES |
| &nbsp;&nbsp;&nbsp; Series 2016-M11 Class AL <br> 2.94% 7/25/39<br>| 23271 | 22128 |
| &nbsp;&nbsp;&nbsp; Series 2018-M15 Class 1A2 <br> 3.70% 1/25/36<br>| 300000 | 286521 |
| &nbsp;&nbsp; •FREMF Mortgage Trust Series <br> 2017-K71 Class B 3.75% <br> 11/25/50<br>| 2731000 | 2685495 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp;&nbsp; •Series 2013-107 Class AD <br> 2.78% 11/16/47<br>| 86653 | 80113 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-50 IO 0.07% <br> 10/16/48<br>| 888007 | 2214 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-74 IO 0.45% <br> 12/16/53<br>| 497736 | 4690 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-145 IO 0.48% <br> 4/16/57<br>| 261877 | 6308 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-157 IO 0.52% <br> 12/16/59<br>| 187857 | 5293 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-8 IO 0.44% <br> 8/16/58<br>| 268779 | 5138 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-109 Class AI <br> 0.84% 5/16/60<br>| 478677 | 26260 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-184 IO 0.91% <br> 11/16/60<br>| 614559 | 41294 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-68 IO 1.61% <br> 5/16/60<br>| 2439811 | 241155 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-11 Class IX <br> 1.16% 12/16/62<br>| 2966933 | 232298 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-110 IO 0.88% <br> 11/16/63<br>| 1080789 | 66503 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-133 IO 0.88% <br> 7/16/63<br>| 1175530 | 79867 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-37 IO 0.80% <br> 1/16/61<br>| 619827 | 34923 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-60 IO 0.83% <br> 5/16/63<br>| 514066 | 27781 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-63 IO 0.82% <br> 4/16/61<br>| 3296442 | 194588 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-68 IO 0.88% <br> 10/16/62<br>| 586719 | 33437 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-94 IO 0.83% <br> 2/16/63<br>| 3155527 | 187522 |
| &nbsp;&nbsp;&nbsp; •Series 2022-196 Class BE <br> 3.00% 10/16/64<br>| 300000 | 212038 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-210 IO 0.70% <br> 7/16/64<br>| 373757 | 22356 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-216 IO 0.75% <br> 7/16/65<br>| 387955 | 20542 |
| &nbsp;&nbsp;&nbsp; •Series 2022-220 Class E <br> 3.00% 10/16/64<br>| 200000 | 142882 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-3 IO 0.64% <br> 2/16/61<br>| 1473127 | $68479 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-59 IO 0.57% <br> 2/16/62<br>| 742546 | 29412 |
| &nbsp;&nbsp;&nbsp; Series 2023-92 Class AH <br> 2.00% 6/16/64<br>| 1276361 | 995238 |
| &nbsp;&nbsp;&nbsp; \*•Series 2023-92 Class IA <br> 0.61% 6/16/64<br>| 1374543 | 72171 |
| &nbsp;&nbsp; \*•Government National <br> Mortgage Association <br> REMICS Series 2021-108 IO <br> 0.97% 6/16/61<br>| 3109475 | 210934 |
| **Total Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $44,152,782)** | **Total Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $44,152,782)** | **43953589** |
| **AGENCY MORTGAGE-BACKED SECURITIES–35.05%** | **AGENCY MORTGAGE-BACKED SECURITIES–35.05%** | **AGENCY MORTGAGE-BACKED SECURITIES–35.05%** |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; 1.50% 11/1/40 | 602830 | 513286 |
| &nbsp;&nbsp; 1.50% 5/1/41 | 673978 | 571512 |
| &nbsp;&nbsp; 1.50% 7/1/41 | 480795 | 406758 |
| &nbsp;&nbsp; 1.50% 10/1/41 | 675003 | 568891 |
| &nbsp;&nbsp; 1.50% 11/1/41 | 71393 | 60117 |
| &nbsp;&nbsp; 2.00% 9/1/40 | 98763 | 87163 |
| &nbsp;&nbsp; 2.00% 10/1/40 | 277783 | 243964 |
| &nbsp;&nbsp; 2.00% 3/1/41 | 492953 | 434952 |
| &nbsp;&nbsp; 2.00% 6/1/41 | 65008 | 56804 |
| &nbsp;&nbsp; 2.00% 7/1/41 | 254094 | 222001 |
| &nbsp;&nbsp; 2.00% 8/1/41 | 201422 | 175671 |
| &nbsp;&nbsp; 2.00% 9/1/41 | 733177 | 639013 |
| &nbsp;&nbsp; 2.00% 10/1/41 | 340707 | 296468 |
| &nbsp;&nbsp; 2.00% 11/1/41 | 194902 | 169582 |
| &nbsp;&nbsp; 2.00% 12/1/41 | 497753 | 432575 |
| &nbsp;&nbsp; 2.00% 1/1/42 | 1115028 | 969211 |
| &nbsp;&nbsp; 2.00% 2/1/42 | 432510 | 375282 |
| &nbsp;&nbsp; 2.00% 4/1/42 | 760635 | 663664 |
| &nbsp;&nbsp; 2.00% 7/1/50 | 448532 | 365674 |
| &nbsp;&nbsp; 2.00% 11/1/50 | 190786 | 157318 |
| &nbsp;&nbsp; 2.00% 12/1/50 | 5123473 | 4169544 |
| &nbsp;&nbsp; 2.00% 2/1/51 | 778855 | 640426 |
| &nbsp;&nbsp; 2.00% 3/1/51 | 371353 | 304972 |
| &nbsp;&nbsp; 2.00% 4/1/51 | 115936 | 95478 |
| &nbsp;&nbsp; 2.00% 5/1/51 | 1853622 | 1513391 |
| &nbsp;&nbsp; 2.00% 6/1/51 | 214183 | 175674 |
| &nbsp;&nbsp; 2.00% 11/1/51 | 75845 | 61924 |
| &nbsp;&nbsp; 2.00% 3/1/52 | 13519625 | 10951448 |
| &nbsp;&nbsp; 2.50% 3/1/42 | 142504 | 128049 |
| &nbsp;&nbsp; 2.50% 4/1/42 | 72942 | 65499 |
| &nbsp;&nbsp; 2.50% 9/1/42 | 19166830 | 17213861 |
| &nbsp;&nbsp; 2.50% 7/1/50 | 1902552 | 1630435 |
| &nbsp;&nbsp; 2.50% 10/1/50 | 275801 | 237368 |
| &nbsp;&nbsp; 2.50% 11/1/50 | 808132 | 694544 |
| &nbsp;&nbsp; 2.50% 12/1/50 | 871869 | 749358 |
| &nbsp;&nbsp; 2.50% 2/1/51 | 290316 | 250051 |
| &nbsp;&nbsp; 2.50% 3/1/51 | 2545736 | 2186480 |
| &nbsp;&nbsp; 2.50% 5/1/51 | 3231646 | 2773141 |
| &nbsp;&nbsp; 2.50% 7/1/51 | 63645 | 54844 |
| &nbsp;&nbsp; 2.50% 8/1/51 | 695093 | 597215 |
| &nbsp;&nbsp; 2.50% 9/1/51 | 72554 | 62273 |
| &nbsp;&nbsp; 2.50% 11/1/51 | 14869734 | 12791638 |
| &nbsp;&nbsp; 2.50% 12/1/51 | 18165885 | 15641230 |

---

*LVIP Franklin Templeton Core Bond Fund–5*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp; 2.50% 1/1/52 | 2419271 | $2077742 |
| &nbsp;&nbsp; 2.50% 2/1/52 | 296848 | 254919 |
| &nbsp;&nbsp; 2.50% 4/1/52 | 1818797 | 1563455 |
| &nbsp;&nbsp; 3.00% 9/1/32 | 21687 | 21079 |
| &nbsp;&nbsp; 3.00% 10/1/32 | 11483 | 11148 |
| &nbsp;&nbsp; 3.00% 10/1/33 | 8514 | 8217 |
| &nbsp;&nbsp; 3.00% 7/1/42 | 149213 | 138134 |
| &nbsp;&nbsp; 3.00% 9/1/42 | 225664 | 209082 |
| &nbsp;&nbsp; 3.00% 1/1/47 | 43123319 | 38697085 |
| &nbsp;&nbsp; 3.00% 8/1/48 | 3543267 | 3201802 |
| &nbsp;&nbsp; 3.00% 9/1/49 | 73860 | 66464 |
| &nbsp;&nbsp; 3.00% 11/1/49 | 73176 | 65572 |
| &nbsp;&nbsp; 3.00% 6/1/50 | 283663 | 249528 |
| &nbsp;&nbsp; 3.00% 7/1/50 | 2938178 | 2646657 |
| &nbsp;&nbsp; 3.00% 6/1/51 | 118540 | 106164 |
| &nbsp;&nbsp; 3.00% 8/1/51 | 4976638 | 4433622 |
| &nbsp;&nbsp; 3.00% 10/1/51 | 72995 | 65227 |
| &nbsp;&nbsp; 3.00% 11/1/51 | 37244 | 32911 |
| &nbsp;&nbsp; 3.00% 1/1/52 | 2587894 | 2313517 |
| &nbsp;&nbsp; 3.00% 2/1/52 | 79611 | 70599 |
| &nbsp;&nbsp; 3.00% 3/1/52 | 147815 | 130881 |
| &nbsp;&nbsp; 3.00% 4/1/52 | 293387 | 260023 |
| &nbsp;&nbsp; 3.00% 8/1/52 | 16167286 | 14403303 |
| &nbsp;&nbsp;&nbsp; •3.01% (1 yr. USD RFUCCT + <br> 1.63%) 11/1/48<br>| 543211 | 542606 |
| &nbsp;&nbsp;&nbsp; •3.42% (1 yr. USD RFUCCT + <br> 1.62%) 2/1/50<br>| 293173 | 299051 |
| &nbsp;&nbsp; 3.50% 1/1/38 | 96874 | 93150 |
| &nbsp;&nbsp; 3.50% 2/1/47 | 7440583 | 6998078 |
| &nbsp;&nbsp; 3.50% 7/1/47 | 45456883 | 42476967 |
| &nbsp;&nbsp; 3.50% 11/1/48 | 6814230 | 6389924 |
| &nbsp;&nbsp; 3.50% 2/1/49 | 29310242 | 26987618 |
| &nbsp;&nbsp; 3.50% 12/1/50 | 227184 | 211420 |
| &nbsp;&nbsp; 3.50% 1/1/52 | 64653 | 59720 |
| &nbsp;&nbsp; 4.00% 10/1/47 | 5324011 | 5082986 |
| &nbsp;&nbsp; 4.00% 7/1/49 | 883445 | 845976 |
| &nbsp;&nbsp; 4.00% 9/1/49 | 5001096 | 4789791 |
| &nbsp;&nbsp; 4.00% 7/1/50 | 82031 | 78998 |
| &nbsp;&nbsp; 4.00% 4/1/52 | 563289 | 535640 |
| &nbsp;&nbsp; 4.00% 9/1/52 | 12480907 | 11817962 |
| &nbsp;&nbsp; 4.00% 2/1/53 | 370445 | 353040 |
| &nbsp;&nbsp; 4.50% 10/1/35 | 24687 | 24463 |
| &nbsp;&nbsp; 4.50% 5/1/38 | 1590106 | 1583074 |
| &nbsp;&nbsp; 4.50% 3/1/47 | 68520 | 67727 |
| &nbsp;&nbsp; 4.50% 1/1/49 | 3342474 | 3281022 |
| &nbsp;&nbsp; 4.50% 3/1/49 | 1629667 | 1599718 |
| &nbsp;&nbsp; 4.50% 8/1/49 | 5068435 | 4981514 |
| &nbsp;&nbsp; 4.50% 1/1/51 | 129440 | 126236 |
| &nbsp;&nbsp; 4.50% 7/1/52 | 217763 | 211634 |
| &nbsp;&nbsp; 4.50% 10/1/52 | 17344312 | 16811095 |
| &nbsp;&nbsp; 4.50% 11/1/52 | 476730 | 463372 |
| &nbsp;&nbsp; 4.50% 12/1/52 | 146525 | 142156 |
| &nbsp;&nbsp; 5.00% 10/1/48 | 2009459 | 2013951 |
| &nbsp;&nbsp; 5.00% 7/1/52 | 11090224 | 11062071 |
| &nbsp;&nbsp; 5.00% 9/1/52 | 22872554 | 22833388 |
| &nbsp;&nbsp; 5.00% 11/1/52 | 297698 | 295349 |
| &nbsp;&nbsp; 5.00% 12/1/52 | 73156 | 72385 |
| &nbsp;&nbsp; 5.00% 1/1/53 | 224713 | 222962 |
| &nbsp;&nbsp; 5.00% 3/1/53 | 226594 | 225991 |
| &nbsp;&nbsp; 5.00% 4/1/53 | 615181 | 613298 |
| &nbsp;&nbsp; 5.00% 2/1/55 | 3010091 | 2992118 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp;&nbsp; •5.19% (1 yr. USD RFUCCT + <br> 1.62%) 11/1/47<br>| 160251 | $165058 |
| &nbsp;&nbsp; 5.50% 9/1/41 | 5574169 | 5759409 |
| &nbsp;&nbsp; 5.50% 9/1/52 | 11006990 | 11224915 |
| &nbsp;&nbsp; 5.50% 11/1/52 | 2235295 | 2277432 |
| &nbsp;&nbsp; 5.50% 12/1/52 | 73692 | 74691 |
| &nbsp;&nbsp; 5.50% 1/1/53 | 68072 | 69095 |
| &nbsp;&nbsp; 5.50% 3/1/53 | 19985456 | 20340224 |
| &nbsp;&nbsp; 5.50% 4/1/53 | 134651 | 136085 |
| &nbsp;&nbsp; 5.50% 5/1/53 | 289647 | 294790 |
| &nbsp;&nbsp; 5.50% 6/1/53 | 234758 | 238286 |
| &nbsp;&nbsp; 5.50% 7/1/53 | 145257 | 146785 |
| &nbsp;&nbsp; 5.50% 8/1/53 | 387366 | 392193 |
| &nbsp;&nbsp; 5.50% 9/1/53 | 22025498 | 22343954 |
| &nbsp;&nbsp; 5.50% 2/1/54 | 18348087 | 18664243 |
| &nbsp;&nbsp; 5.50% 4/1/54 | 2509615 | 2554238 |
| &nbsp;&nbsp; 6.00% 12/1/52 | 303296 | 310459 |
| &nbsp;&nbsp; 6.00% 8/1/53 | 3081238 | 3159350 |
| &nbsp;&nbsp; 6.00% 10/1/53 | 1315290 | 1361387 |
| &nbsp;&nbsp; 6.00% 4/1/54 | 155509 | 159301 |
| &nbsp;&nbsp; 6.50% 1/1/53 | 104029 | 108221 |
| &nbsp;&nbsp; 6.50% 2/1/53 | 170565 | 177286 |
| &nbsp;&nbsp; 6.50% 4/1/53 | 112317 | 117093 |
| &nbsp;&nbsp; 6.50% 5/1/53 | 246918 | 259127 |
| &nbsp;&nbsp; 6.50% 11/1/53 | 563974 | 589330 |
| &nbsp;&nbsp; 6.50% 2/1/54 | 178847 | 185634 |
| &nbsp;&nbsp; 6.50% 4/1/54 | 147543 | 153180 |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp; 1.50% 11/1/41 | 425158 | 358371 |
| &nbsp;&nbsp; 1.50% 2/1/42 | 340532 | 289562 |
| &nbsp;&nbsp; 2.00% 8/1/36 | 24287582 | 22367538 |
| &nbsp;&nbsp; 2.00% 10/1/40 | 1390846 | 1224158 |
| &nbsp;&nbsp; 2.00% 6/1/41 | 65741 | 57453 |
| &nbsp;&nbsp; 2.00% 9/1/41 | 265279 | 231188 |
| &nbsp;&nbsp; 2.00% 10/1/41 | 204142 | 178416 |
| &nbsp;&nbsp; 2.00% 11/1/41 | 204120 | 177514 |
| &nbsp;&nbsp; 2.00% 12/1/41 | 629015 | 547244 |
| &nbsp;&nbsp; 2.00% 1/1/42 | 841350 | 734675 |
| &nbsp;&nbsp; 2.00% 2/1/42 | 633809 | 549765 |
| &nbsp;&nbsp; 2.00% 3/1/42 | 71462 | 61934 |
| &nbsp;&nbsp; 2.00% 4/1/42 | 147976 | 128289 |
| &nbsp;&nbsp; 2.00% 5/1/42 | 165803 | 143705 |
| &nbsp;&nbsp; 2.00% 8/1/42 | 847893 | 739837 |
| &nbsp;&nbsp; 2.00% 6/1/50 | 21326894 | 17387123 |
| &nbsp;&nbsp; 2.00% 8/1/50 | 50959 | 41940 |
| &nbsp;&nbsp; 2.00% 9/1/50 | 497182 | 405518 |
| &nbsp;&nbsp; 2.00% 10/1/50 | 303414 | 247412 |
| &nbsp;&nbsp; 2.00% 11/1/50 | 13521246 | 11107776 |
| &nbsp;&nbsp; 2.00% 1/1/51 | 4148790 | 3420965 |
| &nbsp;&nbsp; 2.00% 2/1/51 | 11847202 | 9743763 |
| &nbsp;&nbsp; 2.00% 3/1/51 | 2327595 | 1898337 |
| &nbsp;&nbsp; 2.00% 4/1/51 | 16147494 | 13112823 |
| &nbsp;&nbsp; 2.00% 5/1/51 | 640647 | 520165 |
| &nbsp;&nbsp; 2.00% 8/1/51 | 6154827 | 5045275 |
| &nbsp;&nbsp; 2.00% 9/1/51 | 39497841 | 32030523 |
| &nbsp;&nbsp; 2.00% 10/1/51 | 1457597 | 1186225 |
| &nbsp;&nbsp; 2.00% 11/1/51 | 143922 | 117725 |
| &nbsp;&nbsp; 2.00% 1/1/52 | 15666538 | 12872378 |
| &nbsp;&nbsp; 2.00% 2/1/52 | 147748 | 121391 |
| &nbsp;&nbsp; 2.00% 3/1/52 | 402449 | 329397 |
| &nbsp;&nbsp; 2.50% 9/1/36 | 71390 | 66505 |
| &nbsp;&nbsp; 2.50% 3/1/38 | 201677 | 187955 |

---

*LVIP Franklin Templeton Core Bond Fund–6*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 2.50% 11/1/40 | 140687 | $127527 |
| &nbsp;&nbsp; 2.50% 3/1/41 | 118160 | 106965 |
| &nbsp;&nbsp; 2.50% 4/1/41 | 122293 | 110654 |
| &nbsp;&nbsp; 2.50% 5/1/41 | 262940 | 237432 |
| &nbsp;&nbsp; 2.50% 11/1/41 | 338958 | 305185 |
| &nbsp;&nbsp; 2.50% 2/1/42 | 195566 | 175931 |
| &nbsp;&nbsp; 2.50% 3/1/42 | 208782 | 187616 |
| &nbsp;&nbsp; 2.50% 4/1/42 | 214540 | 192637 |
| &nbsp;&nbsp; 2.50% 5/1/42 | 73438 | 65959 |
| &nbsp;&nbsp; 2.50% 9/1/42 | 77427 | 69736 |
| &nbsp;&nbsp; 2.50% 6/1/50 | 49324 | 42220 |
| &nbsp;&nbsp; 2.50% 8/1/50 | 20102601 | 17279806 |
| &nbsp;&nbsp; 2.50% 10/1/50 | 464467 | 398543 |
| &nbsp;&nbsp; 2.50% 11/1/50 | 129951 | 111485 |
| &nbsp;&nbsp; 2.50% 12/1/50 | 57874 | 49706 |
| &nbsp;&nbsp; 2.50% 1/1/51 | 35660363 | 30787202 |
| &nbsp;&nbsp; 2.50% 2/1/51 | 92534 | 79499 |
| &nbsp;&nbsp; 2.50% 3/1/51 | 59886 | 51541 |
| &nbsp;&nbsp; 2.50% 5/1/51 | 172006 | 147999 |
| &nbsp;&nbsp; 2.50% 6/1/51 | 6157883 | 5306253 |
| &nbsp;&nbsp; 2.50% 7/1/51 | 1202801 | 1033380 |
| &nbsp;&nbsp; 2.50% 8/1/51 | 29578252 | 25403567 |
| &nbsp;&nbsp; 2.50% 9/1/51 | 199284 | 171342 |
| &nbsp;&nbsp; 2.50% 10/1/51 | 548215 | 470576 |
| &nbsp;&nbsp; 2.50% 11/1/51 | 62404 | 53582 |
| &nbsp;&nbsp; 2.50% 12/1/51 | 558569 | 477001 |
| &nbsp;&nbsp; 2.50% 1/1/52 | 2187870 | 1860367 |
| &nbsp;&nbsp; 2.50% 2/1/52 | 55263386 | 46577095 |
| &nbsp;&nbsp; 2.50% 3/1/52 | 218408 | 187324 |
| &nbsp;&nbsp; 2.50% 5/1/52 | 1868965 | 1595609 |
| &nbsp;&nbsp; 2.50% 7/1/53 | 6308673 | 5349579 |
| &nbsp;&nbsp; 2.50% 9/1/61 | 281266 | 231280 |
| &nbsp;&nbsp; 2.95% 7/1/27 | 335053 | 330212 |
| &nbsp;&nbsp; 3.00% 11/1/33 | 6291761 | 6107756 |
| &nbsp;&nbsp; 3.00% 7/1/35 | 48066 | 45651 |
| &nbsp;&nbsp; 3.00% 2/1/36 | 122568 | 116668 |
| &nbsp;&nbsp; 3.00% 4/1/36 | 87453 | 83281 |
| &nbsp;&nbsp; 3.00% 7/1/36 | 203378 | 193247 |
| &nbsp;&nbsp; 3.00% 8/1/36 | 336544 | 319459 |
| &nbsp;&nbsp; 3.00% 10/1/36 | 230953 | 219025 |
| &nbsp;&nbsp; 3.00% 4/1/38 | 71961 | 69450 |
| &nbsp;&nbsp; 3.00% 6/1/38 | 103000 | 97923 |
| &nbsp;&nbsp; 3.00% 9/1/40 | 33083 | 30734 |
| &nbsp;&nbsp; 3.00% 1/1/41 | 52567 | 49790 |
| &nbsp;&nbsp; 3.00% 3/1/42 | 64286 | 59042 |
| &nbsp;&nbsp; 3.00% 5/1/42 | 150761 | 139072 |
| &nbsp;&nbsp; 3.00% 6/1/42 | 224188 | 206412 |
| &nbsp;&nbsp; 3.00% 6/1/43 | 14658 | 13368 |
| &nbsp;&nbsp; 3.00% 7/1/43 | 47074 | 42929 |
| &nbsp;&nbsp; 3.00% 10/1/43 | 38706 | 35292 |
| &nbsp;&nbsp; 3.00% 1/1/45 | 65517 | 59823 |
| &nbsp;&nbsp; 3.00% 6/1/45 | 341661 | 310684 |
| &nbsp;&nbsp; 3.00% 8/1/46 | 832751 | 753232 |
| &nbsp;&nbsp; 3.00% 10/1/46 | 150657 | 136138 |
| &nbsp;&nbsp; 3.00% 12/1/46 | 85967 | 77806 |
| &nbsp;&nbsp; 3.00% 1/1/47 | 1201148 | 1092145 |
| &nbsp;&nbsp; 3.00% 2/1/47 | 476902 | 434370 |
| &nbsp;&nbsp; 3.00% 12/1/47 | 1855824 | 1671545 |
| &nbsp;&nbsp; 3.00% 2/1/48 | 16149206 | 14616775 |
| &nbsp;&nbsp; 3.00% 3/1/48 | 13096566 | 11786074 |
| &nbsp;&nbsp; 3.00% 11/1/48 | 67223 | 61307 |
| &nbsp;&nbsp; 3.00% 12/1/49 | 14179236 | 12704357 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 3.00% 4/1/50 | 292637 | $262281 |
| &nbsp;&nbsp; 3.00% 10/1/50 | 122124 | 108612 |
| &nbsp;&nbsp; 3.00% 11/1/50 | 290831 | 258081 |
| &nbsp;&nbsp; 3.00% 5/1/51 | 2489701 | 2228997 |
| &nbsp;&nbsp; 3.00% 6/1/51 | 57604 | 51772 |
| &nbsp;&nbsp; 3.00% 8/1/51 | 292521 | 262908 |
| &nbsp;&nbsp; 3.00% 10/1/51 | 61899 | 55613 |
| &nbsp;&nbsp; 3.00% 11/1/51 | 1792778 | 1603145 |
| &nbsp;&nbsp; 3.00% 12/1/51 | 132319 | 117995 |
| &nbsp;&nbsp; 3.00% 1/1/52 | 1392162 | 1235374 |
| &nbsp;&nbsp; 3.00% 2/1/52 | 138864 | 123753 |
| &nbsp;&nbsp; 3.00% 3/1/52 | 1313130 | 1174677 |
| &nbsp;&nbsp; 3.00% 4/1/52 | 292167 | 259617 |
| &nbsp;&nbsp; 3.00% 5/1/52 | 393964 | 346820 |
| &nbsp;&nbsp; 3.50% 4/1/32 | 207797 | 203584 |
| &nbsp;&nbsp; 3.50% 2/1/37 | 29445 | 28428 |
| &nbsp;&nbsp; 3.50% 12/1/37 | 27350 | 26088 |
| &nbsp;&nbsp; 3.50% 8/1/39 | 34411 | 33155 |
| &nbsp;&nbsp; 3.50% 2/1/40 | 100390 | 95847 |
| &nbsp;&nbsp; 3.50% 12/1/42 | 22649 | 21353 |
| &nbsp;&nbsp; 3.50% 3/1/43 | 164438 | 155144 |
| &nbsp;&nbsp; 3.50% 11/1/44 | 1483806 | 1397115 |
| &nbsp;&nbsp; 3.50% 12/1/46 | 192484 | 181467 |
| &nbsp;&nbsp; 3.50% 12/1/47 | 426692 | 395857 |
| &nbsp;&nbsp; 3.50% 11/1/48 | 658854 | 616982 |
| &nbsp;&nbsp; 3.50% 8/1/50 | 22793093 | 21174342 |
| &nbsp;&nbsp; 3.50% 12/1/51 | 66127 | 61741 |
| &nbsp;&nbsp; 3.50% 1/1/52 | 136647 | 127190 |
| &nbsp;&nbsp; 3.50% 3/1/52 | 69414 | 64139 |
| &nbsp;&nbsp; 3.50% 4/1/52 | 276033 | 255055 |
| &nbsp;&nbsp; 3.50% 5/1/52 | 12419201 | 11521985 |
| &nbsp;&nbsp; 4.00% 9/1/42 | 19826942 | 19350585 |
| &nbsp;&nbsp; 4.00% 11/1/42 | 123366 | 119116 |
| &nbsp;&nbsp; 4.00% 4/1/44 | 254511 | 245469 |
| &nbsp;&nbsp; 4.00% 10/1/44 | 1469010 | 1415340 |
| &nbsp;&nbsp; 4.00% 12/1/44 | 71997 | 69403 |
| &nbsp;&nbsp; 4.00% 5/1/47 | 193931 | 185536 |
| &nbsp;&nbsp; 4.00% 10/1/48 | 3455589 | 3324834 |
| &nbsp;&nbsp; 4.00% 1/1/49 | 135510 | 129192 |
| &nbsp;&nbsp; 4.00% 4/1/52 | 430905 | 409754 |
| &nbsp;&nbsp; 4.00% 7/1/52 | 447923 | 424774 |
| &nbsp;&nbsp; 4.00% 6/1/57 | 197556 | 186876 |
| &nbsp;&nbsp; 4.27% 10/1/32 | 94777 | 94204 |
| &nbsp;&nbsp; 4.50% 6/1/39 | 99891 | 98859 |
| &nbsp;&nbsp; 4.50% 10/1/43 | 128223 | 126898 |
| &nbsp;&nbsp; 4.50% 3/1/46 | 177254 | 174873 |
| &nbsp;&nbsp; 4.50% 6/1/48 | 59125 | 58359 |
| &nbsp;&nbsp; 4.50% 7/1/48 | 86536 | 85028 |
| &nbsp;&nbsp; 4.50% 8/1/48 | 139949 | 137592 |
| &nbsp;&nbsp; 4.50% 11/1/48 | 77722 | 76414 |
| &nbsp;&nbsp; 4.50% 7/1/49 | 45674 | 44501 |
| &nbsp;&nbsp; 4.50% 9/1/49 | 422563 | 415583 |
| &nbsp;&nbsp; 4.50% 1/1/50 | 3059597 | 2999322 |
| &nbsp;&nbsp; 4.50% 3/1/50 | 70860 | 69908 |
| &nbsp;&nbsp; 4.50% 4/1/50 | 11438080 | 11242002 |
| &nbsp;&nbsp; 4.50% 5/1/50 | 88305 | 86119 |
| &nbsp;&nbsp; 4.50% 9/1/51 | 54645 | 53366 |
| &nbsp;&nbsp; 4.50% 8/1/52 | 604533 | 585763 |
| &nbsp;&nbsp; 4.50% 9/1/52 | 222121 | 216193 |
| &nbsp;&nbsp; 4.50% 11/1/52 | 163186 | 158777 |
| &nbsp;&nbsp; 4.50% 1/1/53 | 142421 | 138174 |
| &nbsp;&nbsp; 4.50% 8/1/58 | 245951 | 237476 |

---

*LVIP Franklin Templeton Core Bond Fund–7*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 4.50% 1/1/59 | 34190 | $32917 |
| &nbsp;&nbsp; 5.00% 7/1/47 | 13993856 | 14142111 |
| &nbsp;&nbsp; 5.00% 9/1/48 | 144606 | 144245 |
| &nbsp;&nbsp; 5.00% 9/1/49 | 195346 | 196264 |
| &nbsp;&nbsp; 5.00% 1/1/51 | 14077451 | 14115197 |
| &nbsp;&nbsp; 5.00% 6/1/52 | 138453 | 138296 |
| &nbsp;&nbsp; 5.00% 7/1/52 | 341648 | 343049 |
| &nbsp;&nbsp; 5.00% 11/1/52 | 181837 | 180749 |
| &nbsp;&nbsp; 5.00% 1/1/53 | 76017 | 75139 |
| &nbsp;&nbsp; 5.00% 2/1/53 | 144401 | 143137 |
| &nbsp;&nbsp; 5.00% 4/1/53 | 74252 | 73995 |
| &nbsp;&nbsp; 5.00% 8/1/53 | 5762283 | 5752549 |
| &nbsp;&nbsp; 5.50% 6/1/41 | 36620 | 37687 |
| &nbsp;&nbsp; 5.50% 5/1/44 | 6012592 | 6205168 |
| &nbsp;&nbsp; 5.50% 8/1/52 | 8225868 | 8417351 |
| &nbsp;&nbsp; 5.50% 11/1/52 | 7174776 | 7312618 |
| &nbsp;&nbsp; 5.50% 1/1/53 | 273266 | 275674 |
| &nbsp;&nbsp; 5.50% 2/1/53 | 65522 | 66468 |
| &nbsp;&nbsp; 5.50% 4/1/53 | 210856 | 214025 |
| &nbsp;&nbsp; 5.50% 5/1/53 | 307209 | 310897 |
| &nbsp;&nbsp; 5.50% 7/1/53 | 8071973 | 8135299 |
| &nbsp;&nbsp; 5.50% 8/1/53 | 210334 | 212659 |
| &nbsp;&nbsp; 5.50% 9/1/53 | 624296 | 633678 |
| &nbsp;&nbsp; 5.50% 9/1/54 | 1716799 | 1738251 |
| &nbsp;&nbsp; 6.00% 10/1/39 | 67787 | 70763 |
| &nbsp;&nbsp; 6.00% 7/1/41 | 122512 | 128390 |
| &nbsp;&nbsp; 6.00% 1/1/42 | 11228942 | 11767963 |
| &nbsp;&nbsp; 6.00% 1/1/53 | 65102 | 66700 |
| &nbsp;&nbsp; 6.00% 5/1/53 | 210067 | 216124 |
| &nbsp;&nbsp; 6.00% 6/1/53 | 1375850 | 1413815 |
| &nbsp;&nbsp; 6.00% 7/1/53 | 10656218 | 10994752 |
| &nbsp;&nbsp; 6.50% 11/1/52 | 62380 | 65613 |
| &nbsp;&nbsp; 6.50% 1/1/53 | 345910 | 361626 |
| &nbsp;&nbsp; 6.50% 2/1/53 | 53281 | 55290 |
| &nbsp;&nbsp; 6.50% 9/1/53 | 4978498 | 5190192 |
| &nbsp;&nbsp; 6.50% 12/1/53 | 189039 | 196284 |
| &nbsp;&nbsp; 6.50% 1/1/54 | 123793 | 129469 |
| &nbsp;&nbsp; 6.50% 3/1/54 | 120934 | 125569 |
| &nbsp;&nbsp; 6.50% 6/1/54 | 204751 | 211679 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp; 2.00% 8/20/50 | 101397 | 83812 |
| &nbsp;&nbsp; 2.00% 10/20/50 | 1901060 | 1572260 |
| &nbsp;&nbsp; 2.00% 12/20/50 | 1497104 | 1236153 |
| &nbsp;&nbsp; 2.00% 1/20/51 | 1443704 | 1193324 |
| &nbsp;&nbsp; 2.00% 2/20/51 | 1768459 | 1450457 |
| &nbsp;&nbsp; 2.00% 3/20/51 | 568635 | 464214 |
| &nbsp;&nbsp; 2.00% 4/20/51 | 540083 | 436812 |
| &nbsp;&nbsp; 2.50% 10/20/49 | 179140 | 155111 |
| &nbsp;&nbsp; 2.50% 12/20/50 | 178589 | 152316 |
| &nbsp;&nbsp; 2.50% 1/20/51 | 98957 | 85283 |
| &nbsp;&nbsp; 2.50% 2/20/51 | 70727 | 60905 |
| &nbsp;&nbsp; 2.50% 5/20/51 | 470378 | 404807 |
| &nbsp;&nbsp; 2.50% 6/20/51 | 67728 | 58308 |
| &nbsp;&nbsp; 2.50% 7/20/51 | 193757 | 167721 |
| &nbsp;&nbsp; 2.50% 8/20/51 | 130671 | 112495 |
| &nbsp;&nbsp; 2.50% 10/20/51 | 605099 | 520928 |
| &nbsp;&nbsp; 2.50% 11/20/51 | 66763 | 57476 |
| &nbsp;&nbsp; 2.50% 12/20/51 | 559591 | 480874 |
| &nbsp;&nbsp; 3.00% 9/15/42 | 81680 | 74746 |
| &nbsp;&nbsp; 3.00% 10/15/42 | 10881 | 9937 |
| &nbsp;&nbsp; 3.00% 8/15/45 | 2334959 | 2106561 |
| &nbsp;&nbsp; 3.00% 1/20/46 | 11994 | 10878 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 3.00% 8/20/46 | 77784 | $70514 |
| &nbsp;&nbsp; 3.00% 11/20/46 | 42348 | 38388 |
| &nbsp;&nbsp; 3.00% 2/20/47 | 16233 | 14662 |
| &nbsp;&nbsp; 3.00% 9/20/47 | 54148 | 48940 |
| &nbsp;&nbsp; 3.00% 2/20/48 | 3517 | 3179 |
| &nbsp;&nbsp; 3.00% 1/20/50 | 206352 | 182558 |
| &nbsp;&nbsp; 3.00% 3/20/50 | 155680 | 137432 |
| &nbsp;&nbsp; 3.00% 11/20/51 | 200227 | 176733 |
| &nbsp;&nbsp; 3.00% 12/20/51 | 10997323 | 9827577 |
| &nbsp;&nbsp; 3.00% 2/20/52 | 562518 | 498647 |
| &nbsp;&nbsp; 3.00% 3/20/52 | 1107487 | 982253 |
| &nbsp;&nbsp; 3.00% 4/20/52 | 488334 | 434107 |
| &nbsp;&nbsp; 3.50% 4/20/45 | 45116 | 42503 |
| &nbsp;&nbsp; 3.50% 11/20/45 | 50892 | 47683 |
| &nbsp;&nbsp; 3.50% 1/20/46 | 30356 | 28574 |
| &nbsp;&nbsp; 3.50% 3/20/46 | 140903 | 132048 |
| &nbsp;&nbsp; 3.50% 4/20/46 | 86314 | 81248 |
| &nbsp;&nbsp; 3.50% 5/20/46 | 32454 | 30395 |
| &nbsp;&nbsp; 3.50% 6/20/46 | 55751 | 52214 |
| &nbsp;&nbsp; 3.50% 7/20/46 | 33591 | 31408 |
| &nbsp;&nbsp; 3.50% 9/20/46 | 12244 | 11522 |
| &nbsp;&nbsp; 3.50% 9/20/47 | 487846 | 457840 |
| &nbsp;&nbsp; 3.50% 10/20/47 | 77305 | 71572 |
| &nbsp;&nbsp; 3.50% 2/20/48 | 303500 | 281943 |
| &nbsp;&nbsp; 3.50% 9/20/48 | 1330202 | 1245977 |
| &nbsp;&nbsp; 3.50% 10/20/48 | 22337 | 20916 |
| &nbsp;&nbsp; 3.50% 11/20/48 | 275321 | 257791 |
| &nbsp;&nbsp; 3.50% 10/20/49 | 21157 | 19418 |
| &nbsp;&nbsp; 3.50% 2/20/50 | 24740 | 22706 |
| &nbsp;&nbsp; 3.50% 5/15/50 | 59252 | 54556 |
| &nbsp;&nbsp; 3.50% 3/20/52 | 82525 | 74516 |
| &nbsp;&nbsp; 3.50% 6/20/52 | 54588 | 49425 |
| &nbsp;&nbsp; 4.00% 10/20/44 | 6479 | 6221 |
| &nbsp;&nbsp; 4.00% 8/20/46 | 118523 | 113477 |
| &nbsp;&nbsp; 4.00% 2/20/47 | 46233 | 44161 |
| &nbsp;&nbsp; 4.00% 6/20/47 | 284295 | 271806 |
| &nbsp;&nbsp; 4.00% 9/20/47 | 181039 | 172988 |
| &nbsp;&nbsp; 4.00% 11/20/47 | 86539 | 82659 |
| &nbsp;&nbsp; 4.00% 12/20/47 | 43161 | 41218 |
| &nbsp;&nbsp; 4.00% 2/20/48 | 117658 | 110817 |
| &nbsp;&nbsp; 4.00% 3/20/48 | 390561 | 372836 |
| &nbsp;&nbsp; 4.00% 4/20/48 | 23938 | 22843 |
| &nbsp;&nbsp; 4.00% 5/20/48 | 43181 | 41291 |
| &nbsp;&nbsp; 4.00% 8/20/48 | 113242 | 107901 |
| &nbsp;&nbsp; 4.00% 9/20/48 | 28250 | 26938 |
| &nbsp;&nbsp; 4.00% 2/20/49 | 215299 | 204815 |
| &nbsp;&nbsp; 4.00% 3/20/49 | 65995 | 62741 |
| &nbsp;&nbsp; 4.00% 4/20/49 | 54551 | 51844 |
| &nbsp;&nbsp; 4.00% 10/20/49 | 21253 | 20107 |
| &nbsp;&nbsp; 4.00% 11/20/49 | 146650 | 138738 |
| &nbsp;&nbsp; 4.00% 1/20/50 | 26069 | 24180 |
| &nbsp;&nbsp; 4.00% 2/20/50 | 125224 | 118901 |
| &nbsp;&nbsp; 4.00% 4/20/50 | 66186 | 62301 |
| &nbsp;&nbsp; 4.00% 6/20/52 | 147270 | 138801 |
| &nbsp;&nbsp; 4.00% 8/20/52 | 150534 | 142278 |
| &nbsp;&nbsp; 4.00% 10/20/52 | 306291 | 290154 |
| &nbsp;&nbsp; 4.50% 7/20/32 | 2035 | 2016 |
| &nbsp;&nbsp; 4.50% 6/20/34 | 384 | 381 |
| &nbsp;&nbsp; 4.50% 2/20/40 | 1814 | 1798 |
| &nbsp;&nbsp; 4.50% 8/20/45 | 2511 | 2482 |
| &nbsp;&nbsp; 4.50% 8/20/47 | 50704 | 50023 |
| &nbsp;&nbsp; 4.50% 4/20/48 | 81761 | 80553 |

---

*LVIP Franklin Templeton Core Bond Fund–8*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 4.50% 5/20/48 | 7270 | $7140 |
| &nbsp;&nbsp; 4.50% 6/20/48 | 107199 | 105475 |
| &nbsp;&nbsp; 4.50% 8/20/48 | 380139 | 374162 |
| &nbsp;&nbsp; 4.50% 10/20/48 | 74707 | 73531 |
| &nbsp;&nbsp; 4.50% 12/20/48 | 144336 | 142019 |
| &nbsp;&nbsp; 4.50% 1/20/49 | 154450 | 152066 |
| &nbsp;&nbsp; 4.50% 2/20/49 | 134640 | 132354 |
| &nbsp;&nbsp; 4.50% 3/20/49 | 283313 | 278591 |
| &nbsp;&nbsp; 4.50% 2/20/50 | 204916 | 201502 |
| &nbsp;&nbsp; 4.50% 3/20/50 | 26493 | 26036 |
| &nbsp;&nbsp; 4.50% 5/20/50 | 303328 | 297775 |
| &nbsp;&nbsp; 4.50% 11/20/50 | 143275 | 141021 |
| &nbsp;&nbsp; 4.50% 12/20/50 | 27172 | 26683 |
| &nbsp;&nbsp; 4.50% 8/20/52 | 227406 | 220572 |
| &nbsp;&nbsp; 4.50% 9/20/52 | 282380 | 275135 |
| &nbsp;&nbsp; 4.50% 11/20/52 | 75895 | 73884 |
| &nbsp;&nbsp; 5.00% 5/20/48 | 28367 | 28637 |
| &nbsp;&nbsp; 5.00% 6/20/48 | 21526 | 21651 |
| &nbsp;&nbsp; 5.00% 9/20/48 | 36298 | 36629 |
| &nbsp;&nbsp; 5.00% 10/20/48 | 152955 | 154640 |
| &nbsp;&nbsp; 5.00% 11/20/48 | 68559 | 69170 |
| &nbsp;&nbsp; 5.00% 12/20/48 | 99917 | 100704 |
| &nbsp;&nbsp; 5.00% 1/20/49 | 105935 | 106813 |
| &nbsp;&nbsp; 5.00% 4/20/49 | 64529 | 65197 |
| &nbsp;&nbsp; 5.00% 9/20/49 | 59006 | 59567 |
| &nbsp;&nbsp; 5.00% 11/20/49 | 37935 | 38296 |
| &nbsp;&nbsp; 5.00% 1/20/50 | 53816 | 54328 |
| &nbsp;&nbsp; 5.00% 8/20/52 | 1558302 | 1555370 |
| &nbsp;&nbsp; 5.00% 9/20/52 | 5650088 | 5626486 |
| &nbsp;&nbsp; 5.00% 10/20/52 | 214870 | 213808 |
| &nbsp;&nbsp; 5.00% 12/20/52 | 73287 | 72899 |
| &nbsp;&nbsp; 5.00% 1/20/53 | 218933 | 218590 |
| &nbsp;&nbsp; 5.00% 5/20/53 | 976560 | 975029 |
| &nbsp;&nbsp; 5.00% 8/20/53 | 897503 | 896610 |
| &nbsp;&nbsp; 5.50% 10/15/42 | 6908244 | 7181817 |
| &nbsp;&nbsp; 5.50% 11/20/52 | 130372 | 132435 |
| &nbsp;&nbsp; 5.50% 1/20/53 | 490922 | 498771 |
| &nbsp;&nbsp; 5.50% 2/20/53 | 263504 | 266360 |
| &nbsp;&nbsp; 5.50% 3/20/53 | 539573 | 546018 |
| &nbsp;&nbsp; 5.50% 4/20/53 | 6737080 | 6714750 |
| &nbsp;&nbsp; 5.50% 5/20/53 | 1243243 | 1261125 |
| &nbsp;&nbsp; 5.50% 7/20/53 | 9830770 | 9972284 |
| &nbsp;&nbsp; 5.50% 8/20/53 | 611898 | 622753 |
| &nbsp;&nbsp; 5.50% 2/20/54 | 10889017 | 11045653 |
| &nbsp;&nbsp; 6.00% 9/20/53 | 765357 | 790279 |
| &nbsp;&nbsp; 6.00% 1/20/54 | 1781266 | 1849041 |
| &nbsp;&nbsp; 6.00% 2/20/54 | 1863648 | 1926908 |
| Government National Mortgage Association, TBA | Government National Mortgage Association, TBA | Government National Mortgage Association, TBA |
| &nbsp;&nbsp; 2.00% 4/20/56 | 57000000 | 47073984 |
| &nbsp;&nbsp; 2.50% 4/20/56 | 89000000 | 76553906 |
| &nbsp;&nbsp; 3.50% 4/20/56 | 34000000 | 31179881 |
| &nbsp;&nbsp; 4.00% 4/20/56 | 25000000 | 23414405 |
| &nbsp;&nbsp; 4.50% 4/20/56 | 25790000 | 24910591 |
| &nbsp;&nbsp; 5.00% 4/20/56 | 36800000 | 36443126 |
| &nbsp;&nbsp; 5.50% 4/20/56 | 36360000 | 36591567 |
| &nbsp;&nbsp; 6.00% 4/20/56 | 51300000 | 52162158 |
| &nbsp;&nbsp; 6.50% 4/20/55 | 12000000 | 12470771 |
| Uniform Mortgage-Backed Security, TBA | Uniform Mortgage-Backed Security, TBA | Uniform Mortgage-Backed Security, TBA |
| &nbsp;&nbsp; 1.50% 4/1/41 | 26500000 | 23818287 |
| &nbsp;&nbsp; 2.00% 4/1/41 | 13500000 | 12415446 |
| &nbsp;&nbsp; 2.00% 4/1/56 | 115000000 | 92601953 |
| &nbsp;&nbsp; 2.50% 4/1/41 | 12000000 | 11333821 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Uniform Mortgage-Backed Security, TBA (continued) | Uniform Mortgage-Backed Security, TBA (continued) | Uniform Mortgage-Backed Security, TBA (continued) |
| &nbsp;&nbsp; 2.50% 4/1/56 | 12000000 | $10087500 |
| &nbsp;&nbsp; 4.00% 3/1/56 | 23000000 | 21712067 |
| &nbsp;&nbsp; 4.00% 4/1/56 | 23000000 | 21701044 |
| &nbsp;&nbsp; 4.50% 4/1/56 | 219000000 | 211336242 |
| &nbsp;&nbsp; 5.00% 4/1/40 | 16000000 | 16116832 |
| &nbsp;&nbsp; 5.50% 4/1/56 | 83000000 | 83382291 |
| &nbsp;&nbsp; 6.00% 4/1/56 | 167000000 | 170227776 |
| &nbsp;&nbsp; 6.50% 4/1/56 | 198000000 | 204831748 |
| **Total Agency Mortgage-Backed Securities** <br>**(Cost $2,277,746,668)** | **Total Agency Mortgage-Backed Securities** <br>**(Cost $2,277,746,668)** | **2241044018** |
| **CORPORATE BONDS–31.38%** | **CORPORATE BONDS–31.38%** | **CORPORATE BONDS–31.38%** |
| **Advertising–0.04%** | **Advertising–0.04%** | **Advertising–0.04%** |
| &nbsp;&nbsp; Omnicom Group, Inc. 2.40% <br> 3/1/31<br>| 3200000 | 2863236 |
|  |  | **2863236** |
| **Aerospace & Defense–1.28%** | **Aerospace & Defense–1.28%** | **Aerospace & Defense–1.28%** |
| &nbsp;&nbsp; BAE Systems PLC 5.30% <br> 3/26/34<br>| 17745000 | 18174578 |
| Boeing Co. |  |  |
| &nbsp;&nbsp; 2.70% 2/1/27 | 210000 | 207057 |
| &nbsp;&nbsp; 2.80% 3/1/27 | 80000 | 78758 |
| &nbsp;&nbsp; 3.10% 5/1/26 | 60000 | 59921 |
| &nbsp;&nbsp; 3.20% 3/1/29 | 200000 | 192899 |
| &nbsp;&nbsp; 3.25% 2/1/35 | 320000 | 274291 |
| &nbsp;&nbsp; 3.75% 2/1/50 | 30000 | 21281 |
| &nbsp;&nbsp; 5.15% 5/1/30 | 7260000 | 7381532 |
| &nbsp;&nbsp; 6.86% 5/1/54 | 22621000 | 24896104 |
| &nbsp;&nbsp; 6.88% 3/15/39 | 4875000 | 5355496 |
| Honeywell Aerospace, Inc. |  |  |
| &nbsp;&nbsp; 4.60% 3/16/33 | 2450000 | 2421894 |
| &nbsp;&nbsp; 4.95% 3/16/36 | 4910000 | 4871717 |
| &nbsp;&nbsp; 5.73% 3/16/56 | 2785000 | 2752836 |
| &nbsp;&nbsp; 5.85% 3/16/66 | 1875000 | 1859864 |
| Howmet Aerospace, Inc. |  |  |
| &nbsp;&nbsp; 4.55% 11/15/32 | 8530000 | 8419527 |
| &nbsp;&nbsp; 4.75% 4/15/36 | 3830000 | 3723364 |
| &nbsp;&nbsp; L3Harris Technologies, Inc. <br> 4.85% 4/27/35<br>| 140000 | 137329 |
| Northrop Grumman Corp. |  |  |
| &nbsp;&nbsp; 3.25% 1/15/28 | 160000 | 157141 |
| &nbsp;&nbsp; 5.25% 5/1/50 | 1060000 | 983089 |
|  |  | **81968678** |
| **Agriculture–0.76%** | **Agriculture–0.76%** | **Agriculture–0.76%** |
| BAT Capital Corp. |  |  |
| &nbsp;&nbsp; 3.56% 8/15/27 | 185000 | 182970 |
| &nbsp;&nbsp; 3.73% 9/25/40 | 180000 | 143062 |
| &nbsp;&nbsp; 4.39% 8/15/37 | 4023000 | 3655048 |
| &nbsp;&nbsp; 4.54% 8/15/47 | 270000 | 219222 |
| &nbsp;&nbsp; 4.63% 3/22/33 | 14795000 | 14478192 |
| &nbsp;&nbsp; 6.25% 8/15/55 | 130000 | 131484 |
| &nbsp;&nbsp; 7.08% 8/2/53 | 70000 | 77340 |
| &nbsp;&nbsp; Bunge Ltd. Finance Corp. <br> 4.20% 9/17/29<br>| 11394000 | 11286200 |
| &nbsp;&nbsp; Philip Morris International, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 2.10% 5/1/30 | 250000 | 227519 |
| &nbsp;&nbsp; 4.00% 10/29/30 | 18000000 | 17618603 |
| &nbsp;&nbsp; 4.50% 3/20/42 | 560000 | 489376 |
| &nbsp;&nbsp; 4.88% 2/13/29 | 130000 | 131936 |
| &nbsp;&nbsp; 5.13% 2/13/31 | 30000 | 30683 |

---

*LVIP Franklin Templeton Core Bond Fund–9*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Agriculture (continued)** | **Agriculture (continued)** | **Agriculture (continued)** |
| &nbsp;&nbsp; Philip Morris International, <br> Inc. (continued)<br>|  |  |
| &nbsp;&nbsp; 5.25% 2/13/34 | 100000 | $101830 |
| &nbsp;&nbsp; Reynolds American, Inc. <br> 5.85% 8/15/45<br>| 50000 | 48424 |
|  |  | **48821889** |
| **Airlines–0.11%** | **Airlines–0.11%** | **Airlines–0.11%** |
| &nbsp;&nbsp; AS Mileage Plan IP Ltd. 5.02% <br> 10/20/29<br>| 5800000 | 5741368 |
| &nbsp;&nbsp; United Airlines, Inc. 4.63% <br> 4/15/29<br>| 1040000 | 1020369 |
|  |  | **6761737** |
| **Apparel–0.10%** | **Apparel–0.10%** | **Apparel–0.10%** |
| Tapestry, Inc. 5.10% 3/11/30 | 6500000 | 6567508 |
|  |  | **6567508** |
| **Auto Manufacturers–0.41%** | **Auto Manufacturers–0.41%** | **Auto Manufacturers–0.41%** |
| Ford Motor Co. 6.10% 8/19/32 | 270000 | 272212 |
| &nbsp;&nbsp; Ford Motor Credit Co. LLC <br> 5.80% 3/5/27<br>| 4700000 | 4725921 |
| General Motors Co. |  |  |
| &nbsp;&nbsp; 5.60% 10/15/32 | 70000 | 71667 |
| &nbsp;&nbsp; 6.75% 4/1/46 | 41000 | 42446 |
| &nbsp;&nbsp; General Motors Financial Co., <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 4.20% 10/27/28 | 1935000 | 1915068 |
| &nbsp;&nbsp; 5.45% 9/6/34 | 2985000 | 2960589 |
| &nbsp;&nbsp; 5.63% 4/4/32 | 2777000 | 2841508 |
| Hyundai Capital America |  |  |
| &nbsp;&nbsp; 2.10% 9/15/28 | 5000000 | 4707827 |
| &nbsp;&nbsp; 4.50% 9/18/30 | 1870000 | 1838809 |
| &nbsp;&nbsp; 5.35% 3/19/29 | 6700000 | 6822576 |
|  |  | **26198623** |
| **Banks–8.33%** | **Banks–8.33%** | **Banks–8.33%** |
| &nbsp;&nbsp; μAustralia & New Zealand <br> Banking Group Ltd. 2.57% <br> 11/25/35<br>| 2910000 | 2600872 |
| &nbsp;&nbsp; Banco Santander SA 6.92% <br> 8/8/33<br>| 5400000 | 5828171 |
| Bank of America Corp. |  |  |
| μ1.90% 7/23/31 | 410000 | 365164 |
| μ2.57% 10/20/32 | 670000 | 596112 |
| μ2.59% 4/29/31 | 240000 | 221720 |
| μ2.97% 2/4/33 | 1070000 | 968578 |
| μ3.59% 7/21/28 | 890000 | 880428 |
| μ3.97% 3/5/29 | 480000 | 475646 |
| μ3.97% 2/7/30 | 280000 | 276147 |
| μ4.08% 3/20/51 | 1160000 | 897269 |
| &nbsp;&nbsp; 4.25% 10/22/26 | 810000 | 809585 |
| μ4.33% 3/15/50 | 230000 | 186474 |
| &nbsp;&nbsp; 5.00% 1/21/44 | 40000 | 37215 |
| μ5.16% 1/24/31 | 8567000 | 8730218 |
| μ5.52% 10/25/35 | 23067000 | 23066471 |
| μ5.82% 9/15/29 | 8690000 | 8964510 |
| μ6.20% 11/10/28 | 20477000 | 21035886 |
| μ6.25% 7/26/30 | 14618000 | 14706044 |
| μ6.63% 5/1/30 | 4781000 | 4901696 |
| μBank of Montreal |  |  |
| &nbsp;&nbsp; 3.80% 12/15/32 | 70000 | 68881 |
| &nbsp;&nbsp; 7.30% 11/26/84 | 2160000 | 2210758 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| μBank of Nova Scotia |  |  |
| &nbsp;&nbsp; 4.59% 5/4/37 | 180000 | $172194 |
| &nbsp;&nbsp; 7.35% 4/27/85 | 2910000 | 2938370 |
| &nbsp;&nbsp; Banque Federative du Credit <br> Mutuel SA 4.54% 1/15/31<br>| 5040000 | 4970283 |
| μBarclays PLC 4.97% 5/16/29 | 450000 | 452738 |
| μCaixaBank SA 4.89% 7/3/31 | 500000 | 500576 |
| Citigroup, Inc. |  |  |
| μ2.52% 11/3/32 | 240000 | 211613 |
| μ2.57% 6/3/31 | 1010000 | 925847 |
| μ3.79% 3/17/33 | 390000 | 365841 |
| &nbsp;&nbsp; 4.45% 9/29/27 | 2380000 | 2380067 |
| μ4.50% 9/11/31 | 5395000 | 5333681 |
| &nbsp;&nbsp; 4.65% 7/23/48 | 490000 | 414724 |
| μ4.66% 5/24/28 | 90000 | 90169 |
| &nbsp;&nbsp; 4.75% 5/18/46 | 150000 | 126338 |
| μ4.91% 5/24/33 | 620000 | 617193 |
| μ6.02% 1/24/36 | 5612000 | 5729452 |
| &nbsp;&nbsp; 6.13% 8/25/36 | 250000 | 260160 |
| μ6.63% 2/15/31 | 5035000 | 5038777 |
| μ6.75% 2/15/30 | 6946000 | 6942871 |
| μ6.88% 8/15/30 | 3736000 | 3762369 |
| μ7.00% 8/15/34 | 4110000 | 4229938 |
| &nbsp;&nbsp; 8.13% 7/15/39 | 10000 | 12455 |
| &nbsp;&nbsp; Commonwealth Bank of <br> Australia<br>|  |  |
| &nbsp;&nbsp; 2.69% 3/11/31 | 3200000 | 2895509 |
| &nbsp;&nbsp; 5.84% 3/13/34 | 3200000 | 3299642 |
| μCredit Agricole SA |  |  |
| &nbsp;&nbsp; 4.82% 9/25/33 | 410000 | 401635 |
| &nbsp;&nbsp; 5.22% 5/27/31 | 5754000 | 5823893 |
| μDeutsche Bank AG |  |  |
| &nbsp;&nbsp; 5.30% 5/9/31 | 5544000 | 5601219 |
| &nbsp;&nbsp; 6.72% 1/18/29 | 5422000 | 5617438 |
| &nbsp;&nbsp; 6.82% 11/20/29 | 6519000 | 6844741 |
| &nbsp;&nbsp; 7.15% 7/13/27 | 5037000 | 5070976 |
| Goldman Sachs Group, Inc. |  |  |
| μ2.65% 10/21/32 | 950000 | 843391 |
| μ2.91% 7/21/42 | 180000 | 126785 |
| μ3.21% 4/22/42 | 80000 | 59318 |
| &nbsp;&nbsp; 3.50% 11/16/26 | 840000 | 835945 |
| μ3.62% 3/15/28 | 90000 | 89283 |
| μ3.69% 6/5/28 | 720000 | 713633 |
| μ4.22% 5/1/29 | 560000 | 556840 |
| &nbsp;&nbsp; 4.75% 10/21/45 | 260000 | 225194 |
| μ5.02% 10/23/35 | 9348000 | 9175097 |
| μ5.07% 1/21/37 | 2535000 | 2478399 |
| &nbsp;&nbsp; 5.15% 5/22/45 | 190000 | 169917 |
| μ5.22% 4/23/31 | 8731000 | 8878249 |
| μ5.56% 11/19/45 | 7782000 | 7486545 |
| &nbsp;&nbsp; 6.25% 2/1/41 | 400000 | 421043 |
| μ6.48% 10/24/29 | 8074000 | 8446572 |
| &nbsp;&nbsp; 6.75% 10/1/37 | 180000 | 194162 |
| JPMorgan Chase & Co. |  |  |
| μ2.52% 4/22/31 | 970000 | 896384 |
| μ2.55% 11/8/32 | 1040000 | 924470 |
| μ3.11% 4/22/51 | 240000 | 156680 |
| &nbsp;&nbsp; 3.63% 12/1/27 | 130000 | 128543 |
| μ4.20% 7/23/29 | 290000 | 288333 |
| &nbsp;&nbsp; 4.25% 10/1/27 | 1148000 | 1148607 |
| μ4.45% 12/5/29 | 460000 | 460550 |
| μ5.01% 1/23/30 | 6455000 | 6545309 |

---

*LVIP Franklin Templeton Core Bond Fund–10*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; JPMorgan Chase & <br> Co. (continued)<br>|  |  |
| μ5.10% 4/22/31 | 7895000 | $8038350 |
| μ5.14% 1/24/31 | 26673000 | 27161152 |
| μ5.57% 4/22/28 | 6940000 | 7024732 |
| μ5.57% 4/22/36 | 10320000 | 10634593 |
| μ5.58% 7/23/36 | 6605000 | 6688925 |
| μ6.25% 10/23/34 | 4064000 | 4369668 |
| μMorgan Stanley |  |  |
| &nbsp;&nbsp; 2.48% 9/16/36 | 19146000 | 16472984 |
| &nbsp;&nbsp; 2.70% 1/22/31 | 540000 | 501403 |
| &nbsp;&nbsp; 3.62% 4/1/31 | 1110000 | 1064385 |
| &nbsp;&nbsp; 3.77% 1/24/29 | 390000 | 384775 |
| &nbsp;&nbsp; 4.43% 1/23/30 | 20000 | 19910 |
| &nbsp;&nbsp; 4.49% 1/16/32 | 3775000 | 3711536 |
| &nbsp;&nbsp; 4.71% 3/12/32 | 5190000 | 5155055 |
| &nbsp;&nbsp; 5.07% 1/30/37 | 3905000 | 3825805 |
| &nbsp;&nbsp; 5.16% 4/20/29 | 11755000 | 11890396 |
| &nbsp;&nbsp; 5.19% 4/17/31 | 1388000 | 1408672 |
| &nbsp;&nbsp; 5.32% 7/19/35 | 680000 | 682358 |
| &nbsp;&nbsp; 5.47% 1/18/35 | 160000 | 162644 |
| &nbsp;&nbsp; 5.66% 4/17/36 | 5023000 | 5144870 |
| &nbsp;&nbsp; 5.83% 4/19/35 | 13390000 | 13901337 |
| &nbsp;&nbsp; 5.90% 3/13/47 | 3240000 | 3224966 |
| &nbsp;&nbsp; 6.30% 10/18/28 | 11176000 | 11468480 |
| &nbsp;&nbsp; 6.41% 11/1/29 | 7055000 | 7363275 |
| &nbsp;&nbsp; μMorgan Stanley Private Bank <br> NA 4.73% 7/18/31<br>| 4472000 | 4458148 |
| &nbsp;&nbsp; μNatWest Group PLC 4.89% <br> 5/18/29<br>| 200000 | 201398 |
| &nbsp;&nbsp; μPNC Financial Services <br> Group, Inc.<br>|  |  |
| &nbsp;&nbsp; 4.90% 5/13/31 | 3557000 | 3578796 |
| &nbsp;&nbsp; 5.58% 6/12/29 | 370000 | 379149 |
| &nbsp;&nbsp; 5.58% 1/29/36 | 4530000 | 4624700 |
| &nbsp;&nbsp; 5.68% 1/22/35 | 4841000 | 4979974 |
| &nbsp;&nbsp; 6.88% 10/20/34 | 7074000 | 7815143 |
| Toronto-Dominion Bank |  |  |
| &nbsp;&nbsp; 4.46% 6/8/32 | 170000 | 167139 |
| μ8.13% 10/31/82 | 2200000 | 2269665 |
| Truist Bank |  |  |
| &nbsp;&nbsp; 3.30% 5/15/26 | 6594000 | 6583742 |
| μ4.63% 9/17/29 | 20396000 | 20220938 |
| &nbsp;&nbsp; μTruist Financial Corp. 6.05% <br> 6/8/27<br>| 250000 | 250630 |
| μU.S. Bancorp |  |  |
| &nbsp;&nbsp; 2.22% 1/27/28 | 40000 | 39302 |
| &nbsp;&nbsp; 2.49% 11/3/36 | 4284000 | 3703690 |
| &nbsp;&nbsp; 4.65% 2/1/29 | 14825000 | 14892815 |
| &nbsp;&nbsp; 5.05% 2/12/31 | 6676000 | 6773254 |
| &nbsp;&nbsp; 5.38% 1/23/30 | 2283000 | 2338024 |
| &nbsp;&nbsp; 5.42% 2/12/36 | 3599000 | 3677637 |
| &nbsp;&nbsp; 5.68% 1/23/35 | 5083000 | 5250024 |
| &nbsp;&nbsp; 5.78% 6/12/29 | 270000 | 277716 |
| &nbsp;&nbsp; 5.84% 6/12/34 | 100000 | 104373 |
| &nbsp;&nbsp; 6.79% 10/26/27 | 3430000 | 3475671 |
| μU.S. Bank NA 4.73% 5/15/28 | 6238000 | 6260680 |
| UBS Group AG |  |  |
| &nbsp;&nbsp; 4.13% 4/15/26 | 286000 | 285993 |
| μ4.19% 4/1/31 | 400000 | 391365 |
| &nbsp;&nbsp; 4.25% 3/23/28 | 890000 | 886699 |
| &nbsp;&nbsp; 4.55% 4/17/26 | 271000 | 270997 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| UBS Group AG (continued) |  |  |
| μ4.75% 5/12/28 | 410000 | $411137 |
| μ5.58% 5/9/36 | 6763000 | 6859293 |
| μ6.85% 9/10/29 | 12828000 | 12712926 |
| Wells Fargo & Co. |  |  |
| μ2.39% 6/2/28 | 230000 | 224493 |
| μ2.88% 10/30/30 | 430000 | 405696 |
| &nbsp;&nbsp; 3.00% 10/23/26 | 330000 | 327732 |
| μ3.35% 3/2/33 | 640000 | 587639 |
| &nbsp;&nbsp; 4.15% 1/24/29 | 410000 | 407696 |
| &nbsp;&nbsp; 4.30% 7/22/27 | 204000 | 203738 |
| &nbsp;&nbsp; 4.40% 6/14/46 | 610000 | 485648 |
| μ4.48% 4/4/31 | 390000 | 386631 |
| &nbsp;&nbsp; 4.65% 11/4/44 | 10000 | 8384 |
| &nbsp;&nbsp; 4.75% 12/7/46 | 580000 | 486217 |
| &nbsp;&nbsp; 4.90% 11/17/45 | 360000 | 309023 |
| μ5.01% 4/4/51 | 2310000 | 2035094 |
| μ5.15% 4/23/31 | 7069000 | 7189780 |
| μ5.24% 1/24/31 | 5156000 | 5255930 |
| μ5.61% 4/23/36 | 9622000 | 9846458 |
|  |  | **532709251** |
| **Beverages–0.08%** | **Beverages–0.08%** | **Beverages–0.08%** |
| &nbsp;&nbsp; Anheuser-Busch Cos. <br> LLC/Anheuser-Busch InBev <br> Worldwide, Inc. 4.90% <br> 2/1/46<br>| 750000 | 675879 |
| &nbsp;&nbsp; Anheuser-Busch InBev <br> Worldwide, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.50% 6/1/30 | 680000 | 657107 |
| &nbsp;&nbsp; 5.55% 1/23/49 | 510000 | 495297 |
| &nbsp;&nbsp; Keurig Dr. Pepper, Inc. 5.30% <br> 3/15/34<br>| 3185000 | 3164648 |
|  |  | **4992931** |
| **Biotechnology–0.58%** | **Biotechnology–0.58%** | **Biotechnology–0.58%** |
| Amgen, Inc. |  |  |
| &nbsp;&nbsp; 5.25% 3/2/30 | 5810000 | 5965913 |
| &nbsp;&nbsp; 5.25% 3/2/33 | 3610000 | 3704683 |
| Biogen, Inc. 2.25% 5/1/30 | 8600000 | 7855485 |
| &nbsp;&nbsp; Regeneron Pharmaceuticals, <br> Inc. 1.75% 9/15/30<br>| 6500000 | 5761346 |
| Royalty Pharma PLC |  |  |
| &nbsp;&nbsp; 1.75% 9/2/27 | 6297000 | 6070476 |
| &nbsp;&nbsp; 2.20% 9/2/30 | 5800000 | 5223956 |
| &nbsp;&nbsp; 5.20% 9/25/35 | 2775000 | 2738736 |
|  |  | **37320595** |
| **Building Materials–0.04%** | **Building Materials–0.04%** | **Building Materials–0.04%** |
| &nbsp;&nbsp; Carlisle Cos., Inc. 5.25% <br> 9/15/35<br>| 2735000 | 2734844 |
|  |  | **2734844** |
| **Chemicals–0.02%** | **Chemicals–0.02%** | **Chemicals–0.02%** |
| &nbsp;&nbsp; Equate Petrochemical Co. <br> KSCC 4.25% 11/3/26<br>| 510000 | 504550 |
| MEGlobal BV 2.63% 4/28/28 | 770000 | 721310 |
|  |  | **1225860** |
| **Commercial Services–0.01%** | **Commercial Services–0.01%** | **Commercial Services–0.01%** |
| DP World Ltd. 5.63% 9/25/48 | 770000 | 689604 |
|  |  | **689604** |

---

*LVIP Franklin Templeton Core Bond Fund–11*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Computers–0.44%** | **Computers–0.44%** | **Computers–0.44%** |
| &nbsp;&nbsp; Hewlett Packard Enterprise <br> Co. 4.55% 10/15/29<br>| 6500000 | $6467699 |
| Leidos, Inc. |  |  |
| &nbsp;&nbsp; 5.40% 3/15/32 | 9078000 | 9253661 |
| &nbsp;&nbsp; 5.50% 3/15/35 | 12362000 | 12562614 |
|  |  | **28283974** |
| **Cosmetics & Personal Care–0.07%** | **Cosmetics & Personal Care–0.07%** | **Cosmetics & Personal Care–0.07%** |
| Haleon U.S. Capital LLC |  |  |
| &nbsp;&nbsp; 3.38% 3/24/27 | 250000 | 247555 |
| &nbsp;&nbsp; 3.63% 3/24/32 | 250000 | 234912 |
| Kenvue, Inc. 4.90% 3/22/33 | 4150000 | 4183397 |
|  |  | **4665864** |
| **Diversified Financial Services–2.54%** | **Diversified Financial Services–2.54%** | **Diversified Financial Services–2.54%** |
| &nbsp;&nbsp; AerCap Ireland Capital <br> DAC/AerCap Global Aviation <br> Trust<br>|  |  |
| &nbsp;&nbsp; 2.45% 10/29/26 | 6900000 | 6823995 |
| &nbsp;&nbsp; 3.00% 10/29/28 | 19734000 | 18995642 |
| &nbsp;&nbsp; 4.13% 2/28/29 | 1370000 | 1351467 |
| &nbsp;&nbsp; 5.00% 11/15/35 | 160000 | 154552 |
| &nbsp;&nbsp; 5.10% 1/19/29 | 3836000 | 3886114 |
| Air Lease Corp. |  |  |
| &nbsp;&nbsp; 3.00% 2/1/30 | 8421000 | 7826873 |
| μ4.13% 12/15/26 | 4377000 | 4252933 |
| &nbsp;&nbsp; 4.63% 10/1/28 | 3017000 | 3003245 |
| &nbsp;&nbsp; 5.10% 3/1/29 | 2182000 | 2201659 |
| &nbsp;&nbsp; 5.30% 2/1/28 | 180000 | 182013 |
| Aircastle Ltd. 6.50% 7/18/28 | 5810000 | 6023561 |
| &nbsp;&nbsp; Ally Financial, Inc. 8.00% <br> 11/1/31<br>| 5810000 | 6442284 |
| &nbsp;&nbsp; American Express Co. 4.05% <br> 5/3/29<br>| 250000 | 249013 |
| Aviation Capital Group LLC |  |  |
| &nbsp;&nbsp; 3.50% 11/1/27 | 14504000 | 14241242 |
| &nbsp;&nbsp; 4.80% 10/24/30 | 14878000 | 14706170 |
| &nbsp;&nbsp; 5.38% 7/15/29 | 6398000 | 6498186 |
| Avolon Holdings Funding Ltd. |  |  |
| &nbsp;&nbsp; 4.95% 10/15/32 | 10000000 | 9739769 |
| &nbsp;&nbsp; 5.75% 11/15/29 | 5800000 | 5942907 |
| &nbsp;&nbsp; μCapital One Financial Corp. <br> 4.49% 9/11/31<br>| 6490000 | 6372302 |
| &nbsp;&nbsp; CI Financial Corp. 7.50% <br> 5/30/29<br>| 560000 | 587615 |
| &nbsp;&nbsp; Intercontinental Exchange, <br> Inc. 4.60% 3/15/33<br>| 80000 | 79306 |
| &nbsp;&nbsp; Jane Street Group/JSG <br> Finance, Inc. 4.50% <br> 11/15/29<br>| 5800000 | 5621406 |
| &nbsp;&nbsp; Jefferies Financial Group, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 2.63% 10/15/31 | 5411000 | 4705859 |
| &nbsp;&nbsp; 4.50% 9/15/26 | 8450000 | 8423176 |
| &nbsp;&nbsp; 6.45% 6/8/27 | 1613000 | 1642685 |
| &nbsp;&nbsp; 6.50% 1/20/43 | 4685000 | 4550951 |
| &nbsp;&nbsp; LPL Holdings, Inc. 5.20% <br> 3/15/30<br>| 8800000 | 8864486 |
| &nbsp;&nbsp; Macquarie Airfinance <br> Holdings Ltd. 6.40% 3/26/29<br>| 8800000 | 9117871 |
|  |  | **162487282** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric–3.22%** | **Electric–3.22%** | **Electric–3.22%** |
| AEP Texas, Inc. |  |  |
| &nbsp;&nbsp; 3.45% 1/15/50 | 1649000 | $1102243 |
| &nbsp;&nbsp; 4.15% 5/1/49 | 1397000 | 1055258 |
| &nbsp;&nbsp; 5.40% 6/1/33 | 2306000 | 2336747 |
| &nbsp;&nbsp; Alexander Funding Trust II <br> 7.47% 7/31/28<br>| 5800000 | 6107057 |
| &nbsp;&nbsp; μAmerican Electric Power Co., <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 5.80% 3/15/56 | 7975000 | 7877825 |
| &nbsp;&nbsp; 6.05% 3/15/56 | 2660000 | 2636259 |
| &nbsp;&nbsp; American Transmission <br> Systems, Inc. 2.65% 1/15/32<br>| 80000 | 71678 |
| &nbsp;&nbsp; Appalachian Power Co. 3.70% <br> 5/1/50<br>| 2201000 | 1562629 |
| &nbsp;&nbsp; Atlantic City Electric Co. <br> 4.00% 10/15/28<br>| 1548000 | 1536707 |
| &nbsp;&nbsp; Cleveland Electric <br> Illuminating Co. 3.50% <br> 4/1/28<br>| 70000 | 68558 |
| &nbsp;&nbsp; Comision Federal de <br> Electricidad 3.88% 7/26/33<br>| 1220000 | 1044765 |
| &nbsp;&nbsp; Constellation Energy <br> Generation LLC<br>|  |  |
| &nbsp;&nbsp; 4.40% 1/15/31 | 2755000 | 2719081 |
| &nbsp;&nbsp; 5.75% 3/15/54 | 7357000 | 7136913 |
| μDominion Energy, Inc. |  |  |
| &nbsp;&nbsp; 6.20% 2/15/56 | 3855000 | 3821093 |
| &nbsp;&nbsp; 6.63% 5/15/55 | 5046000 | 5123244 |
| &nbsp;&nbsp; 6.88% 2/1/55 | 6051000 | 6227511 |
| DTE Electric Co. |  |  |
| &nbsp;&nbsp; 4.85% 3/1/36 | 3480000 | 3414769 |
| &nbsp;&nbsp; 5.25% 5/15/35 | 1195000 | 1212021 |
| DTE Energy Co. 5.10% 3/1/29 | 6466000 | 6574937 |
| &nbsp;&nbsp; Duke Energy Carolinas LLC <br> 4.95% 1/15/33<br>| 25751000 | 26139849 |
| &nbsp;&nbsp; ENEL Finance International <br> NV 4.38% 9/30/30<br>| 6685000 | 6565685 |
| Exelon Corp. 5.45% 3/15/34 | 12010000 | 12278073 |
| &nbsp;&nbsp; FirstEnergy Corp. 3.90% <br> 7/15/27<br>| 510000 | 505847 |
| &nbsp;&nbsp; Florida Power & Light Co. <br> 5.70% 3/15/55<br>| 240000 | 239030 |
| &nbsp;&nbsp; Georgia Power Co. 5.20% <br> 3/15/35<br>| 210000 | 213297 |
| &nbsp;&nbsp; MidAmerican Energy Co. <br> 3.65% 4/15/29<br>| 260000 | 255289 |
| &nbsp;&nbsp; Mid-Atlantic Interstate <br> Transmission LLC 4.10% <br> 5/15/28<br>| 200000 | 198834 |
| &nbsp;&nbsp; NextEra Energy Capital <br> Holdings, Inc.<br>|  |  |
| &nbsp;&nbsp; 5.55% 3/15/54 | 6699000 | 6297217 |
| μ6.50% 8/15/55 | 2923000 | 3016317 |
| &nbsp;&nbsp; Northern States Power Co. <br> 5.05% 5/15/35<br>| 3200000 | 3222241 |
| &nbsp;&nbsp; NRG Energy, Inc. 5.41% <br> 10/15/35<br>| 210000 | 205994 |
| &nbsp;&nbsp; Oncor Electric Delivery Co. <br> LLC<br>|  |  |
| &nbsp;&nbsp; 5.35% 4/1/35 | 120000 | 122620 |
| &nbsp;&nbsp; 5.80% 4/1/55 | 150000 | 148450 |

---

*LVIP Franklin Templeton Core Bond Fund–12*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| Pacific Gas & Electric Co. |  |  |
| &nbsp;&nbsp; 2.10% 8/1/27 | 50000 | $48458 |
| &nbsp;&nbsp; 2.50% 2/1/31 | 110000 | 98583 |
| &nbsp;&nbsp; 3.30% 8/1/40 | 230000 | 172008 |
| &nbsp;&nbsp; 3.50% 8/1/50 | 50000 | 33060 |
| &nbsp;&nbsp; 5.05% 10/15/32 | 350000 | 347725 |
| &nbsp;&nbsp; 5.20% 5/1/36 | 1895000 | 1846920 |
| &nbsp;&nbsp; Perusahaan Perseroan <br> Persero PT Perusahaan <br> Listrik Negara<br>|  |  |
| &nbsp;&nbsp; 4.13% 5/15/27 | 310000 | 307454 |
| &nbsp;&nbsp; 5.45% 5/21/28 | 200000 | 201559 |
| &nbsp;&nbsp; 6.15% 5/21/48 | 890000 | 848097 |
| μSempra 6.40% 10/1/54 | 14791000 | 14744768 |
| Southern Power Co. |  |  |
| &nbsp;&nbsp; 4.25% 10/1/30 | 2525000 | 2492408 |
| &nbsp;&nbsp; 4.90% 10/1/35 | 4550000 | 4400291 |
| &nbsp;&nbsp; Southwestern Electric Power <br> Co. 4.10% 9/15/28<br>| 16298000 | 16185423 |
| Virginia Electric & Power Co. |  |  |
| &nbsp;&nbsp; 4.90% 9/15/35 | 3250000 | 3179740 |
| &nbsp;&nbsp; 4.95% 3/15/36 | 7265000 | 7081871 |
| Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp; 4.60% 10/15/30 | 3425000 | 3357150 |
| &nbsp;&nbsp; 5.25% 10/15/35 | 2485000 | 2413237 |
| &nbsp;&nbsp; 6.00% 4/15/34 | 2790000 | 2868028 |
| &nbsp;&nbsp; 6.95% 10/15/33 | 16079000 | 17495688 |
| &nbsp;&nbsp; Xcel Energy, Inc. 5.60% <br> 4/15/35<br>| 6500000 | 6605644 |
|  |  | **205766150** |
| **Electronics–0.19%** | **Electronics–0.19%** | **Electronics–0.19%** |
| Amphenol Corp. |  |  |
| &nbsp;&nbsp; 2.20% 9/15/31 | 6553000 | 5815675 |
| &nbsp;&nbsp; 4.40% 2/15/33 | 6535000 | 6378017 |
|  |  | **12193692** |
| **Environmental Control–0.18%** | **Environmental Control–0.18%** | **Environmental Control–0.18%** |
| Waste Connections, Inc. |  |  |
| &nbsp;&nbsp; 4.80% 7/15/36 | 4610000 | 4516653 |
| &nbsp;&nbsp; 5.00% 3/1/34 | 6740000 | 6783729 |
|  |  | **11300382** |
| **Food–1.07%** | **Food–1.07%** | **Food–1.07%** |
| &nbsp;&nbsp; JBS NV/JBS USA Foods Group <br> Holdings, Inc./JBS USA Food <br> Co. Holdings<br>|  |  |
| &nbsp;&nbsp; 5.50% 1/15/36 | 6206000 | 6208855 |
| &nbsp;&nbsp; 6.25% 3/1/56 | 5804000 | 5689666 |
| Kraft Heinz Foods Co. |  |  |
| &nbsp;&nbsp; 4.63% 10/1/39 | 1975000 | 1741213 |
| &nbsp;&nbsp; 5.00% 6/4/42 | 7427000 | 6531032 |
| &nbsp;&nbsp; 6.88% 1/26/39 | 1975000 | 2135347 |
| Kroger Co. 5.00% 9/15/34 | 220000 | 217220 |
| Mars, Inc. |  |  |
| &nbsp;&nbsp; 2.38% 7/16/40 | 300000 | 211782 |
| &nbsp;&nbsp; 3.20% 4/1/30 | 250000 | 238518 |
| &nbsp;&nbsp; 4.80% 3/1/30 | 8855000 | 8948190 |
| &nbsp;&nbsp; 5.00% 3/1/32 | 25000 | 25297 |
| &nbsp;&nbsp; 5.20% 3/1/35 | 8010000 | 8086261 |
| &nbsp;&nbsp; 5.65% 5/1/45 | 5206000 | 5141009 |
| &nbsp;&nbsp; 5.70% 5/1/55 | 16298000 | 15891731 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Food (continued)** | **Food (continued)** | **Food (continued)** |
| &nbsp;&nbsp; Pilgrim's Pride Corp. 3.50% <br> 3/1/32<br>| 3200000 | $2904781 |
| Sysco Corp. 5.10% 9/23/30 | 4210000 | 4243455 |
|  |  | **68214357** |
| **Forest Products & Paper–0.10%** | **Forest Products & Paper–0.10%** | **Forest Products & Paper–0.10%** |
| &nbsp;&nbsp; Georgia-Pacific LLC 4.95% <br> 6/30/32<br>| 6170000 | 6231733 |
| &nbsp;&nbsp; Suzano Austria GmbH 3.13% <br> 1/15/32<br>| 380000 | 334180 |
|  |  | **6565913** |
| **Gas–0.11%** | **Gas–0.11%** | **Gas–0.11%** |
| &nbsp;&nbsp; CenterPoint Energy <br> Resources Corp. 5.40% <br> 7/1/34<br>| 3200000 | 3265689 |
| NiSource, Inc. 5.20% 7/1/29 | 3600000 | 3671207 |
|  |  | **6936896** |
| **Health Care Products–0.27%** | **Health Care Products–0.27%** | **Health Care Products–0.27%** |
| &nbsp;&nbsp; GE HealthCare Technologies, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 4.80% 1/15/31 | 2941000 | 2959122 |
| &nbsp;&nbsp; 5.50% 6/15/35 | 2882000 | 2940910 |
| &nbsp;&nbsp; Medline Borrower LP 3.88% <br> 4/1/29<br>| 8250000 | 7980735 |
| &nbsp;&nbsp; Thermo Fisher Scientific, Inc. <br> 4.90% 2/12/36<br>| 3305000 | 3281533 |
|  |  | **17162300** |
| **Health Care Services–0.31%** | **Health Care Services–0.31%** | **Health Care Services–0.31%** |
| HCA, Inc. |  |  |
| &nbsp;&nbsp; 4.60% 11/15/32 | 3270000 | 3180674 |
| &nbsp;&nbsp; 5.45% 9/15/34 | 9458000 | 9546519 |
| Humana, Inc. |  |  |
| &nbsp;&nbsp; 3.13% 8/15/29 | 260000 | 247372 |
| &nbsp;&nbsp; 3.70% 3/23/29 | 420000 | 408248 |
| &nbsp;&nbsp; 3.95% 3/15/27 | 290000 | 288712 |
| &nbsp;&nbsp; Icon Investments Six DAC <br> 5.85% 5/8/29<br>| 4401000 | 4487327 |
| UnitedHealth Group, Inc. |  |  |
| &nbsp;&nbsp; 2.00% 5/15/30 | 230000 | 208232 |
| &nbsp;&nbsp; 2.30% 5/15/31 | 40000 | 35852 |
| &nbsp;&nbsp; 2.90% 5/15/50 | 120000 | 74703 |
| &nbsp;&nbsp; 3.13% 5/15/60 | 20000 | 11889 |
| &nbsp;&nbsp; 3.70% 8/15/49 | 560000 | 402719 |
| &nbsp;&nbsp; 3.88% 12/15/28 | 70000 | 69312 |
| &nbsp;&nbsp; 3.88% 8/15/59 | 160000 | 111627 |
| &nbsp;&nbsp; 4.00% 5/15/29 | 200000 | 197934 |
| &nbsp;&nbsp; 4.20% 5/15/32 | 240000 | 233827 |
| &nbsp;&nbsp; 4.25% 6/15/48 | 50000 | 39728 |
| &nbsp;&nbsp; 4.45% 12/15/48 | 40000 | 32644 |
|  |  | **19577319** |
| **Insurance–1.18%** | **Insurance–1.18%** | **Insurance–1.18%** |
| &nbsp;&nbsp; Aon Corp./Aon Global <br> Holdings PLC<br>|  |  |
| &nbsp;&nbsp; 2.90% 8/23/51 | 11471000 | 6958367 |
| &nbsp;&nbsp; 5.00% 9/12/32 | 11257000 | 11322961 |
| Aon North America, Inc. |  |  |
| &nbsp;&nbsp; 5.30% 3/1/31 | 4626000 | 4719974 |
| &nbsp;&nbsp; 5.45% 3/1/34 | 540000 | 551467 |
| &nbsp;&nbsp; 5.75% 3/1/54 | 1740000 | 1676539 |

---

*LVIP Franklin Templeton Core Bond Fund–13*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |
| &nbsp;&nbsp; Arthur J Gallagher & Co. <br> 4.85% 12/15/29<br>| 3300000 | $3335254 |
| &nbsp;&nbsp; Athene Global Funding 5.54% <br> 8/22/35<br>| 4200000 | 4123293 |
| Athene Holding Ltd. |  |  |
| μ6.63% 10/15/54 | 5539000 | 5115971 |
| &nbsp;&nbsp; 6.63% 5/19/55 | 5790000 | 5577722 |
| μ6.88% 6/28/55 | 5279000 | 4935614 |
| &nbsp;&nbsp; Brown & Brown, Inc. 4.90% <br> 6/23/30<br>| 11700000 | 11684139 |
| &nbsp;&nbsp; CNA Financial Corp. 5.13% <br> 2/15/34<br>| 3200000 | 3150273 |
| &nbsp;&nbsp; Corebridge Financial, Inc. <br> 3.85% 4/5/29<br>| 3200000 | 3123948 |
| MetLife, Inc. 6.40% 12/15/66 | 380000 | 387995 |
| &nbsp;&nbsp; New York Life Global Funding <br> 5.45% 9/18/26<br>| 8900000 | 8952548 |
|  |  | **75616065** |
| **Internet–0.39%** | **Internet–0.39%** | **Internet–0.39%** |
| Airbnb, Inc. |  |  |
| &nbsp;&nbsp; 4.65% 3/16/31 | 2975000 | 2968296 |
| &nbsp;&nbsp; 5.25% 3/16/36 | 1475000 | 1476494 |
| Alphabet, Inc. |  |  |
| &nbsp;&nbsp; 1.10% 8/15/30 | 360000 | 316562 |
| &nbsp;&nbsp; 1.90% 8/15/40 | 150000 | 100088 |
| &nbsp;&nbsp; 4.50% 5/15/35 | 100000 | 98358 |
| &nbsp;&nbsp; 5.25% 5/15/55 | 140000 | 132189 |
| &nbsp;&nbsp; 5.30% 5/15/65 | 150000 | 138844 |
| Amazon.com, Inc. |  |  |
| &nbsp;&nbsp; 4.55% 3/13/33 | 2985000 | 2956271 |
| &nbsp;&nbsp; 4.88% 3/13/36 | 4420000 | 4379717 |
| &nbsp;&nbsp; 5.80% 3/13/56 | 630000 | 629494 |
| &nbsp;&nbsp; 6.05% 3/13/76 | 3975000 | 3951703 |
| &nbsp;&nbsp; Beignet Investor LLC 6.58% <br> 5/30/49<br>| 1556000 | 1599811 |
| &nbsp;&nbsp; Meta Platforms, Inc. 3.85% <br> 8/15/32<br>| 6252000 | 5967416 |
|  |  | **24715243** |
| **Investment Company–0.07%** | **Investment Company–0.07%** | **Investment Company–0.07%** |
| &nbsp;&nbsp; Blackstone Private Credit <br> Fund 5.60% 11/22/29<br>| 4430000 | 4309172 |
|  |  | **4309172** |
| **Leisure Time–0.39%** | **Leisure Time–0.39%** | **Leisure Time–0.39%** |
| &nbsp;&nbsp; Brunswick Corp. 5.85% <br> 3/18/29<br>| 6500000 | 6651182 |
| Carnival Corp. |  |  |
| &nbsp;&nbsp; 5.13% 5/1/29 | 7960000 | 7902542 |
| &nbsp;&nbsp; 5.75% 3/15/30 | 8800000 | 8869802 |
| &nbsp;&nbsp; 5.75% 8/1/32 | 1635000 | 1634468 |
|  |  | **25057994** |
| **Lodging–0.20%** | **Lodging–0.20%** | **Lodging–0.20%** |
| &nbsp;&nbsp; Hyatt Hotels Corp. 5.25% <br> 6/30/29<br>| 7000000 | 7109256 |
| Las Vegas Sands Corp. |  |  |
| &nbsp;&nbsp; 5.63% 6/15/28 | 630000 | 638204 |
| &nbsp;&nbsp; 6.00% 8/15/29 | 140000 | 143883 |
| &nbsp;&nbsp; 6.00% 6/14/30 | 110000 | 113140 |
| &nbsp;&nbsp; Marriott International, Inc. <br> 4.50% 5/1/33<br>| 4035000 | 3898687 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Lodging (continued)** | **Lodging (continued)** | **Lodging (continued)** |
| &nbsp;&nbsp; Sands China Ltd. 4.38% <br> 6/18/30<br>| 600000 | $578973 |
|  |  | **12482143** |
| **Machinery Construction & Mining–0.34%** | **Machinery Construction & Mining–0.34%** | **Machinery Construction & Mining–0.34%** |
| &nbsp;&nbsp; Caterpillar, Inc. 5.20% <br> 5/15/35<br>| 7092000 | 7265222 |
| &nbsp;&nbsp; Vertiv Group Corp. 4.13% <br> 11/15/28<br>| 7417000 | 7304090 |
| Vertiv Holdings Co. |  |  |
| &nbsp;&nbsp; 4.85% 3/15/36 | 5971000 | 5806006 |
| &nbsp;&nbsp; 5.80% 3/15/56 | 1415000 | 1360159 |
|  |  | **21735477** |
| **Machinery Diversified–0.00%** | **Machinery Diversified–0.00%** | **Machinery Diversified–0.00%** |
| Deere & Co. |  |  |
| &nbsp;&nbsp; 3.10% 4/15/30 | 150000 | 143202 |
| &nbsp;&nbsp; 3.75% 4/15/50 | 100000 | 76264 |
|  |  | **219466** |
| **Media–0.46%** | **Media–0.46%** | **Media–0.46%** |
| &nbsp;&nbsp; Charter Communications <br> Operating LLC/Charter <br> Communications Operating <br> Capital<br>|  |  |
| &nbsp;&nbsp; 3.50% 6/1/41 | 3245000 | 2275519 |
| &nbsp;&nbsp; 3.50% 3/1/42 | 90000 | 61609 |
| &nbsp;&nbsp; 3.85% 4/1/61 | 6859000 | 4005738 |
| &nbsp;&nbsp; 4.20% 3/15/28 | 420000 | 416332 |
| &nbsp;&nbsp; 4.40% 4/1/33 | 540000 | 504846 |
| &nbsp;&nbsp; 4.80% 3/1/50 | 230000 | 170052 |
| &nbsp;&nbsp; 5.05% 3/30/29 | 410000 | 412073 |
| &nbsp;&nbsp; 5.13% 7/1/49 | 370000 | 284079 |
| &nbsp;&nbsp; 5.38% 4/1/38 | 400000 | 358500 |
| &nbsp;&nbsp; 5.38% 5/1/47 | 200000 | 160938 |
| &nbsp;&nbsp; 5.50% 4/1/63 | 150000 | 115849 |
| &nbsp;&nbsp; 6.48% 10/23/45 | 290000 | 267370 |
| &nbsp;&nbsp; 6.55% 6/1/34 | 120000 | 124578 |
| &nbsp;&nbsp; Paramount Global 4.20% <br> 6/1/29<br>| 788000 | 752474 |
| Time Warner Cable LLC |  |  |
| &nbsp;&nbsp; 6.55% 5/1/37 | 60000 | 60492 |
| &nbsp;&nbsp; 6.75% 6/15/39 | 5494000 | 5451536 |
| &nbsp;&nbsp; 7.30% 7/1/38 | 13600000 | 14230703 |
|  |  | **29652688** |
| **Mining–0.17%** | **Mining–0.17%** | **Mining–0.17%** |
| &nbsp;&nbsp; Anglo American Capital PLC <br> 5.00% 3/21/33<br>| 5125000 | 5046073 |
| Glencore Funding LLC |  |  |
| &nbsp;&nbsp; 3.88% 10/27/27 | 30000 | 29696 |
| &nbsp;&nbsp; 4.00% 3/27/27 | 130000 | 129428 |
| &nbsp;&nbsp; 5.51% 4/1/36 | 5200000 | 5211257 |
| &nbsp;&nbsp; 5.67% 4/1/35 | 480000 | 490366 |
| &nbsp;&nbsp; 6.14% 4/1/55 | 210000 | 211224 |
|  |  | **11118044** |
| **Miscellaneous Manufacturing–0.09%** | **Miscellaneous Manufacturing–0.09%** | **Miscellaneous Manufacturing–0.09%** |
| Eaton Corp. 4.50% 3/6/33 | 5510000 | 5434462 |
|  |  | **5434462** |

---

*LVIP Franklin Templeton Core Bond Fund–14*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Office Business Equipment–0.18%** | **Office Business Equipment–0.18%** | **Office Business Equipment–0.18%** |
| &nbsp;&nbsp; CDW LLC/CDW Finance Corp. <br> 3.28% 12/1/28<br>| 11949000 | $11479223 |
|  |  | **11479223** |
| **Oil & Gas–0.18%** | **Oil & Gas–0.18%** | **Oil & Gas–0.18%** |
| Ecopetrol SA 5.88% 5/28/45 | 970000 | 713756 |
| &nbsp;&nbsp; Hilcorp Energy I LP/Hilcorp <br> Finance Co. 6.00% 2/1/31<br>| 3306000 | 3213206 |
| &nbsp;&nbsp; KazMunayGas National Co. <br> JSC<br>|  |  |
| &nbsp;&nbsp; 5.38% 4/24/30 | 250000 | 252507 |
| &nbsp;&nbsp; 5.75% 4/19/47 | 794000 | 737399 |
| Occidental Petroleum Corp. |  |  |
| &nbsp;&nbsp; 3.00% 2/15/27 | 200000 | 197543 |
| &nbsp;&nbsp; 3.50% 8/15/29 | 120000 | 115012 |
| &nbsp;&nbsp; 4.20% 3/15/48 | 40000 | 30063 |
| &nbsp;&nbsp; 4.40% 4/15/46 | 90000 | 71169 |
| &nbsp;&nbsp; 4.50% 7/15/44 | 560000 | 440916 |
| &nbsp;&nbsp; Petroleos Mexicanos 6.75% <br> 9/21/47<br>| 4103000 | 3273846 |
| Viper Energy Partners LLC |  |  |
| &nbsp;&nbsp; 4.90% 8/1/30 | 1945000 | 1943716 |
| &nbsp;&nbsp; 5.70% 8/1/35 | 200000 | 201562 |
|  |  | **11190695** |
| **Oil & Gas Services–0.06%** | **Oil & Gas Services–0.06%** | **Oil & Gas Services–0.06%** |
| &nbsp;&nbsp; Guara Norte SARL 5.20% <br> 6/15/34<br>| 4171649 | 4043742 |
|  |  | **4043742** |
| **Packaging & Containers–0.05%** | **Packaging & Containers–0.05%** | **Packaging & Containers–0.05%** |
| &nbsp;&nbsp; AptarGroup, Inc. 4.75% <br> 3/30/31<br>| 3325000 | 3295281 |
|  |  | **3295281** |
| **Pharmaceuticals–0.98%** | **Pharmaceuticals–0.98%** | **Pharmaceuticals–0.98%** |
| AbbVie, Inc. |  |  |
| &nbsp;&nbsp; 2.95% 11/21/26 | 160000 | 158846 |
| &nbsp;&nbsp; 3.20% 11/21/29 | 1200000 | 1156879 |
| &nbsp;&nbsp; 4.25% 11/21/49 | 380000 | 308458 |
| &nbsp;&nbsp; 4.40% 3/15/33 | 3695000 | 3627299 |
| &nbsp;&nbsp; 4.55% 3/15/35 | 20000 | 19419 |
| &nbsp;&nbsp; 4.75% 3/15/36 | 1270000 | 1246021 |
| &nbsp;&nbsp; 4.80% 3/15/29 | 300000 | 304820 |
| &nbsp;&nbsp; 4.88% 11/14/48 | 30000 | 26901 |
| &nbsp;&nbsp; 4.95% 3/15/31 | 130000 | 132800 |
| &nbsp;&nbsp; 5.05% 3/15/34 | 180000 | 182692 |
| Bristol-Myers Squibb Co. |  |  |
| &nbsp;&nbsp; 5.10% 2/22/31 | 160000 | 164471 |
| &nbsp;&nbsp; 5.20% 2/22/34 | 450000 | 461344 |
| &nbsp;&nbsp; 5.55% 2/22/54 | 10000 | 9629 |
| CVS Health Corp. |  |  |
| &nbsp;&nbsp; 1.88% 2/28/31 | 2440000 | 2130294 |
| &nbsp;&nbsp; 2.13% 9/15/31 | 180000 | 156076 |
| &nbsp;&nbsp; 3.63% 4/1/27 | 70000 | 69399 |
| &nbsp;&nbsp; 3.75% 4/1/30 | 230000 | 222245 |
| &nbsp;&nbsp; 4.13% 4/1/40 | 30000 | 25042 |
| &nbsp;&nbsp; 4.30% 3/25/28 | 392000 | 390611 |
| &nbsp;&nbsp; 4.78% 3/25/38 | 3000000 | 2764613 |
| &nbsp;&nbsp; 5.13% 7/20/45 | 270000 | 236993 |
| &nbsp;&nbsp; 5.40% 6/1/29 | 3000000 | 3071189 |
| μ7.00% 3/10/55 | 6425000 | 6621528 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** |
| Merck & Co., Inc. |  |  |
| &nbsp;&nbsp; 1.45% 6/24/30 | 600000 | $534394 |
| &nbsp;&nbsp; 2.75% 12/10/51 | 50000 | 30412 |
| &nbsp;&nbsp; 4.45% 12/4/32 | 1745000 | 1733051 |
| &nbsp;&nbsp; 4.75% 12/4/35 | 2815000 | 2762183 |
| Novartis Capital Corp. |  |  |
| &nbsp;&nbsp; 4.10% 11/5/30 | 12440000 | 12301428 |
| &nbsp;&nbsp; 4.60% 3/18/33 | 3320000 | 3305892 |
| &nbsp;&nbsp; 4.90% 3/18/36 | 4095000 | 4085202 |
| &nbsp;&nbsp; 5.70% 3/18/56 | 2185000 | 2200588 |
| Pfizer, Inc. 1.70% 5/28/30 | 1030000 | 925979 |
| &nbsp;&nbsp; Teva Pharmaceutical Finance <br> Netherlands III BV 4.10% <br> 10/1/46<br>| 6850000 | 5077775 |
| Zoetis, Inc. 5.00% 8/17/35 | 6500000 | 6447092 |
|  |  | **62891565** |
| **Pipelines–1.39%** | **Pipelines–1.39%** | **Pipelines–1.39%** |
| Cheniere Energy Partners LP |  |  |
| &nbsp;&nbsp; 4.50% 10/1/29 | 3200000 | 3186003 |
| &nbsp;&nbsp; 5.55% 10/30/35 | 220000 | 224037 |
| &nbsp;&nbsp; Cheniere Energy, Inc. 5.20% <br> 7/30/36<br>| 1055000 | 1044223 |
| &nbsp;&nbsp; Columbia Pipelines Holding <br> Co. LLC 6.04% 8/15/28<br>| 220000 | 227149 |
| &nbsp;&nbsp; Columbia Pipelines Operating <br> Co. LLC 5.93% 8/15/30<br>| 3200000 | 3349457 |
| &nbsp;&nbsp; Eastern Energy Gas <br> Holdings LLC<br>|  |  |
| &nbsp;&nbsp; 5.65% 10/15/54 | 1700000 | 1601181 |
| &nbsp;&nbsp; 5.80% 1/15/35 | 4330000 | 4490449 |
| Energy Transfer LP |  |  |
| &nbsp;&nbsp; 3.75% 5/15/30 | 1240000 | 1198655 |
| &nbsp;&nbsp; 4.95% 6/15/28 | 80000 | 80808 |
| &nbsp;&nbsp; 5.25% 4/15/29 | 250000 | 254625 |
| &nbsp;&nbsp; 5.40% 10/1/47 | 210000 | 186606 |
| &nbsp;&nbsp; 5.50% 6/1/27 | 170000 | 171575 |
| &nbsp;&nbsp; 5.55% 5/15/34 | 210000 | 213836 |
| &nbsp;&nbsp; 6.10% 12/1/28 | 5955000 | 6189358 |
| &nbsp;&nbsp; 6.25% 4/15/49 | 410000 | 402098 |
| μ6.50% 11/15/26 | 14595000 | 14565713 |
| MPLX LP |  |  |
| &nbsp;&nbsp; 4.50% 4/15/38 | 230000 | 206684 |
| &nbsp;&nbsp; 4.80% 2/15/29 | 310000 | 312581 |
| &nbsp;&nbsp; 5.20% 3/1/47 | 100000 | 88349 |
| &nbsp;&nbsp; 5.20% 12/1/47 | 50000 | 43861 |
| ONEOK, Inc. |  |  |
| &nbsp;&nbsp; 5.05% 11/1/34 | 2703000 | 2629196 |
| &nbsp;&nbsp; 5.55% 11/1/26 | 100000 | 100580 |
| &nbsp;&nbsp; 5.70% 11/1/54 | 4421000 | 4033395 |
| &nbsp;&nbsp; 5.80% 11/1/30 | 160000 | 166521 |
| &nbsp;&nbsp; 6.63% 9/1/53 | 140000 | 143667 |
| &nbsp;&nbsp; South Bow USA <br> Infrastructure Holdings LLC <br> 5.03% 10/1/29<br>| 6800000 | 6843812 |
| Targa Resources Corp. |  |  |
| &nbsp;&nbsp; 4.35% 4/15/31 | 3225000 | 3157141 |
| &nbsp;&nbsp; 4.95% 4/15/52 | 70000 | 58520 |
| &nbsp;&nbsp; Targa Resources <br> Partners LP/Targa <br> Resources Partners Finance <br> Corp. 5.00% 1/15/28<br>| 10782000 | 10775695 |

---

*LVIP Franklin Templeton Core Bond Fund–15*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Pipelines (continued)** | **Pipelines (continued)** | **Pipelines (continued)** |
| &nbsp;&nbsp; Tennessee Gas Pipeline Co. <br> LLC 2.90% 3/1/30<br>| 12998000 | $12179181 |
| &nbsp;&nbsp; Transcontinental Gas Pipe <br> Line Co. LLC<br>|  |  |
| &nbsp;&nbsp; 3.25% 5/15/30 | 180000 | 171103 |
| &nbsp;&nbsp; 5.10% 3/15/36 | 3610000 | 3578133 |
| &nbsp;&nbsp; Venture Global Calcasieu <br> Pass LLC 3.88% 11/1/33<br>| 6969000 | 6175205 |
| Williams Cos., Inc. |  |  |
| &nbsp;&nbsp; 4.85% 3/1/48 | 50000 | 42657 |
| &nbsp;&nbsp; 4.90% 1/15/45 | 270000 | 236180 |
| &nbsp;&nbsp; 5.10% 9/15/45 | 190000 | 171850 |
| &nbsp;&nbsp; 5.15% 3/15/34 | 380000 | 380488 |
| &nbsp;&nbsp; 8.75% 3/15/32 | 120000 | 142514 |
|  |  | **89023086** |
| **Real Estate Investment Trusts–0.70%** | **Real Estate Investment Trusts–0.70%** | **Real Estate Investment Trusts–0.70%** |
| American Tower Corp. |  |  |
| &nbsp;&nbsp; 2.90% 1/15/30 | 8800000 | 8259485 |
| &nbsp;&nbsp; 4.70% 12/15/32 | 2190000 | 2151924 |
| &nbsp;&nbsp; 4.90% 3/15/30 | 980000 | 988849 |
| &nbsp;&nbsp; Crown Castle, Inc. 4.90% <br> 9/1/29<br>| 8800000 | 8848876 |
| &nbsp;&nbsp; Extra Space Storage LP 5.40% <br> 2/1/34<br>| 10576000 | 10662748 |
| VICI Properties LP |  |  |
| &nbsp;&nbsp; 4.95% 2/15/30 | 7877000 | 7864401 |
| &nbsp;&nbsp; 5.63% 4/1/35 | 3192000 | 3177104 |
| &nbsp;&nbsp; VICI Properties LP/VICI <br> Note Co., Inc. 4.63% 12/1/29<br>| 2690000 | 2644632 |
|  |  | **44598019** |
| **Retail–0.43%** | **Retail–0.43%** | **Retail–0.43%** |
| 7-Eleven, Inc. |  |  |
| &nbsp;&nbsp; 1.30% 2/10/28 | 6500000 | 6131275 |
| &nbsp;&nbsp; 1.80% 2/10/31 | 6500000 | 5626698 |
| Dick's Sporting Goods, Inc. |  |  |
| &nbsp;&nbsp; 3.15% 1/15/32 | 3200000 | 2908566 |
| &nbsp;&nbsp; 4.10% 1/15/52 | 3200000 | 2266526 |
| Home Depot, Inc. |  |  |
| &nbsp;&nbsp; 1.38% 3/15/31 | 260000 | 224653 |
| &nbsp;&nbsp; 2.50% 4/15/27 | 100000 | 98427 |
| &nbsp;&nbsp; 2.70% 4/15/30 | 150000 | 141115 |
| &nbsp;&nbsp; 3.25% 4/15/32 | 270000 | 252023 |
| &nbsp;&nbsp; 3.30% 4/15/40 | 160000 | 127832 |
| &nbsp;&nbsp; 3.35% 4/15/50 | 210000 | 144938 |
| &nbsp;&nbsp; 3.90% 6/15/47 | 30000 | 23195 |
| &nbsp;&nbsp; 4.88% 6/25/27 | 2379000 | 2401948 |
| &nbsp;&nbsp; 4.95% 6/25/34 | 6238000 | 6283161 |
| McDonald's Corp. |  |  |
| &nbsp;&nbsp; 2.13% 3/1/30 | 220000 | 202062 |
| &nbsp;&nbsp; 3.60% 7/1/30 | 140000 | 136027 |
| &nbsp;&nbsp; 3.63% 9/1/49 | 30000 | 21592 |
| &nbsp;&nbsp; 4.20% 4/1/50 | 160000 | 126104 |
| &nbsp;&nbsp; 4.88% 12/9/45 | 330000 | 294064 |
|  |  | **27410206** |
| **Semiconductors–0.72%** | **Semiconductors–0.72%** | **Semiconductors–0.72%** |
| Broadcom, Inc. |  |  |
| &nbsp;&nbsp; 3.14% 11/15/35 | 383000 | 325391 |
| &nbsp;&nbsp; 3.19% 11/15/36 | 8000 | 6685 |
| &nbsp;&nbsp; 4.15% 11/15/30 | 72000 | 70876 |
| &nbsp;&nbsp; 4.80% 2/15/36 | 220000 | 214486 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Semiconductors (continued)** | **Semiconductors (continued)** | **Semiconductors (continued)** |
| Broadcom, Inc. (continued) |  |  |
| &nbsp;&nbsp; 4.90% 7/15/32 | 3019000 | $3045385 |
| &nbsp;&nbsp; 4.93% 5/15/37 | 199000 | 193015 |
| &nbsp;&nbsp; 4.95% 1/15/36 | 3050000 | 3008064 |
| &nbsp;&nbsp; 5.05% 7/12/29 | 9289000 | 9481050 |
| &nbsp;&nbsp; 5.20% 7/15/35 | 3818000 | 3847774 |
| &nbsp;&nbsp; 5.70% 1/15/56 | 450000 | 447666 |
| Foundry JV Holdco LLC |  |  |
| &nbsp;&nbsp; 5.88% 1/25/34 | 300000 | 303749 |
| &nbsp;&nbsp; 5.90% 1/25/30 | 460000 | 476053 |
| &nbsp;&nbsp; 6.10% 1/25/36 | 7202000 | 7418950 |
| &nbsp;&nbsp; 6.15% 1/25/32 | 2230000 | 2328090 |
| &nbsp;&nbsp; 6.25% 1/25/35 | 4000000 | 4189537 |
| &nbsp;&nbsp; 6.40% 1/25/38 | 3335000 | 3476364 |
| Intel Corp. |  |  |
| &nbsp;&nbsp; 1.60% 8/12/28 | 120000 | 112442 |
| &nbsp;&nbsp; 3.05% 8/12/51 | 60000 | 36419 |
| &nbsp;&nbsp; 4.75% 3/25/50 | 200000 | 161822 |
| &nbsp;&nbsp; 5.13% 2/10/30 | 170000 | 172179 |
| &nbsp;&nbsp; Marvell Technology, Inc. <br> 4.75% 7/15/30<br>| 6500000 | 6522105 |
|  |  | **45838102** |
| **Software–0.82%** | **Software–0.82%** | **Software–0.82%** |
| MSCI, Inc. 3.63% 9/1/30 | 8800000 | 8317743 |
| Oracle Corp. |  |  |
| &nbsp;&nbsp; 2.95% 4/1/30 | 40000 | 36513 |
| &nbsp;&nbsp; 3.60% 4/1/50 | 90000 | 54335 |
| &nbsp;&nbsp; 4.45% 9/26/30 | 3530000 | 3401795 |
| &nbsp;&nbsp; 4.65% 5/6/30 | 170000 | 166148 |
| &nbsp;&nbsp; 4.80% 9/26/32 | 5015000 | 4776025 |
| &nbsp;&nbsp; 5.20% 9/26/35 | 130000 | 121939 |
| &nbsp;&nbsp; 5.38% 9/27/54 | 330000 | 255263 |
| &nbsp;&nbsp; 5.70% 2/4/36 | 6870000 | 6605425 |
| &nbsp;&nbsp; 5.88% 9/26/45 | 340000 | 293332 |
| &nbsp;&nbsp; 5.95% 9/26/55 | 270000 | 227143 |
| &nbsp;&nbsp; 6.70% 2/4/56 | 2170000 | 2013985 |
| Paychex, Inc. 5.10% 4/15/30 | 6500000 | 6558265 |
| Salesforce, Inc. 5.20% 3/15/33 | 6500000 | 6488900 |
| Synopsys, Inc. |  |  |
| &nbsp;&nbsp; 4.85% 4/1/30 | 160000 | 161177 |
| &nbsp;&nbsp; 5.00% 4/1/32 | 130000 | 131128 |
| &nbsp;&nbsp; 5.15% 4/1/35 | 8274000 | 8289820 |
| &nbsp;&nbsp; 5.70% 4/1/55 | 4398000 | 4204852 |
|  |  | **52103788** |
| **Telecommunications–2.09%** | **Telecommunications–2.09%** | **Telecommunications–2.09%** |
| AT&T, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 2/1/32 | 330000 | 288296 |
| &nbsp;&nbsp; 2.55% 12/1/33 | 340000 | 287721 |
| &nbsp;&nbsp; 3.50% 9/15/53 | 15749000 | 10327192 |
| &nbsp;&nbsp; 3.55% 9/15/55 | 408000 | 265348 |
| &nbsp;&nbsp; 3.65% 9/15/59 | 50000 | 32399 |
| &nbsp;&nbsp; 3.80% 12/1/57 | 60000 | 40516 |
| &nbsp;&nbsp; 4.35% 3/1/29 | 1300000 | 1301165 |
| &nbsp;&nbsp; 4.35% 6/15/45 | 58000 | 46788 |
| &nbsp;&nbsp; 5.13% 4/30/36 | 3195000 | 3156666 |
| &nbsp;&nbsp; 5.38% 8/15/35 | 3449000 | 3493790 |
| &nbsp;&nbsp; 6.05% 8/15/56 | 2781000 | 2738677 |
| &nbsp;&nbsp; 6.30% 1/15/38 | 4110000 | 4366279 |
| &nbsp;&nbsp; Cipher Compute LLC 7.13% <br> 11/15/30<br>| 14836000 | 15370526 |

---

*LVIP Franklin Templeton Core Bond Fund–16*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Telecommunications (continued)** | **Telecommunications (continued)** | **Telecommunications (continued)** |
| Motorola Solutions, Inc. |  |  |
| &nbsp;&nbsp; 2.30% 11/15/30 | 7000000 | $6309467 |
| &nbsp;&nbsp; 5.40% 4/15/34 | 1485000 | 1502810 |
| Rogers Communications, Inc. |  |  |
| &nbsp;&nbsp; 5.30% 2/15/34 | 10060000 | 10016186 |
| μ7.13% 4/15/55 | 5800000 | 5935071 |
| &nbsp;&nbsp; Sprint Capital Corp. 6.88% <br> 11/15/28<br>| 8800000 | 9304318 |
| &nbsp;&nbsp; SV RNO Property Owner 1 <br> LLC 5.88% 3/1/31<br>| 4335000 | 4285115 |
| T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 11/15/31 | 220000 | 193350 |
| &nbsp;&nbsp; 2.55% 2/15/31 | 130000 | 118133 |
| &nbsp;&nbsp; 2.63% 2/15/29 | 450000 | 428006 |
| &nbsp;&nbsp; 3.00% 2/15/41 | 6133000 | 4483994 |
| &nbsp;&nbsp; 3.30% 2/15/51 | 60000 | 39269 |
| &nbsp;&nbsp; 3.75% 4/15/27 | 12132000 | 12056900 |
| &nbsp;&nbsp; 3.88% 4/15/30 | 1910000 | 1860094 |
| &nbsp;&nbsp; 5.00% 2/15/36 | 6100000 | 6007985 |
| &nbsp;&nbsp; 5.13% 5/15/32 | 2471000 | 2506485 |
| &nbsp;&nbsp; 5.15% 4/15/34 | 190000 | 191391 |
| &nbsp;&nbsp; 5.75% 1/15/34 | 3046000 | 3176390 |
| &nbsp;&nbsp; 5.88% 11/15/55 | 7934000 | 7736881 |
| Verizon Communications, Inc. |  |  |
| &nbsp;&nbsp; 1.75% 1/20/31 | 840000 | 736442 |
| &nbsp;&nbsp; 2.55% 3/21/31 | 398000 | 361331 |
| &nbsp;&nbsp; 2.65% 11/20/40 | 100000 | 70191 |
| &nbsp;&nbsp; 3.15% 3/22/30 | 170000 | 161914 |
| &nbsp;&nbsp; 3.40% 3/22/41 | 60000 | 46069 |
| &nbsp;&nbsp; 3.85% 11/1/42 | 530000 | 422389 |
| &nbsp;&nbsp; 4.00% 3/22/50 | 210000 | 158569 |
| &nbsp;&nbsp; 4.40% 11/1/34 | 220000 | 209433 |
| &nbsp;&nbsp; 4.50% 8/10/33 | 840000 | 814744 |
| &nbsp;&nbsp; 4.75% 1/15/33 | 4945000 | 4883870 |
| &nbsp;&nbsp; 4.78% 2/15/35 | 296000 | 286495 |
| &nbsp;&nbsp; 4.86% 8/21/46 | 20000 | 17425 |
| &nbsp;&nbsp; 5.25% 4/2/35 | 5010000 | 5016178 |
| &nbsp;&nbsp; 5.25% 3/16/37 | 130000 | 128440 |
| &nbsp;&nbsp; 5.50% 3/16/47 | 30000 | 28204 |
| &nbsp;&nbsp; 5.88% 11/30/55 | 2240000 | 2178788 |
|  |  | **133387690** |
| **Transportation–0.06%** | **Transportation–0.06%** | **Transportation–0.06%** |
| &nbsp;&nbsp; Burlington Northern Santa <br> Fe LLC 5.55% 3/15/56<br>| 3195000 | 3097693 |
| Union Pacific Corp. |  |  |
| &nbsp;&nbsp; 2.15% 2/5/27 | 170000 | 167159 |
| &nbsp;&nbsp; 2.40% 2/5/30 | 160000 | 148816 |
| &nbsp;&nbsp; 3.75% 2/5/70 | 220000 | 146177 |
| &nbsp;&nbsp; 3.84% 3/20/60 | 90000 | 63665 |
|  |  | **3623510** |
| **Trucking & Leasing–0.10%** | **Trucking & Leasing–0.10%** | **Trucking & Leasing–0.10%** |
| &nbsp;&nbsp; SMBC Aviation Capital <br> Finance DAC 5.30% 4/3/29<br>| 6500000 | 6598911 |
|  |  | **6598911** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Water–0.07%** | **Water–0.07%** | **Water–0.07%** |
| &nbsp;&nbsp; Essential Utilities, Inc. 5.13% <br> 3/15/36<br>| 4220000 | $4161060 |
|  |  | **4161060** |
| **Total Corporate Bonds** <br>**(Cost $2,030,511,561)** | **Total Corporate Bonds** <br>**(Cost $2,030,511,561)** | **2005994517** |
| **MUNICIPAL BONDS–1.00%** | **MUNICIPAL BONDS–1.00%** | **MUNICIPAL BONDS–1.00%** |
| &nbsp;&nbsp; California Health Facilities <br> Financing Authority 4.19% <br> 6/1/37<br>| 7110000 | 6658072 |
| City of Orange 2.65% 6/1/34 | 3210000 | 2751988 |
| &nbsp;&nbsp; City of Pomona Series BJ <br> 3.72% 8/1/40<br>| 1960000 | 1689626 |
| &nbsp;&nbsp; ^County of Fresno Series A <br> 0.00% 8/15/32<br>| 4220000 | 3156925 |
| County of Tulare 4.45% 6/1/37 | 6125000 | 5842582 |
| &nbsp;&nbsp; Georgia Higher Education <br> Facilities Authority Series A <br> 5.27% 1/1/40<br>| 1515000 | 1517321 |
| &nbsp;&nbsp; JobsOhio Beverage System <br> Series A 2.83% 1/1/38<br>| 3900000 | 3294654 |
| &nbsp;&nbsp; New Jersey Transportation <br> Trust Fund Authority Series <br> B 6.56% 12/15/40<br>| 1300000 | 1437738 |
| &nbsp;&nbsp; New York City Transitional <br> Finance Authority Future <br> Tax Secured Revenue Series <br> F-2 4.66% 2/1/36<br>| 4755000 | 4707920 |
| &nbsp;&nbsp; Pennsylvania Economic <br> Development Financing <br> Authority 5.69% 6/1/54<br>| 4570000 | 4597966 |
| &nbsp;&nbsp; Redevelopment Authority of <br> the City of Philadelphia <br> Series A 5.00% 11/1/38<br>| 7145000 | 7060701 |
| &nbsp;&nbsp; State Board of Administration <br> Finance Corp. Series A <br> 5.53% 7/1/34<br>| 6250000 | 6549037 |
| &nbsp;&nbsp; State of California 4.35% <br> 11/1/32<br>| 8820000 | 8793685 |
| &nbsp;&nbsp; State of Illinois Series A <br> 4.95% 4/1/33<br>| 5890000 | 5978898 |
| **Total Municipal Bonds** <br>**(Cost $64,946,573)** | **Total Municipal Bonds** <br>**(Cost $64,946,573)** | **64037113** |
| **NON-AGENCY ASSET-BACKED SECURITIES–7.73%** | **NON-AGENCY ASSET-BACKED SECURITIES–7.73%** | **NON-AGENCY ASSET-BACKED SECURITIES–7.73%** |
| &nbsp;&nbsp; •AIMCO CLO 15 Ltd. Series <br> 2021-15A Class AR 4.87% (3 <br> mo. USD Term SOFR + <br> 1.20%) 4/17/38<br>| 1070000 | 1068436 |
| &nbsp;&nbsp; •Apex Credit CLO LLC Series <br> 2021-2A Class A1AR 4.85% <br> (3 mo. USD Term SOFR + <br> 1.18%) 10/20/34<br>| 28324000 | 28295534 |
| &nbsp;&nbsp; •Apidos Loan Fund Ltd. Series <br> 2024-1A Class A1R 4.92% (3 <br> mo. USD Term SOFR + <br> 1.25%) 10/25/38<br>| 1490000 | 1490000 |
| &nbsp;&nbsp; •ARES LXV CLO Ltd. Series <br> 2022-65A Class A1R 4.79% (3 <br> mo. USD Term SOFR + <br> 1.12%) 7/25/34<br>| 29000000 | 28956500 |

---

*LVIP Franklin Templeton Core Bond Fund–17*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; •ARES XLIV CLO Ltd. Series <br> 2017-44A Class A1RR 4.80% <br> (3 mo. USD Term SOFR + <br> 1.13%) 4/15/34<br>| 740000 | $739486 |
| Avis Budget Rental Car Funding AESOP LLC | Avis Budget Rental Car Funding AESOP LLC | Avis Budget Rental Car Funding AESOP LLC |
| &nbsp;&nbsp;&nbsp; Series 2024-1A Class A 5.36% <br> 6/20/30<br>| 500000 | 510984 |
| &nbsp;&nbsp;&nbsp; Series 2025-4A Class A 4.40% <br> 2/20/32<br>| 260000 | 256378 |
| &nbsp;&nbsp; •Battery Park CLO Ltd. Series <br> 2019-1A Class AR 5.07% (3 <br> mo. USD Term SOFR + <br> 1.40%) 7/15/36<br>| 370000 | 370288 |
| &nbsp;&nbsp; •Birch Grove CLO 4 Ltd. Series <br> 2022-4A Class A1R 5.15% (3 <br> mo. USD Term SOFR + <br> 1.48%) 7/15/37<br>| 410000 | 409817 |
| &nbsp;&nbsp; •Birch Grove CLO 8 Ltd. Series <br> 2024-8A Class A1 5.30% (3 <br> mo. USD Term SOFR + <br> 1.63%) 4/20/37<br>| 240000 | 240096 |
| &nbsp;&nbsp; •Black Diamond CLO Ltd. <br> Series 2024-1A Class A1 <br> 5.32% (3 mo. USD Term <br> SOFR + 1.65%) 10/25/37<br>| 1360000 | 1360942 |
| &nbsp;&nbsp; Blackbird Capital II Aircraft <br> Lease Ltd. Series 2021-1A <br> Class A 2.44% 7/15/46<br>| 178113 | 168859 |
| &nbsp;&nbsp; •BlueMountain CLO XXX Ltd. <br> Series 2020-30A Class AR2 <br> 4.82% (3 mo. USD Term <br> SOFR + 1.15%) 4/15/35<br>| 860000 | 858725 |
| &nbsp;&nbsp; •BRAVO Residential Funding <br> Trust Series 2025-HE1 <br> Class A1 5.01% (30 day USD <br> SOFR Average + 1.35%) <br> 9/25/72<br>| 6686314 | 6689198 |
| &nbsp;&nbsp; •Carlyle U.S. CLO Ltd. Series <br> 2020-2A Class A1R2 4.75% (3 <br> mo. USD Term SOFR + <br> 1.08%) 1/25/35<br>| 27000000 | 26932527 |
| &nbsp;&nbsp; •CarVal CLO XI C Ltd. Series <br> 2024-3A Class A1 5.06% (3 <br> mo. USD Term SOFR + <br> 1.39%) 10/20/37<br>| 970000 | 970516 |
| •CIFC Funding Ltd. | •CIFC Funding Ltd. | •CIFC Funding Ltd. |
| &nbsp;&nbsp;&nbsp; Series 2018-1A Class A1R <br> 4.99% (3 mo. USD Term <br> SOFR + 1.32%) 1/18/38<br>| 440000 | 440260 |
| &nbsp;&nbsp;&nbsp; Series 2021-7A Class AR <br> 4.76% (3 mo. USD Term <br> SOFR + 1.09%) 1/23/35<br>| 24382000 | 24338234 |
| &nbsp;&nbsp;&nbsp; Series 2022-4A Class BR <br> 5.22% (3 mo. USD Term <br> SOFR + 1.55%) 7/16/35<br>| 4700000 | 4676542 |
| &nbsp;&nbsp; CLI Funding IX LLC Series <br> 2024-1A Class A 5.63% <br> 7/20/49<br>| 600719 | 602544 |
| &nbsp;&nbsp; Diamond Infrastructure <br> Funding LLC Series 2021-1A <br> Class A 1.76% 4/15/49<br>| 24025000 | 23486319 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; DLLMT LLC Series 2024-1A <br> Class A4 4.98% 4/20/32<br>| 320000 | $324034 |
| Driven Brands Funding LLC | Driven Brands Funding LLC | Driven Brands Funding LLC |
| &nbsp;&nbsp;&nbsp; Series 2024-1A Class A2 <br> 6.37% 10/20/54<br>| 837250 | 772321 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A Class A2 <br> 5.30% 10/20/55<br>| 259350 | 232121 |
| &nbsp;&nbsp; •Elevation CLO Ltd. Series <br> 2025-18A Class A1 4.91% (3 <br> mo. USD Term SOFR + <br> 1.24%) 3/28/38<br>| 650000 | 648132 |
| &nbsp;&nbsp; •Elmwood CLO 16 Ltd. Series <br> 2022-3A Class BRR 5.13% (3 <br> mo. USD Term SOFR + <br> 1.45%) 4/20/37<br>| 5925000 | 5914904 |
| &nbsp;&nbsp; •Elmwood CLO 26 Ltd. Series <br> 2024-1A Class A1 5.17% (3 <br> mo. USD Term SOFR + <br> 1.50%) 4/18/37<br>| 200000 | 200000 |
| &nbsp;&nbsp; •Elmwood CLO I Ltd. Series <br> 2019-1A Class A1R3 4.78% (3 <br> mo. USD Term SOFR + <br> 1.12%) 4/20/37<br>| 670000 | 668662 |
| &nbsp;&nbsp; •Empower CLO Ltd. Series <br> 2024-1A Class A1 5.27% (3 <br> mo. USD Term SOFR + <br> 1.60%) 4/25/37<br>| 250000 | 250120 |
| FIGRE Trust | FIGRE Trust | FIGRE Trust |
| &nbsp;&nbsp;&nbsp; φSeries 2025-FL2 Class A1 <br> 5.05% 11/25/55<br>| 2226576 | 2213960 |
| &nbsp;&nbsp;&nbsp; •Series 2025-HE5 Class A <br> 5.29% 8/25/55<br>| 3372131 | 3362981 |
| Ford Credit Auto Owner Trust | Ford Credit Auto Owner Trust | Ford Credit Auto Owner Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-B Class A3 5.10% <br> 4/15/29<br>| 12330994 | 12426763 |
| &nbsp;&nbsp;&nbsp; •Series 2026-A Class A2B <br> 4.39% (30 day USD SOFR <br> Average + 0.43%) 1/15/29<br>| 3619000 | 3618994 |
| &nbsp;&nbsp; GGAM Master Trust <br> International Ltd. Series <br> 2025-1A Class A 5.92% <br> 9/30/60<br>| 381038 | 379665 |
| &nbsp;&nbsp; GM Financial Automobile <br> Leasing Trust Series 2024-1 <br> Class A3 5.09% 3/22/27<br>| 1741820 | 1742927 |
| &nbsp;&nbsp; GMF Floorplan Owner <br> Revolving Trust Series <br> 2024-1A Class A1 5.13% <br> 3/15/29<br>| 26486000 | 26717586 |
| &nbsp;&nbsp; GoodLeap Sustainable Home <br> Solutions Trust Series <br> 2022-1GS Class A 2.70% <br> 1/20/49<br>| 325890 | 280148 |
| &nbsp;&nbsp; φGS Mortgage-Backed <br> Securities Trust Series <br> 2025-CES2 Class A1 5.18% <br> 9/25/55<br>| 3496194 | 3484530 |
| &nbsp;&nbsp; •HalseyPoint CLO 3 Ltd. Series <br> 2020-3A Class A1R 5.15% (3 <br> mo. USD Term SOFR + <br> 1.48%) 7/30/37<br>| 510000 | 509764 |

---

*LVIP Franklin Templeton Core Bond Fund–18*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; Hardee's Funding LLC Series <br> 2021-1A Class A2 2.87% <br> 6/20/51<br>| 685800 | $641091 |
| Hertz Vehicle Financing III LLC | Hertz Vehicle Financing III LLC | Hertz Vehicle Financing III LLC |
| &nbsp;&nbsp;&nbsp; Series 2023-3A Class A 5.94% <br> 2/25/28<br>| 250000 | 252583 |
| &nbsp;&nbsp;&nbsp; Series 2023-4A Class A 6.15% <br> 3/25/30<br>| 400000 | 415832 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A Class A 4.91% <br> 9/25/29<br>| 780000 | 785792 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A Class A 5.13% <br> 9/25/31<br>| 780000 | 785940 |
| &nbsp;&nbsp; Huntington Bank Auto <br> Credit-Linked Notes Series <br> 2024-2 Class B1 5.44% <br> 10/20/32<br>| 609845 | 614565 |
| &nbsp;&nbsp; •Hyundai Auto Receivables <br> Trust Series 2026-A <br> Class A2B 4.01% (30 day <br> USD SOFR Average + 0.34%) <br> 2/15/29<br>| 3900000 | 3897041 |
| &nbsp;&nbsp; •KKR CLO 41 Ltd. Series <br> 2022-41A Class A1 5.00% (3 <br> mo. USD Term SOFR + <br> 1.33%) 4/15/35<br>| 5115000 | 5106305 |
| &nbsp;&nbsp; •KKR CLO 43 Ltd. Series <br> 2022-43A Class A2R2 5.12% <br> (3 mo. USD Term SOFR + <br> 1.45%) 4/15/38<br>| 9820000 | 9814491 |
| &nbsp;&nbsp; •LCM 39 Ltd. Series 39A <br> Class A2R2 4.96% (3 mo. <br> USD Term SOFR + 1.30%) <br> 10/15/34<br>| 2000000 | 1997446 |
| &nbsp;&nbsp; •Magnetite XXIX Ltd. Series <br> 2021-29A Class BR 5.42% (3 <br> mo. USD Term SOFR + <br> 1.75%) 7/15/37<br>| 690000 | 690429 |
| &nbsp;&nbsp; •Magnetite XXVII Ltd. Series <br> 2020-27A Class ARR 4.90% <br> (3 mo. USD Term SOFR + <br> 1.23%) 10/20/38<br>| 1060000 | 1058334 |
| &nbsp;&nbsp; MetroNet Infrastructure <br> Issuer LLC Series 2025-2A <br> Class A2 5.40% 8/20/55<br>| 740000 | 746350 |
| &nbsp;&nbsp; MMAF Equipment <br> Finance LLC Series 2024-A <br> Class A4 5.10% 7/13/49<br>| 520000 | 530339 |
| &nbsp;&nbsp; MVW LLC Series 2023-2A <br> Class A 6.18% 11/20/40<br>| 127204 | 130665 |
| &nbsp;&nbsp; •Navient Student Loan Trust <br> Series 2016-3A Class A3 <br> 5.13% (30 day USD SOFR <br> Average + 1.46%) 6/25/65<br>| 259876 | 263579 |
| &nbsp;&nbsp; •Neuberger Berman Loan <br> Advisers CLO 43Ltd. Series <br> 2021-43A Class AR 4.72% (3 <br> mo. USD Term SOFR + <br> 1.05%) 7/17/36<br>| 2000000 | 1998890 |
| •Neuberger Berman Loan Advisers CLO 48 Ltd. | •Neuberger Berman Loan Advisers CLO 48 Ltd. | •Neuberger Berman Loan Advisers CLO 48 Ltd. |
| &nbsp;&nbsp;&nbsp; Series 2022-48A Class A1R <br> 4.76% (3 mo. USD Term <br> SOFR + 1.09%) 4/25/36<br>| 29400000 | 29356929 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| •Neuberger Berman Loan Advisers CLO 48 Ltd. (continued) | •Neuberger Berman Loan Advisers CLO 48 Ltd. (continued) | •Neuberger Berman Loan Advisers CLO 48 Ltd. (continued) |
| &nbsp;&nbsp;&nbsp; Series 2022-48A Class A2R <br> 5.12% (3 mo. USD Term <br> SOFR + 1.45%) 4/25/36<br>| 2000000 | $1996038 |
| &nbsp;&nbsp; •Neuberger Berman Loan <br> Advisers CLO 51 Ltd. Series <br> 2022-51A Class BR2 5.07% (3 <br> mo. USD Term SOFR + <br> 1.40%) 10/23/36<br>| 6675000 | 6668786 |
| &nbsp;&nbsp; NMEF Funding LLC Series <br> 2025-A Class A2 4.72% <br> 7/15/32<br>| 663393 | 665222 |
| &nbsp;&nbsp; •Oaktree CLO Ltd. Series <br> 2024-25A Class A 5.22% (3 <br> mo. USD Term SOFR + <br> 1.55%) 4/20/37<br>| 750000 | 749978 |
| &nbsp;&nbsp; OCCU Auto Receivables Trust <br> Series 2025-1A Class D <br> 5.60% 11/15/34<br>| 750000 | 755309 |
| &nbsp;&nbsp; •Ocean Trails CLO X Series <br> 2020-10A Class AR2 4.97% (3 <br> mo. USD Term SOFR + <br> 1.30%) 10/15/34<br>| 690000 | 689155 |
| &nbsp;&nbsp; •Octagon Investment Partners <br> 51 Ltd. Series 2021-1A <br> Class AR 4.66% (3 mo. USD <br> Term SOFR + 0.99%) <br> 7/20/34<br>| 10047000 | 10020074 |
| &nbsp;&nbsp; •Palmer Square CLO Ltd. <br> Series 2021-1A Class A1AR <br> 4.82% (3 mo. USD Term <br> SOFR + 1.15%) 4/20/38<br>| 890000 | 886885 |
| •Parallel Ltd. | •Parallel Ltd. | •Parallel Ltd. |
| &nbsp;&nbsp;&nbsp; Series 2020-1A Class A1R <br> 5.15% (3 mo. USD Term <br> SOFR + 1.48%) 7/20/34<br>| 520000 | 519412 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A Class A1R <br> 5.06% (3 mo. USD Term <br> SOFR + 1.39%) 7/20/36<br>| 1070000 | 1071242 |
| •Park Blue CLO Ltd. | •Park Blue CLO Ltd. | •Park Blue CLO Ltd. |
| &nbsp;&nbsp;&nbsp; Series 2022-2A Class A1R <br> 5.09% (3 mo. USD Term <br> SOFR + 1.42%) 7/20/37<br>| 770000 | 769320 |
| &nbsp;&nbsp;&nbsp; Series 2024-5A Class A1 <br> 5.15% (3 mo. USD Term <br> SOFR + 1.48%) 7/25/37<br>| 620000 | 620476 |
| &nbsp;&nbsp; PK Alift Loan Funding 7 LP <br> Series 2025-2 Class A 4.75% <br> 3/15/43<br>| 2844600 | 2830547 |
| &nbsp;&nbsp; PK ALIFT Loan Funding 8 LP <br> Series 2026-1 Class A 4.61% <br> 9/15/43<br>| 5838000 | 5716359 |
| &nbsp;&nbsp; Porsche Innovative Lease <br> Owner Trust Series 2024-1A <br> Class A3 4.67% 11/22/27<br>| 16625540 | 16655890 |
| &nbsp;&nbsp; •Rockford Tower CLO Ltd. <br> Series 2021-2A Class A2R <br> 5.17% (3 mo. USD Term <br> SOFR + 1.50%) 7/20/34<br>| 2700000 | 2694938 |

---

*LVIP Franklin Templeton Core Bond Fund–19*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; •Sagard-Halseypoint CLO 8 <br> Ltd. Series 2024-8A Class A1 <br> 5.06% (3 mo. USD Term <br> SOFR + 1.39%) 1/30/38<br>| 460000 | $460424 |
| &nbsp;&nbsp; Santander Drive Auto <br> Receivables Trust Series <br> 2025-1 Class D 5.43% <br> 3/17/31<br>| 7078000 | 7153861 |
| &nbsp;&nbsp; SCF Equipment Leasing LLC <br> Series 2025-1A Class A3 <br> 5.11% 11/21/33<br>| 1030000 | 1047087 |
| &nbsp;&nbsp; •Signal Peak CLO 5 Ltd. Series <br> 2018-5A Class A1R 5.22% (3 <br> mo. USD Term SOFR + <br> 1.55%) 4/25/37<br>| 3653000 | 3653566 |
| &nbsp;&nbsp; •Silver Point CLO 8 Ltd. Series <br> 2025-8A Class A1 4.88% (3 <br> mo. USD Term SOFR + <br> 1.21%) 4/15/38<br>| 500000 | 499509 |
| &nbsp;&nbsp; SMB Private Education Loan <br> Trust Series 2024-E <br> Class A1A 5.09% 10/16/56<br>| 488259 | 491755 |
| &nbsp;&nbsp; •Sycamore Tree CLO Ltd. <br> Series 2025-6A Class A1 <br> 4.87% (3 mo. USD Term <br> SOFR + 1.20%) 4/20/38<br>| 800000 | 798055 |
| &nbsp;&nbsp; Taco Bell Funding LLC Series <br> 2025-1A Class A2I 4.82% <br> 8/25/55<br>| 1210000 | 1191410 |
| &nbsp;&nbsp; •TCW CLO Ltd. Series 2020-1A <br> Class A1R3 4.72% (3 mo. <br> USD Term SOFR + 1.05%) <br> 4/20/34<br>| 11225000 | 11208342 |
| &nbsp;&nbsp; •Towd Point Mortgage Trust <br> Series 2025-HE2 Class A1A <br> 5.01% (30 day USD SOFR <br> Average + 1.35%) 9/25/65<br>| 7187912 | 7180517 |
| &nbsp;&nbsp; Toyota Auto Receivables <br> Owner Trust Series 2024-B <br> Class A3 5.33% 1/16/29<br>| 21593726 | 21783541 |
| &nbsp;&nbsp; •Trestles CLO VII Ltd. Series <br> 2024-7A Class A1 5.05% (3 <br> mo. USD Term SOFR + <br> 1.38%) 10/25/37<br>| 650000 | 649689 |
| &nbsp;&nbsp; •Trinitas CLO XIV Ltd. Series <br> 2020-14A Class A1R2 4.77% <br> (3 mo. USD Term SOFR + <br> 1.10%) 1/25/34<br>| 29000000 | 28994838 |
| &nbsp;&nbsp; •Trinitas CLO XVI Ltd. Series <br> 2021-16A Class A1R 4.80% (3 <br> mo. USD Term SOFR + <br> 1.13%) 7/20/34<br>| 860000 | 859033 |
| &nbsp;&nbsp; •Trinitas CLO XVII Ltd. Series <br> 2021-17A Class B1R 5.32% (3 <br> mo. USD Term SOFR + <br> 1.65%) 10/20/34<br>| 14700000 | 14629528 |
| &nbsp;&nbsp; Triumph Rail Holdings LLC <br> Series 2021-2 Class A 2.15% <br> 6/19/51<br>| 396428 | 384125 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; •Venture 34 CLO Ltd. Series <br> 2018-34A Class AR 4.95% (3 <br> mo. USD Term SOFR + <br> 1.28%) 10/15/31<br>| 2344661 | $2345784 |
| &nbsp;&nbsp; •Venture 42 CLO Ltd. Series <br> 2021-42A Class A1A 5.06% (3 <br> mo. USD Term SOFR + <br> 1.39%) 4/15/34<br>| 13700000 | 13696575 |
| &nbsp;&nbsp; Verizon Master Trust Series <br> 2024-3 Class A1A 5.34% <br> 4/22/30<br>| 15527000 | 15731728 |
| &nbsp;&nbsp; Volkswagen Auto Lease Trust <br> Series 2024-A Class A3 5.21% <br> 6/21/27<br>| 27037084 | 27121159 |
| &nbsp;&nbsp; •Warwick Capital CLO 7 Ltd. <br> Series 2025-7A Class A1 <br> 5.25% (3 mo. USD Term <br> SOFR + 1.30%) 10/21/38<br>| 760000 | 759039 |
| &nbsp;&nbsp; •Wind River CLO Ltd. Series <br> 2021-1A Class A2R 5.37% (3 <br> mo. USD Term SOFR + <br> 1.70%) 7/20/37<br>| 3720000 | 3703744 |
| &nbsp;&nbsp; •Woodmont Trust Series <br> 2023-12A Class A1R 5.07% (3 <br> mo. USD Term SOFR + <br> 1.40%) 10/25/32<br>| 856522 | 856545 |
| **Total Non-Agency Asset-Backed Securities** <br>**(Cost $494,621,431)** | **Total Non-Agency Asset-Backed Securities** <br>**(Cost $494,621,431)** | **494205883** |
| **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–3.82%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–3.82%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–3.82%** |
| &nbsp;&nbsp; φA&D Mortgage Trust Series <br> 2024-NQM1 Class A1 6.20% <br> 2/25/69<br>| 4827788 | 4849524 |
| •Agate Bay Mortgage Trust | •Agate Bay Mortgage Trust | •Agate Bay Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2015-1 Class B1 3.61% <br> 1/25/45<br>| 308970 | 303635 |
| &nbsp;&nbsp;&nbsp; Series 2015-1 Class B2 3.61% <br> 1/25/45<br>| 191171 | 187871 |
| Angel Oak Mortgage Trust | Angel Oak Mortgage Trust | Angel Oak Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2021-7 Class A3 2.34% <br> 10/25/66<br>| 157526 | 138250 |
| &nbsp;&nbsp;&nbsp; Series 2022-3 Class A1 4.00% <br> 1/25/67<br>| 352179 | 339274 |
| &nbsp;&nbsp;&nbsp; φSeries 2025-1 Class A1 5.69% <br> 1/25/70<br>| 7522159 | 7560953 |
| φBRAVO Residential Funding Trust | φBRAVO Residential Funding Trust | φBRAVO Residential Funding Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM3 Class A1 <br> 6.19% 3/25/64<br>| 303323 | 304996 |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM5 Class A1 <br> 5.80% 6/25/64<br>| 161593 | 162252 |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM5 Class A3 <br> 6.16% 6/25/64<br>| 229960 | 230752 |
| &nbsp;&nbsp; •Cascade Funding Mortgage <br> Trust Series 2025-HB16 <br> Class A 3.00% 3/25/35<br>| 2090169 | 2055769 |
| •Chase Home Lending Mortgage Trust | •Chase Home Lending Mortgage Trust | •Chase Home Lending Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2025-10 Class A11 <br> 4.96% (30 day USD SOFR <br> Average + 1.30%) 7/25/56<br>| 4552439 | 4559852 |

---

*LVIP Franklin Templeton Core Bond Fund–20*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| •Chase Home Lending Mortgage Trust (continued) | •Chase Home Lending Mortgage Trust (continued) | •Chase Home Lending Mortgage Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2026-1 Class A11 <br> 4.76% (30 day USD SOFR <br> Average + 1.10%) 11/25/56<br>| 4942129 | $4901399 |
| &nbsp;&nbsp; •CIM Trust Series 2024-R1 <br> Class A1 4.75% 6/25/64<br>| 725411 | 720593 |
| &nbsp;&nbsp; •Citigroup Mortgage Loan <br> Trust, Inc. Series 2025-4 <br> Class A28 4.96% (30 day USD <br> SOFR Average + 1.30%) <br> 10/25/55<br>| 6869371 | 6880015 |
| &nbsp;&nbsp; φCOLT Mortgage Loan Trust <br> Series 2025-4 Class A1 5.79% <br> 4/25/70<br>| 6796048 | 6840215 |
| CSMC Trust | CSMC Trust | CSMC Trust |
| &nbsp;&nbsp;&nbsp; •Series 2020-RPL4 Class A1 <br> 2.00% 1/25/60<br>| 197948 | 179114 |
| &nbsp;&nbsp;&nbsp; •Series 2021-AFC1 Class A1 <br> 0.83% 3/25/56<br>| 171334 | 143367 |
| &nbsp;&nbsp;&nbsp; •Series 2021-AFC1 Class A3 <br> 1.17% 3/25/56<br>| 229743 | 193920 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM3 Class A3 <br> 1.63% 4/25/66<br>| 390504 | 350260 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM7 Class A1 <br> 1.76% 10/25/66<br>| 132516 | 117496 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM8 Class A1 <br> 2.84% 10/25/66<br>| 703444 | 642720 |
| &nbsp;&nbsp;&nbsp; Series 2021-RPL2 Class A1 <br> 2.00% 1/25/60<br>| 125736 | 111221 |
| &nbsp;&nbsp;&nbsp; •Series 2022-NQM1 Class A1 <br> 3.27% 11/25/66<br>| 735955 | 673434 |
| Deephaven Residential Mortgage Trust | Deephaven Residential Mortgage Trust | Deephaven Residential Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2022-1 Class A1 2.21% <br> 1/25/67<br>| 469929 | 432550 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-1 Class A1 5.74% <br> 7/25/69<br>| 5315266 | 5337656 |
| &nbsp;&nbsp; •EFMT Series 2025-NQM4 <br> Class A1F 4.86% (30 day <br> USD SOFR Average + 1.20%) <br> 9/25/70<br>| 18419210 | 18432824 |
| &nbsp;&nbsp; •Ellington Financial Mortgage <br> Trust Series 2021-2 Class A1 <br> 0.93% 6/25/66<br>| 193316 | 163041 |
| &nbsp;&nbsp; φGCAT Trust Series <br> 2020-NQM1 Class A3 3.55% <br> 1/25/60<br>| 292389 | 288162 |
| •GS Mortgage-Backed Securities Trust | •GS Mortgage-Backed Securities Trust | •GS Mortgage-Backed Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-PJ7 Class A2 <br> 2.50% 1/25/52<br>| 8584123 | 7116774 |
| &nbsp;&nbsp;&nbsp; Series 2025-PJ10 Class A27 <br> 5.01% (30 day USD SOFR <br> Average + 1.35%) 4/25/56<br>| 4230124 | 4236399 |
| &nbsp;&nbsp;&nbsp; Series 2025-PJ8 Class A27 <br> 4.96% (30 day USD SOFR <br> Average + 1.30%) 2/25/56<br>| 1846678 | 1849205 |
| JP Morgan Mortgage Trust | JP Morgan Mortgage Trust | JP Morgan Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2014-2 Class B1 3.35% <br> 6/25/29<br>| 588553 | 576665 |
| &nbsp;&nbsp;&nbsp; •Series 2014-2 Class B2 3.35% <br> 6/25/29<br>| 219277 | 214848 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| JP Morgan Mortgage Trust (continued) | JP Morgan Mortgage Trust (continued) | JP Morgan Mortgage Trust (continued) |
| &nbsp;&nbsp;&nbsp; •Series 2015-1 Class B2 5.01% <br> 12/25/44<br>| 702612 | $697015 |
| &nbsp;&nbsp;&nbsp; •Series 2015-4 Class B1 3.51% <br> 6/25/45<br>| 947559 | 883478 |
| &nbsp;&nbsp;&nbsp; •Series 2015-4 Class B2 3.51% <br> 6/25/45<br>| 742976 | 692730 |
| &nbsp;&nbsp;&nbsp; •Series 2015-5 Class B2 5.22% <br> 5/25/45<br>| 23178 | 22759 |
| &nbsp;&nbsp;&nbsp; •Series 2015-6 Class B1 3.51% <br> 10/25/45<br>| 615027 | 595938 |
| &nbsp;&nbsp;&nbsp; •Series 2015-6 Class B2 3.51% <br> 10/25/45<br>| 521101 | 504927 |
| &nbsp;&nbsp;&nbsp; •Series 2015-6 Class B3 3.51% <br> 10/25/45<br>| 856744 | 754566 |
| &nbsp;&nbsp;&nbsp; •Series 2016-4 Class B1 3.77% <br> 10/25/46<br>| 839354 | 795185 |
| &nbsp;&nbsp;&nbsp; •Series 2016-4 Class B2 3.77% <br> 10/25/46<br>| 1536899 | 1456021 |
| &nbsp;&nbsp;&nbsp; •Series 2017-1 Class B3 3.45% <br> 1/25/47<br>| 3013559 | 2753575 |
| &nbsp;&nbsp;&nbsp; •Series 2017-2 Class A3 3.50% <br> 5/25/47<br>| 254093 | 230202 |
| &nbsp;&nbsp;&nbsp; •Series 2017-5 Class A2 4.70% <br> 10/26/48<br>| 740647 | 737777 |
| &nbsp;&nbsp;&nbsp; •Series 2020-2 Class A3 3.50% <br> 7/25/50<br>| 335044 | 300572 |
| &nbsp;&nbsp;&nbsp; •Series 2020-7 Class A3 3.00% <br> 1/25/51<br>| 1536264 | 1328814 |
| &nbsp;&nbsp;&nbsp; •Series 2021-1 Class A3 2.50% <br> 6/25/51<br>| 2659727 | 2205080 |
| &nbsp;&nbsp;&nbsp; •Series 2021-10 Class A3 <br> 2.50% 12/25/51<br>| 5648343 | 4682830 |
| &nbsp;&nbsp;&nbsp; •Series 2021-11 Class A3 <br> 2.50% 1/25/52<br>| 9561618 | 7927179 |
| &nbsp;&nbsp;&nbsp; •Series 2021-12 Class A3 <br> 2.50% 2/25/52<br>| 12371043 | 10256368 |
| &nbsp;&nbsp;&nbsp; •Series 2021-13 Class A3 <br> 2.50% 4/25/52<br>| 12477384 | 10344531 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-VIS2 Class A1 <br> 5.85% 11/25/64<br>| 2045113 | 2057201 |
| &nbsp;&nbsp;&nbsp; φSeries 2025-NQM1 Class A3 <br> 5.97% 6/25/65<br>| 979070 | 982005 |
| &nbsp;&nbsp; •MFA Trust Series 2020-NQM1 <br> Class A3 3.30% 8/25/49<br>| 67996 | 66150 |
| &nbsp;&nbsp; φMill City Mortgage Loan Trust <br> Series 2023-NQM2 Class A1 <br> 6.24% 12/25/67<br>| 4088777 | 4079140 |
| •Morgan Stanley Residential Mortgage Loan Trust | •Morgan Stanley Residential Mortgage Loan Trust | •Morgan Stanley Residential Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-1 Class A2A <br> 2.50% 12/25/50<br>| 3702709 | 3087214 |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class A2 2.50% <br> 3/25/51<br>| 2600298 | 2155810 |
| &nbsp;&nbsp;&nbsp; Series 2021-4 Class A3 2.50% <br> 7/25/51<br>| 2683507 | 2224795 |
| &nbsp;&nbsp;&nbsp; Series 2021-5 Class A3 2.50% <br> 8/25/51<br>| 8531826 | 7073417 |
| &nbsp;&nbsp;&nbsp; Series 2024-INV2 Class A1 <br> 6.50% 2/25/54<br>| 414532 | 420442 |

---

*LVIP Franklin Templeton Core Bond Fund–21*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| •Morgan Stanley Residential Mortgage Loan Trust (continued) | •Morgan Stanley Residential Mortgage Loan Trust (continued) | •Morgan Stanley Residential Mortgage Loan Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2026-INV1 Class A9 <br> 4.81% (30 day USD SOFR <br> Average + 1.15%) 2/25/61<br>| 11154698 | $11087581 |
| •New Residential Mortgage Loan Trust | •New Residential Mortgage Loan Trust | •New Residential Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2014-2A Class A3 <br> 3.75% 5/25/54<br>| 124928 | 119791 |
| &nbsp;&nbsp;&nbsp; Series 2015-2A Class A1 <br> 3.75% 8/25/55<br>| 414017 | 401824 |
| &nbsp;&nbsp;&nbsp; Series 2015-2A Class A2 <br> 3.75% 8/25/55<br>| 235661 | 227762 |
| &nbsp;&nbsp;&nbsp; Series 2016-3A Class A1B <br> 3.25% 9/25/56<br>| 133718 | 126124 |
| &nbsp;&nbsp;&nbsp; Series 2017-2A Class B2 <br> 4.75% 3/25/57<br>| 274150 | 273112 |
| &nbsp;&nbsp;&nbsp; Series 2017-4A Class A1 <br> 4.00% 5/25/57<br>| 312589 | 302421 |
| &nbsp;&nbsp;&nbsp; Series 2017-6A Class A1 <br> 4.00% 8/27/57<br>| 677789 | 655794 |
| &nbsp;&nbsp;&nbsp; Series 2018-RPL1 Class A1 <br> 3.50% 12/25/57<br>| 442924 | 430835 |
| &nbsp;&nbsp;&nbsp; Series 2022-NQM2 Class A1 <br> 3.85% 3/27/62<br>| 735388 | 692574 |
| OBX Trust | OBX Trust | OBX Trust |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM2 Class A1 <br> 1.10% 5/25/61<br>| 139320 | 114934 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM3 Class A1 <br> 1.05% 7/25/61<br>| 199232 | 166364 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM4 Class A1 <br> 1.96% 10/25/61<br>| 455467 | 389418 |
| &nbsp;&nbsp;&nbsp; •Series 2022-NQM1 Class A1 <br> 2.31% 11/25/61<br>| 689306 | 619405 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-NQM1 Class A1 <br> 5.93% 11/25/63<br>| 612412 | 613728 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-NQM11 Class A1 <br> 5.88% 6/25/64<br>| 154381 | 155218 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-NQM17 Class A3 <br> 6.02% 11/25/64<br>| 700694 | 702778 |
| &nbsp;&nbsp;&nbsp; •Series 2025-J2 Class AF <br> 4.96% (30 day USD SOFR <br> Average + 1.30%) 9/25/55<br>| 9402252 | 9416832 |
| &nbsp;&nbsp;&nbsp; φSeries 2025-NQM4 Class A3 <br> 5.76% 2/25/55<br>| 794363 | 794419 |
| &nbsp;&nbsp; •PMT Loan Trust Series <br> 2025-J2 Class A11 5.01% (30 <br> day USD SOFR Average + <br> 1.35%) 8/25/56<br>| 1171448 | 1173316 |
| PRKCM Trust | PRKCM Trust | PRKCM Trust |
| &nbsp;&nbsp;&nbsp; •Series 2021-AFC2 Class A1 <br> 2.07% 11/25/56<br>| 199010 | 176255 |
| &nbsp;&nbsp;&nbsp; φSeries 2024-HOME1 Class A1 <br> 6.43% 5/25/59<br>| 403506 | 407159 |
| &nbsp;&nbsp; φPRPM LLC Series 2024-RCF1 <br> Class A1 4.00% 1/25/54<br>| 178644 | 176329 |
| &nbsp;&nbsp; •Radian Mortgage Capital <br> Trust Series 2025-J3 <br> Class A25 5.16% (30 day USD <br> SOFR Average + 1.50%) <br> 12/25/55<br>| 4767311 | 4783891 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| •RCKT Mortgage Trust | •RCKT Mortgage Trust | •RCKT Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class A1 2.50% <br> 3/25/51<br>| 2692194 | $2231997 |
| &nbsp;&nbsp;&nbsp; Series 2021-6 Class A1 2.50% <br> 12/25/51<br>| 5714301 | 4737513 |
| &nbsp;&nbsp;&nbsp; Series 2024-INV1 Class A1 <br> 6.50% 6/25/54<br>| 211368 | 216231 |
| •Sequoia Mortgage Trust | •Sequoia Mortgage Trust | •Sequoia Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2013-4 Class B2 3.43% <br> 4/25/43<br>| 262892 | 254553 |
| &nbsp;&nbsp;&nbsp; Series 2015-1 Class B2 3.93% <br> 1/25/45<br>| 441998 | 431119 |
| &nbsp;&nbsp;&nbsp; Series 2020-4 Class A2 2.50% <br> 11/25/50<br>| 2223783 | 1850394 |
| &nbsp;&nbsp;&nbsp; Series 2026-2 Class A26F <br> 4.81% (30 day USD SOFR <br> Average + 1.15%) 3/25/56<br>| 12847750 | 12767724 |
| &nbsp;&nbsp; •SG Residential Mortgage <br> Trust Series 2022-1 Class A1 <br> 3.17% 3/27/62<br>| 712182 | 676006 |
| &nbsp;&nbsp; •Station Place Securitization <br> Trust Series 2025-7 Class A <br> 4.58% (1 mo. USD Term <br> SOFR + 0.90%) 11/24/26<br>| 21115000 | 21110836 |
| &nbsp;&nbsp; •Structured Agency Credit <br> Risk Series 2026-DNA1 <br> Class M1 4.66% (30 day USD <br> SOFR Average + 1.00%) <br> 2/25/46<br>| 11666871 | 11630610 |
| •Towd Point Mortgage Trust | •Towd Point Mortgage Trust | •Towd Point Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2018-1 Class A1 3.00% <br> 1/25/58<br>| 64831 | 64488 |
| &nbsp;&nbsp;&nbsp; Series 2019-HY2 Class M2 <br> 5.69% (1 mo. USD Term <br> SOFR + 2.01%) 5/25/58<br>| 300000 | 303913 |
| Verus Securitization Trust | Verus Securitization Trust | Verus Securitization Trust |
| &nbsp;&nbsp;&nbsp; φSeries 2024-6 Class A3 6.15% <br> 7/25/69<br>| 157476 | 158174 |
| &nbsp;&nbsp;&nbsp; φSeries 2025-1 Class A3 5.98% <br> 1/25/70<br>| 264291 | 265176 |
| &nbsp;&nbsp;&nbsp; •Series 2026-2 Class A1F <br> 4.81% (30 day USD SOFR <br> Average + 1.15%) 2/25/71<br>| 2533776 | 2533770 |
| &nbsp;&nbsp; •Wells Fargo Mortgage-Backed <br> Securities Trust Series <br> 2020-1 Class A1 3.00% <br> 12/25/49<br>| 528674 | 458441 |
| **Total Non-Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $260,763,853)** | **Total Non-Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $260,763,853)** | **244109536** |
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–6.84%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–6.84%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–6.84%** |
| &nbsp;&nbsp; •Arbor Realty Commercial <br> Real Estate Notes Ltd. <br> Series 2022-FL1 Class A <br> 5.12% (30 day USD SOFR <br> Average + 1.45%) 1/15/37<br>| 169521 | 169521 |

---

*LVIP Franklin Templeton Core Bond Fund–22*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| &nbsp;&nbsp; •AREIT Trust Series <br> 2022-CRE6 Class A 4.92% <br> (30 day USD SOFR Average <br> + 1.25%) 1/20/37<br>| 225088 | $224919 |
| Bank | Bank | Bank |
| &nbsp;&nbsp;&nbsp; •Series 2017-BNK5 Class B <br> 3.90% 6/15/60<br>| 3731000 | 3636660 |
| &nbsp;&nbsp;&nbsp; Series 2019-BN20 Class A3 <br> 3.01% 9/15/62<br>| 5625000 | 5305083 |
| &nbsp;&nbsp;&nbsp; Series 2020-BN25 Class A5 <br> 2.65% 1/15/63<br>| 21533000 | 19874602 |
| &nbsp;&nbsp;&nbsp; •Series 2022-BNK40 Class B <br> 3.39% 3/15/64<br>| 8083000 | 7174312 |
| Bank5 | Bank5 | Bank5 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-5YR17 Class XA <br> 1.19% 11/15/58<br>| 57474024 | 2637862 |
| &nbsp;&nbsp;&nbsp; •Series 2025-5YR19 Class XA <br> 1.13% 12/15/58<br>| 93016931 | 4370159 |
| &nbsp;&nbsp;&nbsp; \*•Series 2026-5YR21 Class XA <br> 0.78% 4/15/59<br>| 110000000 | 3871758 |
| BBCMS Mortgage Trust | BBCMS Mortgage Trust | BBCMS Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-C7 Class A5 <br> 2.04% 4/15/53<br>| 16970000 | 15232644 |
| &nbsp;&nbsp;&nbsp; Series 2025-5C34 Class A3 <br> 5.66% 5/15/58<br>| 400000 | 413628 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-5C37 Class XA <br> 1.66% 9/15/58<br>| 76764711 | 4786932 |
| &nbsp;&nbsp;&nbsp; •Series 2025-C39 Class XA <br> 0.92% 12/15/58<br>| 129442325 | 8508153 |
| Benchmark Mortgage Trust | Benchmark Mortgage Trust | Benchmark Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2018-B1 Class A5 <br> 3.67% 1/15/51<br>| 1220000 | 1201330 |
| &nbsp;&nbsp;&nbsp; Series 2019-B12 Class A2 <br> 3.00% 8/15/52<br>| 13237689 | 12729338 |
| &nbsp;&nbsp;&nbsp; Series 2020-B17 Class A5 <br> 2.29% 3/15/53<br>| 21463000 | 19371643 |
| &nbsp;&nbsp;&nbsp; Series 2020-B19 Class A5 <br> 1.85% 9/15/53<br>| 13748000 | 12197906 |
| &nbsp;&nbsp;&nbsp; Series 2020-B20 Class A5 <br> 2.03% 10/15/53<br>| 20185000 | 17779812 |
| &nbsp;&nbsp;&nbsp; Series 2020-B22 Class A5 <br> 1.97% 1/15/54<br>| 22240000 | 19496747 |
| &nbsp;&nbsp;&nbsp; Series 2021-B24 Class A5 <br> 2.58% 3/15/54<br>| 6059000 | 5416866 |
| &nbsp;&nbsp;&nbsp; Series 2021-B25 Class A5 <br> 2.58% 4/15/54<br>| 12905000 | 11517247 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B32 Class B <br> 3.20% 1/15/55<br>| 8220000 | 6909606 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B32 Class C <br> 3.45% 1/15/55<br>| 7047000 | 5348579 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B33 Class B <br> 3.61% 3/15/55<br>| 4064000 | 3543846 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B33 Class C <br> 3.61% 3/15/55<br>| 4064000 | 3243052 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B34 Class A5 <br> 3.79% 4/15/55<br>| 4325866 | 3983355 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B35 Class A5 <br> 4.44% 5/15/55<br>| 13924000 | 13420329 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B36 Class A5 <br> 4.47% 7/15/55<br>| 7284000 | 7045624 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| Benchmark Mortgage Trust (continued) | Benchmark Mortgage Trust (continued) | Benchmark Mortgage Trust (continued) |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-V17 Class XA <br> 1.51% 9/15/58<br>| 63769000 | $3705648 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-V18 Class XA <br> 1.26% 10/15/58<br>| 52491975 | 2628273 |
| &nbsp;&nbsp;&nbsp; \*•Series 2026-V20 Class XA <br> 1.22% 2/15/59<br>| 68570332 | 3574688 |
| &nbsp;&nbsp;&nbsp; Series 2026-V21 Class AS <br> 5.51% 3/15/31<br>| 11797000 | 12024277 |
| &nbsp;&nbsp;&nbsp; \*•Series 2026-V21 Class XA <br> 1.65% 11/15/30<br>| 58879000 | 3701028 |
| BMO Mortgage Trust | BMO Mortgage Trust | BMO Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2022-C1 Class A5 <br> 3.37% 2/15/55<br>| 3247000 | 3000067 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-5C12 Class XA <br> 1.44% 10/15/58<br>| 50535694 | 2863160 |
| &nbsp;&nbsp; •BMP Trust Series 2024-MF23 <br> Class A 5.04% (1 mo. USD <br> Term SOFR + 1.37%) <br> 6/15/41<br>| 1000000 | 999376 |
| &nbsp;&nbsp; •BX Commercial Mortgage <br> Trust Series 2024-XL5 <br> Class A 5.06% (1 mo. USD <br> Term SOFR + 1.39%) <br> 3/15/41<br>| 238401 | 238476 |
| BX Trust | BX Trust | BX Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-OC11 Class A <br> 3.20% 12/9/41<br>| 270000 | 254608 |
| &nbsp;&nbsp;&nbsp; •Series 2021-BXMF Class A <br> 4.42% (1 mo. USD Term <br> SOFR + 0.75%) 10/15/26<br>| 451222 | 450658 |
| &nbsp;&nbsp;&nbsp; •Series 2022-LBA6 Class A <br> 4.67% (1 mo. USD Term <br> SOFR + 1.00%) 1/15/39<br>| 530000 | 529669 |
| &nbsp;&nbsp;&nbsp; •Series 2024-PALM Class A <br> 5.21% (1 mo. USD Term <br> SOFR + 1.54%) 6/15/37<br>| 216346 | 216211 |
| &nbsp;&nbsp;&nbsp; •Series 2024-VLT4 Class B <br> 5.61% (1 mo. USD Term <br> SOFR + 1.94%) 6/15/41<br>| 750000 | 745312 |
| &nbsp;&nbsp;&nbsp; •Series 2025-ARIA Class B <br> 5.18% 12/13/42<br>| 6398000 | 6366228 |
| &nbsp;&nbsp;&nbsp; •Series 2025-VOLT Class A <br> 5.37% (1 mo. USD Term <br> SOFR + 1.70%) 12/15/44<br>| 3921000 | 3908750 |
| Cantor Commercial Real Estate Lending | Cantor Commercial Real Estate Lending | Cantor Commercial Real Estate Lending |
| &nbsp;&nbsp;&nbsp; Series 2019-CF2 Class A5 <br> 2.87% 11/15/52<br>| 5434000 | 5114645 |
| &nbsp;&nbsp;&nbsp; Series 2019-CF3 Class A4 <br> 3.01% 1/15/53<br>| 12010000 | 11276116 |
| CD Mortgage Trust | CD Mortgage Trust | CD Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-CD1 Class A4 <br> 2.72% 8/10/49<br>| 610000 | 601647 |
| &nbsp;&nbsp;&nbsp; Series 2016-CD2 Class A3 <br> 3.25% 11/10/49<br>| 7380526 | 7347391 |
| &nbsp;&nbsp;&nbsp; •Series 2017-CD6 Class B <br> 3.91% 11/13/50<br>| 2760000 | 2632200 |
| &nbsp;&nbsp; CFCRE Commercial Mortgage <br> Trust Series 2016-C7 <br> Class A3 3.84% 12/10/54<br>| 6475000 | 6434207 |

---

*LVIP Franklin Templeton Core Bond Fund–23*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-C3 Class A4 <br> 3.15% 11/15/49<br>| 8064458 | $7997441 |
| &nbsp;&nbsp;&nbsp; Series 2016-P6 Class A4 <br> 3.46% 12/10/49<br>| 88681 | 88261 |
| &nbsp;&nbsp;&nbsp; Series 2017-C4 Class A4 <br> 3.47% 10/12/50<br>| 17298000 | 17036411 |
| &nbsp;&nbsp;&nbsp; Series 2019-C7 Class A4 <br> 3.10% 12/15/72<br>| 10872000 | 10269272 |
| &nbsp;&nbsp;&nbsp; Series 2020-555 Class A <br> 2.65% 12/10/41<br>| 6119000 | 5554312 |
| DB-JPM Mortgage Trust | DB-JPM Mortgage Trust | DB-JPM Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-C1 Class A4 <br> 3.28% 5/10/49<br>| 665365 | 663532 |
| &nbsp;&nbsp;&nbsp; Series 2020-C9 Class A5 <br> 1.93% 8/15/53<br>| 10275000 | 9165253 |
| &nbsp;&nbsp;&nbsp; Series 2020-C9 Class B 2.57% <br> 8/15/53<br>| 2968000 | 2546994 |
| &nbsp;&nbsp; Grace Trust Series <br> 2020-GRCE Class A 2.35% <br> 12/10/40<br>| 8503000 | 7586576 |
| &nbsp;&nbsp; •Greystone CRE Notes LLC <br> Series 2025-FL4 Class A <br> 5.15% (1 mo. USD Term <br> SOFR + 1.48%) 1/15/43<br>| 1240000 | 1239613 |
| GS Mortgage Securities Trust | GS Mortgage Securities Trust | GS Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; •Series 2018-GS9 Class B <br> 4.32% 3/10/51<br>| 2875000 | 2673860 |
| &nbsp;&nbsp;&nbsp; Series 2019-GC39 Class A4 <br> 3.57% 5/10/52<br>| 2200000 | 2094838 |
| JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2013-LC11 Class B <br> 3.50% 4/15/46<br>| 248238 | 240520 |
| &nbsp;&nbsp;&nbsp; Series 2015-JP1 Class A5 <br> 3.91% 1/15/49<br>| 750148 | 741662 |
| &nbsp;&nbsp;&nbsp; Series 2016-JP2 Class A4 <br> 2.82% 8/15/49<br>| 7906600 | 7876626 |
| JPM-DB Commercial Mortgage Securities Trust | JPM-DB Commercial Mortgage Securities Trust | JPM-DB Commercial Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-C2 Class A4 <br> 3.14% 6/15/49<br>| 6350300 | 6256498 |
| &nbsp;&nbsp;&nbsp; Series 2016-C4 Class A3 <br> 3.14% 12/15/49<br>| 6530000 | 6457124 |
| &nbsp;&nbsp;&nbsp; Series 2017-C7 Class A5 <br> 3.41% 10/15/50<br>| 3854000 | 3790031 |
| &nbsp;&nbsp; •MF1 LLC Series 2025-FL19 <br> Class A 5.17% (1 mo. USD <br> Term SOFR + 1.49%) <br> 5/18/42<br>| 1330000 | 1331926 |
| &nbsp;&nbsp; Morgan Stanley Bank of <br> America Merrill Lynch Trust <br> Series 2016-C29 Class A4 <br> 3.33% 5/15/49<br>| 28291 | 28114 |
| &nbsp;&nbsp; Morgan Stanley Capital I <br> Trust Series 2019-L3 <br> Class A4 3.13% 11/15/52<br>| 5845000 | 5528472 |
| &nbsp;&nbsp; •MSWF Commercial Mortgage <br> Trust Series 2023-2 Class A5 <br> 6.01% 12/15/56<br>| 540000 | 570818 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| &nbsp;&nbsp; •MTN Commercial Mortgage <br> Trust Series 2022-LPFL <br> Class A 5.08% (1 mo. USD <br> Term SOFR + 1.40%) <br> 3/15/39<br>| 320000 | $319800 |
| &nbsp;&nbsp; •NJ Trust Series 2023-GSP <br> Class A 6.48% 1/6/29<br>| 420000 | 434804 |
| &nbsp;&nbsp; •NYCT Trust Series 2024-3ELV <br> Class A 5.66% (1 mo. USD <br> Term SOFR + 1.99%) <br> 8/15/29<br>| 310000 | 310000 |
| &nbsp;&nbsp; One Bryant Park Trust Series <br> 2019-OBP Class A 2.52% <br> 9/15/54<br>| 7464000 | 6882955 |
| &nbsp;&nbsp; •PFP Ltd. Series 2024-11 <br> Class A 5.50% (1 mo. USD <br> Term SOFR + 1.83%) <br> 9/17/39<br>| 113249 | 113428 |
| &nbsp;&nbsp; •SDR Commercial Mortgage <br> Trust Series 2024-DSNY <br> Class A 5.06% (1 mo. USD <br> Term SOFR + 1.39%) <br> 5/15/39<br>| 6348000 | 6328162 |
| &nbsp;&nbsp; •SHRN Trust Series 2025-MF18 <br> Class A 4.87% (1 mo. USD <br> Term SOFR + 1.20%) <br> 10/15/40<br>| 8967000 | 8944585 |
| &nbsp;&nbsp; •SMRT Commercial Mortgage <br> Trust Series 2022-MINI <br> Class A 4.67% (1 mo. USD <br> Term SOFR + 1.00%) <br> 1/15/39<br>| 540000 | 539662 |
| &nbsp;&nbsp; VLS Commercial Mortgage <br> Trust Series 2020-LAB <br> Class A 2.13% 10/10/42<br>| 480000 | 407927 |
| &nbsp;&nbsp; VNDO Trust Series 2016-350P <br> Class A 3.81% 1/10/35<br>| 1080000 | 1078201 |
| Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-BNK1 Class A3 <br> 2.65% 8/15/49<br>| 7211000 | 7170673 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-BNK1 Class XA <br> 1.82% 8/15/49<br>| 2483642 | 7923 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-C36 Class XA <br> 1.13% 11/15/59<br>| 6934554 | 12299 |
| &nbsp;&nbsp;&nbsp; Series 2020-C58 Class A4 <br> 2.09% 7/15/53<br>| 2991000 | 2660462 |
| &nbsp;&nbsp;&nbsp; Series 2024-C63 Class A5 <br> 5.31% 8/15/57<br>| 350000 | 355312 |
| &nbsp;&nbsp;&nbsp; \*•Series 2025-5C6 Class XA <br> 1.37% 10/15/58<br>| 76003345 | 3964904 |
| **Total Non-Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $471,036,647)** | **Total Non-Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $471,036,647)** | **437293399** |
| **ΔSOVEREIGN BONDS–0.06%** | **ΔSOVEREIGN BONDS–0.06%** | **ΔSOVEREIGN BONDS–0.06%** |
| **Chile—0.00%** | **Chile—0.00%** | **Chile—0.00%** |
| &nbsp;&nbsp; Chile Government <br> International Bonds 3.10% <br> 1/22/61<br>| 290000 | 178437 |
|  |  | **178437** |

---

*LVIP Franklin Templeton Core Bond Fund–24*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** |
| **Israel—0.01%** | **Israel—0.01%** | **Israel—0.01%** |
| &nbsp;&nbsp; Israel Government <br> International Bonds 3.25% <br> 1/17/28<br>| 400000 | $389659 |
|  |  | **389659** |
| **Mexico—0.03%** | **Mexico—0.03%** | **Mexico—0.03%** |
| &nbsp;&nbsp; Mexico Government <br> International Bonds 3.50% <br> 2/12/34<br>| 2010000 | 1711515 |
|  |  | **1711515** |
| **Peru—0.02%** | **Peru—0.02%** | **Peru—0.02%** |
| Peru Government International Bonds | Peru Government International Bonds | Peru Government International Bonds |
| &nbsp;&nbsp; 3.30% 3/11/41 | 70000 | 52738 |
| &nbsp;&nbsp; 3.55% 3/10/51 | 160000 | 108248 |
| &nbsp;&nbsp; 5.50% 3/30/36 | 1250000 | 1245500 |
|  |  | **1406486** |
| **Uruguay—0.00%** | **Uruguay—0.00%** | **Uruguay—0.00%** |
| &nbsp;&nbsp; Uruguay Government <br> International Bonds 7.63% <br> 3/21/36<br>| 80000 | 94052 |
|  |  | **94052** |
| **Total Sovereign Bonds** <br>**(Cost $3,956,785)** | **Total Sovereign Bonds** <br>**(Cost $3,956,785)** | **3780149** |
| **SUPRANATIONAL BANKS–0.21%** | **SUPRANATIONAL BANKS–0.21%** | **SUPRANATIONAL BANKS–0.21%** |
| &nbsp;&nbsp; Africa Finance Corp. 5.55% <br> 10/8/29<br>| 5393000 | 5423535 |
| &nbsp;&nbsp; μAfrican Development Bank <br> 5.75% 5/7/34<br>| 5914000 | 5760291 |
| &nbsp;&nbsp; μCorp. Andina de Fomento <br> 6.75% 6/17/30<br>| 2384000 | 2437640 |
| **Total Supranational Banks** <br>**(Cost $13,528,616)** | **Total Supranational Banks** <br>**(Cost $13,528,616)** | **13621466** |
| **U.S. TREASURY OBLIGATIONS–23.42%** | **U.S. TREASURY OBLIGATIONS–23.42%** | **U.S. TREASURY OBLIGATIONS–23.42%** |
| U.S. Treasury Bonds | U.S. Treasury Bonds | U.S. Treasury Bonds |
| &nbsp;&nbsp; 1.13% 5/15/40 | 128860000 | 81171733 |
| &nbsp;&nbsp; 2.25% 8/15/46 | 37580000 | 24495995 |
| &nbsp;&nbsp; 2.38% 11/15/49 | 227000000 | 144614960 |
| &nbsp;&nbsp; 4.13% 8/15/44 | 6280000 | 5697628 |
| &nbsp;&nbsp; 4.63% 11/15/44 | 180122000 | 174289143 |
| &nbsp;&nbsp; 4.63% 11/15/55 | 3170000 | 3028836 |
| &nbsp;&nbsp; 4.75% 5/15/55 | 182268000 | 177476346 |
| &nbsp;&nbsp; 4.75% 8/15/55 | 27760000 | 27052988 |
| &nbsp;&nbsp; 4.75% 2/15/56 | 41090000 | 40075591 |
| &nbsp;&nbsp; 4.88% 8/15/45 | 15880000 | 15827894 |
| &nbsp;&nbsp; 5.00% 5/15/45 | 90397000 | 91572867 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** |
| U.S. Treasury Notes | U.S. Treasury Notes | U.S. Treasury Notes |
| &nbsp;&nbsp; 0.63% 5/15/30 | 262680000 | $230091262 |
| &nbsp;&nbsp; 1.75% 1/31/29 | 216480000 | 204480581 |
| &nbsp;&nbsp; 3.38% 2/29/28 | 23210000 | 23026859 |
| &nbsp;&nbsp; 3.88% 6/30/30 | 229255000 | 228905744 |
| &nbsp;&nbsp; 3.88% 9/30/32 | 150000 | 148043 |
| &nbsp;&nbsp; 4.00% 1/31/33 | 25310000 | 25116220 |
| &nbsp;&nbsp; 4.63% 9/30/28 | 2000 | 2038 |
| **Total U.S. Treasury Obligations** <br>**(Cost $1,518,889,441)** | **Total U.S. Treasury Obligations** <br>**(Cost $1,518,889,441)** | **1497074728** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Number of** <br>**Shares**<br>|  |
| **COMMON STOCK–0.01%** | **COMMON STOCK–0.01%** | **COMMON STOCK–0.01%** |
| †=MNSN Holdings, Inc. | 8379 | 452466 |
| **Total Common Stock** <br>**(Cost $0)** | **Total Common Stock** <br>**(Cost $0)** | **452466** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Principal** <br>**Amount°**<br>|  |
| **SHORT-TERM INVESTMENTS—3.24%** | **SHORT-TERM INVESTMENTS—3.24%** | **SHORT-TERM INVESTMENTS—3.24%** |
| **Discounted Commercial Paper–3.24%** | **Discounted Commercial Paper–3.24%** | **Discounted Commercial Paper–3.24%** |
| ≠ABN AMRO Funding USA LLC | ≠ABN AMRO Funding USA LLC | ≠ABN AMRO Funding USA LLC |
| &nbsp;&nbsp; 3.85% 4/14/26 | 3350000 | 3345427 |
| ≠Barclays Bank PLC | ≠Barclays Bank PLC | ≠Barclays Bank PLC |
| &nbsp;&nbsp; 3.75% 4/1/26 | 20000000 | 20000000 |
| ≠Canada | ≠Canada | ≠Canada |
| &nbsp;&nbsp; 3.76% 4/1/26 | 10000000 | 10000000 |
| ≠Exxon Mobil Corp. | ≠Exxon Mobil Corp. | ≠Exxon Mobil Corp. |
| &nbsp;&nbsp; 3.74% 4/6/26 | 12400000 | 12393662 |
| &nbsp;&nbsp; 3.77% 4/8/26 | 10000000 | 9992786 |
| ≠GlaxoSmithKline LLC | ≠GlaxoSmithKline LLC | ≠GlaxoSmithKline LLC |
| &nbsp;&nbsp; 3.73% 4/2/26 | 25000000 | 24997445 |
| ≠Liberty Street Funding LLC | ≠Liberty Street Funding LLC | ≠Liberty Street Funding LLC |
| &nbsp;&nbsp; 3.70% 4/1/26 | 10045000 | 10045000 |
| ≠Manhattan Asset Funding Co. LLC | ≠Manhattan Asset Funding Co. LLC | ≠Manhattan Asset Funding Co. LLC |
| &nbsp;&nbsp; 3.69% 4/1/26 | 30000000 | 30000000 |
| ≠Matchpoint Finance PLC | ≠Matchpoint Finance PLC | ≠Matchpoint Finance PLC |
| &nbsp;&nbsp; 3.69% 4/1/26 | 55000000 | 55000000 |
| ≠Sumitomo Mitsui Trust | ≠Sumitomo Mitsui Trust | ≠Sumitomo Mitsui Trust |
| &nbsp;&nbsp; 3.71% 4/1/26 | 25000000 | 25000000 |
| ≠Walmart, Inc. | ≠Walmart, Inc. | ≠Walmart, Inc. |
| &nbsp;&nbsp; 3.72% 4/2/26 | 6000000 | 5999388 |
| **Total Short-Term** <br> **Investments** <br>**(Cost $206,773,708)**<br>|  | **206773708** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **TOTAL INVESTMENTS–117.69% (Cost $7,658,577,353)** | **7523368950** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Principal** <br>**Amount°**<br>| **Value** <br>**(U.S. $)**<br>|
| **SECURITIES SOLD SHORT–(4.74%)** | **SECURITIES SOLD SHORT–(4.74%)** | **SECURITIES SOLD SHORT–(4.74%)** |
| **Agency Mortgage-Backed Securities–(4.74%)** | **Agency Mortgage-Backed Securities–(4.74%)** | **Agency Mortgage-Backed Securities–(4.74%)** |
| Uniform Mortgage-Backed Security, TBA | (5000000)<br>| $(4390897)<br>|
| Uniform Mortgage-Backed Security, TBA | (41000000)<br>| (37582405)<br>|
| Uniform Mortgage-Backed Security, TBA | (23000000)<br>| (21712068)<br>|
| Uniform Mortgage-Backed Security, TBA | (41500000)<br>| (40047735)<br>|

---

*LVIP Franklin Templeton Core Bond Fund–25*

------

**LVIP Franklin Templeton Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **SECURITIES SOLD SHORT (continued)** | **SECURITIES SOLD SHORT (continued)** | **SECURITIES SOLD SHORT (continued)** |
| **Agency Mortgage-Backed Securities (continued)** | **Agency Mortgage-Backed Securities (continued)** | **Agency Mortgage-Backed Securities (continued)** |
| Uniform Mortgage-Backed Security, TBA | (49000000)<br>| $(48320205)<br>|
| Uniform Mortgage-Backed Security, TBA | (150000000)<br>| (150690887)<br>|
| **Total Securities Sold Short** <br>**(Proceeds $(303395469))** | **Total Securities Sold Short** <br>**(Proceeds $(303395469))** | **(302744197)**<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(12.95%)** | **(827897180)**<br>|
| **NET ASSETS APPLICABLE TO 548,659,656 SHARES OUTSTANDING–100.00%** | **$6392727573** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

---

| |
|:---|
| °Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; \*Interest only security. An interest only security is the interest only portion of a fixed income security which is sold separately from the <br> principal portion of the security. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; •Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at March 31, 2026. For securities based on a <br> published reference rate and spread, the reference rate and spread are indicated in their description above and may be subject to caps <br> and/or floors or include a multiplier. Certain variable rate securities are not based on a published reference rate and spread but are <br> determined by the issuer or agent and are based on current market conditions such as changes in current interest rate and prepayments <br> on the underlying pool of assets. These securities do not indicate a reference rate and spread in their description above. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ♦Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the <br> counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
| μFixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2026. Rate will reset at a future date. |
| ^Zero coupon security. |
| φStep coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at March 31, 2026. |
| ΔSecurities have been classified by country of origin. |
| †Non-income producing. |
| =The value of this security was determined using significant unobservable inputs. |
| ≠The rate shown is the effective yield at the time of purchase. |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| **Summary of Abbreviations:** |
| BMO–Bank of Montreal  |
| CLO–Collateralized Loan Obligation |
| CMT–Constant Maturity Treasury |
| DB-JPM–Deutsche Bank JPMorgan |
| FREMF–Freddie Mac Multifamily |
| GS–Goldman Sachs |
| JPM-DB–JPMorgan Deutsche Bank |
| REMIC–Real Estate Mortgage Investment Conduits |
| RFUCCT–Refinitiv USD IBOR Consumer Cash Fallbacks Term |
| SOFR–Secured Overnight Financing Rate |
| STACR–Structured Agency Credit Risk |
| TBA–To be announced |
| yr.–Year |

---

*LVIP Franklin Templeton Core Bond Fund–26*

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

- **b. Investment Company Act file number:** 811-08090

- **c. CIK number of Registrant:** 0000914036

- **d. LEI of Registrant:** 3EICVM5HD7FVBIM8WO57

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

  - **Street Address 1:** 1301 S. Harrison Street

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

  - **Telephone number:** 260-455-2000

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

- **a. Name of Series:** LVIP Franklin Templeton Core Bond Fund

- **b. EDGAR series identifier (if any):** S000002812

- **c. LEI of Series:** TX5WPE5J86ZXCTSWEQ14

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

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $9084977525.88

**Total Liabilities:** $2687496416.26

**Net Assets:** $6397481109.62

**Delayed Delivery Securities:** $14989031.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -8111.10000000 | **1-Year:** -205695.99000000 | **5-Year:** -534378.23000000 | **10-Year:** -488084.27000000 | **30-Year:** -160206.10000000

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

- **3-Month:** -913.85000000 | **1-Year:** -17629.38000000 | **5-Year:** -56072.34000000 | **10-Year:** -42803.57000000 | **30-Year:** -25260.87000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007720 | 0.31%                | 1.62%                | -1.86%               |
| Class ID C000007721 | 0.27%                | 1.60%                | -1.88%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3629364.30              | $-5713546.22                               |
| Month 2  | $99471.31                | $84178789.36                               |
| Month 3  | $-5374156.88             | $-139498889.05                             |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Bond Index

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                    | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A&D Mortgage Trust                                                      | A&D Mortgage Trust 2024-NQM1                                                    | CUSIP: 00039GAA7<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |    4827788 | PA      | $4849524.25    | 0.08%             | 2069-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Funding USA LLC                                                | ABN AMRO Funding USA LLC                                                        | CUSIP: 00084CDE9<br>LEI: 549300WEQ09INLYV6558 | Long             | STIV             | CORP              | US        |    3350000 | PA      | $3345427.25    | 0.05%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                           | AEP Texas Inc                                                                   | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1397000 | PA      | $1055258.47    | 0.02%             | 2049-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                           | AEP Texas Inc                                                                   | CUSIP: 00108WAK6<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1649000 | PA      | $1102243.25    | 0.02%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                           | AEP Texas Inc                                                                   | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    2306000 | PA      | $2336746.82    | 0.04%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RAG7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    4110000 | PA      | $4366279.01    | 0.07%             | 2038-01-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      58000 | PA      | $46787.59      | 0.00%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1301164.74    | 0.02%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     330000 | PA      | $288296.16     | 0.00%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   15749000 | PA      | $10327192.41   | 0.16%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     408000 | PA      | $265347.79     | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      50000 | PA      | $32398.98      | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     340000 | PA      | $287720.70     | 0.00%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      60000 | PA      | $40516.24      | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RMY5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3449000 | PA      | $3493790.27    | 0.05%             | 2035-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    2781000 | PA      | $2738677.30    | 0.04%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                        | CUSIP: 00206RNH1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3195000 | PA      | $3156665.75    | 0.05%             | 2036-04-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| AS MILEAGE PLAN IP LTD                                                  | AS Mileage Plan IP Ltd                                                          | CUSIP: 00218QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    5800000 | PA      | $5741368.50    | 0.09%             | 2029-10-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                              | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      30000 | PA      | $26900.67      | 0.00%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                              | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     160000 | PA      | $158845.58     | 0.00%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                              | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1156878.72    | 0.02%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                              | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     380000 | PA      | $308458.54     | 0.00%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                              | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19418.71      | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                              | AbbVie Inc                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     300000 | PA      | $304820.06     | 0.00%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                              | AbbVie Inc                                                                      | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     130000 | PA      | $132800.08     | 0.00%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                              | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     180000 | PA      | $182691.85     | 0.00%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                              | AbbVie Inc                                                                      | CUSIP: 00287YEF2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    3695000 | PA      | $3627299.40    | 0.06%             | 2033-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                              | AbbVie Inc                                                                      | CUSIP: 00287YEG0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1246020.77    | 0.02%             | 2036-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    6900000 | PA      | $6823995.40    | 0.11%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   19734000 | PA      | $18995641.93   | 0.30%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3836000 | PA      | $3886113.58    | 0.06%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     160000 | PA      | $154551.59     | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBT1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1370000 | PA      | $1351467.42    | 0.02%             | 2029-02-28      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| AFRICAN DEVELOPMENT BANK                                                | African Development Bank                                                        | CUSIP: 008281BF3<br>LEI: 549300LNCLMO3ITVCU07 | Long             | DBT              | NUSS              | XX        |    5914000 | PA      | $5760291.00    | 0.09%             | 2034-05-07      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AFRICA FINANCE CORP                                                     | Africa Finance Corp                                                             | CUSIP: 00830YAF8<br>LEI: 213800LXFHRRXIJRXW97 | Long             | DBT              | NUSS              | XX        |    5393000 | PA      | $5423535.33    | 0.08%             | 2029-10-08      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                                           | Agate Bay Mortgage Trust 2015-1                                                 | CUSIP: 00841WBJ0<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |     308970 | PA      | $303635.26     | 0.00%             | 2045-01-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                                           | Agate Bay Mortgage Trust 2015-1                                                 | CUSIP: 00841WBK7<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |     191171 | PA      | $187870.60     | 0.00%             | 2045-01-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Aimco                                                                   | Aimco CLO 15 Ltd                                                                | CUSIP: 00889BAE1<br>LEI: 254900QER1MDK5C1YE06 | Long             | ABS-CBDO         | CORP              | KY        |    1070000 | PA      | $1068435.66    | 0.02%             | 2038-04-17      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| AIRBNB INC                                                              | Airbnb Inc                                                                      | CUSIP: 009066AD3<br>LEI: 549300HMUDNO0RY56D37 | Long             | DBT              | CORP              | US        |    2975000 | PA      | $2968296.43    | 0.05%             | 2031-03-16      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| AIRBNB INC                                                              | Airbnb Inc                                                                      | CUSIP: 009066AE1<br>LEI: 549300HMUDNO0RY56D37 | Long             | DBT              | CORP              | US        |    1475000 | PA      | $1476493.63    | 0.02%             | 2036-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    3017000 | PA      | $3003245.38    | 0.05%             | 2028-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00912XBK9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    4377000 | PA      | $4252933.06    | 0.07%             | 2026-12-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    8421000 | PA      | $7826872.68    | 0.12%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     180000 | PA      | $182012.81     | 0.00%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00914AAV4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2182000 | PA      | $2201659.27    | 0.03%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                                           | Aircastle Ltd                                                                   | CUSIP: 00928QAX9<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    5810000 | PA      | $6023561.42    | 0.09%             | 2028-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALEXANDER FUND TRUST II                                                 | Alexander Funding Trust II                                                      | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5800000 | PA      | $6107056.70    | 0.10%             | 2028-07-31      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F012445<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26500000 | PA      | $23818287.45   | 0.37%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020448<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13500000 | PA      | $12415446.05   | 0.19%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  115000000 | PA      | $92601952.55   | 1.45%             | 2056-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022444<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $11333820.60   | 0.18%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $10087500.00   | 0.16%             | 2056-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030645<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5000000 | PA      | $-4390897.25   | -0.07%            | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -41000000 | PA      | $-37582405.23  | -0.59%            | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23000000 | PA      | $21712067.39   | 0.34%             | 2056-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040636<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -23000000 | PA      | $-21712067.39  | -0.34%            | 2056-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23000000 | PA      | $21701043.72   | 0.34%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  170000000 | PA      | $164050963.90  | 2.56%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -41500000 | PA      | $-40047735.31  | -0.63%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050445<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16000000 | PA      | $16116832.16   | 0.25%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -49000000 | PA      | $-48320205.36  | -0.76%            | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   83000000 | PA      | $83382290.53   | 1.30%             | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052649<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -150000000 | PA      | $-150690886.50 | -2.36%            | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  167000000 | PA      | $170227776.00  | 2.66%             | 2056-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F062648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  198000000 | PA      | $204831748.44  | 3.20%             | 2056-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     360000 | PA      | $316562.16     | 0.00%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     150000 | PA      | $100087.81     | 0.00%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98357.57      | 0.00%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     140000 | PA      | $132189.34     | 0.00%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     150000 | PA      | $138844.41     | 0.00%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 02079KBM8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    3040000 | PA      | $3026977.95    | 0.05%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                          | Amazon.com Inc                                                                  | CUSIP: 023135DE3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    2985000 | PA      | $2956270.63    | 0.05%             | 2033-03-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                          | Amazon.com Inc                                                                  | CUSIP: 023135DF0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    4420000 | PA      | $4379717.18    | 0.07%             | 2036-03-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                          | Amazon.com Inc                                                                  | CUSIP: 023135DH6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     630000 | PA      | $629493.72     | 0.01%             | 2056-03-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                          | Amazon.com Inc                                                                  | CUSIP: 023135DK9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    5305000 | PA      | $5273908.40    | 0.08%             | 2076-03-13      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                 | American Electric Power Co Inc                                                  | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    7975000 | PA      | $7877824.63    | 0.12%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                 | American Electric Power Co Inc                                                  | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    2660000 | PA      | $2636258.97    | 0.04%             | 2056-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                     | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249013.18     | 0.00%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    8800000 | PA      | $8259485.52    | 0.13%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     980000 | PA      | $988849.16     | 0.02%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    2190000 | PA      | $2151923.76    | 0.03%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                                | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      80000 | PA      | $71677.99      | 0.00%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                               | Amgen Inc                                                                       | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    5810000 | PA      | $5965912.86    | 0.09%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                               | Amgen Inc                                                                       | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    3610000 | PA      | $3704682.86    | 0.06%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                                           | Amphenol Corp                                                                   | CUSIP: 032095AL5<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    6553000 | PA      | $5815674.40    | 0.09%             | 2031-09-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                                           | Amphenol Corp                                                                   | CUSIP: 032095AZ4<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    6535000 | PA      | $6378017.21    | 0.10%             | 2033-02-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                | Angel Oak Mortgage Trust 2021-7                                                 | CUSIP: 03464JAC5<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     157526 | PA      | $138250.24     | 0.00%             | 2066-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                | Angel Oak Mortgage Trust 2022-3                                                 | CUSIP: 03464TAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     352179 | PA      | $339274.37     | 0.01%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                                  | Anglo American Capital PLC                                                      | CUSIP: 034863BH2<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    5125000 | PA      | $5046073.36    | 0.08%             | 2033-03-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                | Angel Oak Mortgage Trust 2025-1                                                 | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |   15044318 | PA      | $15121905.78   | 0.24%             | 2070-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                                 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     750000 | PA      | $675879.00     | 0.01%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     510000 | PA      | $495297.54     | 0.01%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     680000 | PA      | $657106.97     | 0.01%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                                                | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   11471000 | PA      | $6958367.33    | 0.11%             | 2051-08-23      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                                                | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   11257000 | PA      | $11322961.40   | 0.18%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                   | Aon North America Inc                                                           | CUSIP: 03740MAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4626000 | PA      | $4719974.18    | 0.07%             | 2031-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                   | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     540000 | PA      | $551466.46     | 0.01%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                   | Aon North America Inc                                                           | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1676539.12    | 0.03%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                                     | Apex Credit CLO 2021-II LLC                                                     | CUSIP: 03755QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28324000 | PA      | $28295534.38   | 0.44%             | 2034-10-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                    | Appalachian Power Co                                                            | CUSIP: 037735CY1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    2201000 | PA      | $1562628.65    | 0.02%             | 2050-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                              | Apidos Loan Fund 2024-1 Ltd                                                     | CUSIP: 037986AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1490000 | PA      | $1490000.00    | 0.02%             | 2038-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| APTARGROUP INC                                                          | AptarGroup Inc                                                                  | CUSIP: 038336AB9<br>LEI: VNPEQDQFAA7IY1T2PX43 | Long             | DBT              | CORP              | US        |    3325000 | PA      | $3295281.22    | 0.05%             | 2031-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                         | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                          | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     169521 | PA      | $169520.68     | 0.00%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                         | AREIT 2022-CRE6 Trust                                                           | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     225088 | PA      | $224919.01     | 0.00%             | 2037-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                            | ARES XLIV CLO Ltd                                                               | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     740000 | PA      | $739485.70     | 0.01%             | 2034-04-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                            | Ares LXV CLO Ltd                                                                | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   29000000 | PA      | $28956500.00   | 0.45%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                 | Arthur J Gallagher & Co                                                         | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3335254.26    | 0.05%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                   | Athene Global Funding                                                           | CUSIP: 04685A4S7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4123292.59    | 0.06%             | 2035-08-22      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                      | Athene Holding Ltd                                                              | CUSIP: 04686JAJ0<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    5539000 | PA      | $5115970.51    | 0.08%             | 2054-10-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                      | Athene Holding Ltd                                                              | CUSIP: 04686JAL5<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    5790000 | PA      | $5577721.58    | 0.09%             | 2055-05-19      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                      | Athene Holding Ltd                                                              | CUSIP: 04686JAM3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    5279000 | PA      | $4935614.25    | 0.08%             | 2055-06-28      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC                                                  | Atlantic City Electric Co                                                       | CUSIP: 048303CH2<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |    1548000 | PA      | $1536706.58    | 0.02%             | 2028-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                                                 | Australia & New Zealand Banking Group Ltd                                       | CUSIP: 052528AM8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    2910000 | PA      | $2600872.27    | 0.04%             | 2035-11-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                  | Aviation Capital Group LLC                                                      | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   14504000 | PA      | $14241242.49   | 0.22%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                  | Aviation Capital Group LLC                                                      | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    6398000 | PA      | $6498185.64    | 0.10%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                  | Aviation Capital Group LLC                                                      | CUSIP: 05369AAT8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   14878000 | PA      | $14706170.11   | 0.23%             | 2030-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $510984.05     | 0.01%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RLA0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     260000 | PA      | $256378.46     | 0.00%             | 2032-02-20      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    5800000 | PA      | $5942906.72    | 0.09%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   10000000 | PA      | $9739769.20    | 0.15%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                             | BBCMS Mortgage Trust 2020-C7                                                    | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16970000 | PA      | $15232643.64   | 0.24%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                             | BBCMS Mortgage Trust 2025-5C37                                                  | CUSIP: 05494NAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   76764711 | PA      | $4786932.23    | 0.07%             | 2058-09-15      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Bank5                                                                   | BANK5 2025-5YR19                                                                | CUSIP: 05494RBR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   93016931 | PA      | $4370158.66    | 0.07%             | 2058-12-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                        | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      70000 | PA      | $77340.40      | 0.00%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                        | BAT Capital Corp                                                                | CUSIP: 054989AF5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   14795000 | PA      | $14478192.00   | 0.23%             | 2033-03-22      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                         | BAE Systems PLC                                                                 | CUSIP: 05523RAL1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   17745000 | PA      | $18174578.06   | 0.28%             | 2034-03-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                        | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     185000 | PA      | $182969.79     | 0.00%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                        | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    4023000 | PA      | $3655048.33    | 0.06%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                        | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     270000 | PA      | $219221.79     | 0.00%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                        | BAT Capital Corp                                                                | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     180000 | PA      | $143062.05     | 0.00%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                        | BAT Capital Corp                                                                | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     130000 | PA      | $131483.61     | 0.00%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                             | BBCMS Mortgage Trust 2025-C39                                                   | CUSIP: 05556YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  129442325 | PA      | $8508153.44    | 0.13%             | 2058-12-15      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                                               | BMP 2024-MF23                                                                   | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $999375.80     | 0.02%             | 2041-06-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                      | BX Trust 2019-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270000 | PA      | $254607.71     | 0.00%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                                              | BMO 2022-C1 Mortgage Trust                                                      | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3247000 | PA      | $3000066.95    | 0.05%             | 2055-02-15      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX Trust 2021-BXMF                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     451222 | PA      | $450658.15     | 0.01%             | 2026-10-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX Commercial Mortgage Trust 2024-XL5                                           | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     238401 | PA      | $238476.20     | 0.00%             | 2041-03-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX Trust 2024-VLT4                                                              | CUSIP: 05612TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $745311.83     | 0.01%             | 2041-06-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX 2024-PALM                                                                    | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     216346 | PA      | $216211.15     | 0.00%             | 2037-06-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX Trust 2025-VOLT                                                              | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3921000 | PA      | $3908750.01    | 0.06%             | 2044-12-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX Trust 2025-ARIA                                                              | CUSIP: 05619TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6398000 | PA      | $6366227.53    | 0.10%             | 2042-12-13      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                      | Banco Santander SA                                                              | CUSIP: 05964HAV7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    5400000 | PA      | $5828170.70    | 0.09%             | 2033-08-08      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      40000 | PA      | $37214.54      | 0.00%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     810000 | PA      | $809584.80     | 0.01%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     890000 | PA      | $880427.61     | 0.01%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     480000 | PA      | $475645.78     | 0.01%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     280000 | PA      | $276147.51     | 0.00%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     230000 | PA      | $186474.27     | 0.00%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $897269.49     | 0.01%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     240000 | PA      | $221720.48     | 0.00%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     410000 | PA      | $365163.93     | 0.01%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     670000 | PA      | $596111.73     | 0.01%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $968578.01     | 0.02%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   20477000 | PA      | $21035886.13   | 0.33%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8690000 | PA      | $8964509.89    | 0.14%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   23067000 | PA      | $23066471.30   | 0.36%             | 2035-10-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8567000 | PA      | $8730217.97    | 0.14%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06055HAH6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4781000 | PA      | $4901696.35    | 0.08%             | 2030-05-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   14618000 | PA      | $14706044.21   | 0.23%             | 2030-07-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Bank5                                                                   | BANK5 2025-5YR17                                                                | CUSIP: 06211GAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57474024 | PA      | $2637862.27    | 0.04%             | 2058-11-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                        | Bank of Montreal                                                                | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      70000 | PA      | $68881.48      | 0.00%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                        | Bank of Montreal                                                                | CUSIP: 06368L5Q5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    2160000 | PA      | $2210757.84    | 0.03%             | 2084-11-26      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                     | Bank of Nova Scotia/The                                                         | CUSIP: 0641598X7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    2910000 | PA      | $2938369.59    | 0.05%             | 2085-04-27      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                     | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     180000 | PA      | $172193.91     | 0.00%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Bank                                                                    | BANK 2020-BNK25                                                                 | CUSIP: 06539WBB1<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   21533000 | PA      | $19874601.55   | 0.31%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bank                                                                    | BANK 2019-BNK20                                                                 | CUSIP: 06540AAD3<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    5625000 | PA      | $5305082.63    | 0.08%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Bank                                                                    | BANK 2022-BNK40                                                                 | CUSIP: 06541LBU9<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    8083000 | PA      | $7174312.37    | 0.11%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Bank                                                                    | BANK 2017-BNK5                                                                  | CUSIP: 06541WBB7<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    3731000 | PA      | $3636660.17    | 0.06%             | 2060-06-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Bank5                                                                   | BANK5 2026-5YR21                                                                | CUSIP: 06644BBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  110000000 | PA      | $3871758.00    | 0.06%             | 2059-04-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                                  | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675DCU4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    5040000 | PA      | $4970282.89    | 0.08%             | 2031-01-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                            | Barclays PLC                                                                    | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     450000 | PA      | $452737.54     | 0.01%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                       | Barclays Bank PLC                                                               | CUSIP: 06741ED15<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | STIV             | CORP              | GB        |   20000000 | PA      | $20000000.00   | 0.31%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Battery Park CLO Ltd.                                                   | Battery Park Clo Ltd                                                            | CUSIP: 07133YAL4<br>LEI: 549300HAR0K520KW1A03 | Long             | ABS-CBDO         | CORP              | KY        |     370000 | PA      | $370288.23     | 0.01%             | 2036-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                             | Truist Bank                                                                     | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   20396000 | PA      | $20220938.48   | 0.32%             | 2029-09-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                             | BBCMS Mortgage Trust 2025-5C34                                                  | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $413627.96     | 0.01%             | 2058-05-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2022-B34 Mortgage Trust                                               | CUSIP: 08161YBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4325866 | PA      | $3983354.74    | 0.06%             | 2055-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2019-B12 Mortgage Trust                                               | CUSIP: 08162FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13237689 | PA      | $12729338.21   | 0.20%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2020-B17 Mortgage Trust                                               | CUSIP: 08162MAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21463000 | PA      | $19371643.13   | 0.30%             | 2053-03-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2018-B1 Mortgage Trust                                                | CUSIP: 08162PAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1220000 | PA      | $1201330.34    | 0.02%             | 2051-01-15      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2020-B19 Mortgage Trust                                               | CUSIP: 08162WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13748000 | PA      | $12197906.13   | 0.19%             | 2053-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2020-B20 Mortgage Trust                                               | CUSIP: 08162XBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20185000 | PA      | $17779811.92   | 0.28%             | 2053-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2020-B22 Mortgage Trust                                               | CUSIP: 08163BBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22240000 | PA      | $19496747.15   | 0.30%             | 2054-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2021-B24 Mortgage Trust                                               | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6059000 | PA      | $5416865.97    | 0.08%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2021-B25 Mortgage Trust                                               | CUSIP: 08163DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12905000 | PA      | $11517246.63   | 0.18%             | 2054-04-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8220000 | PA      | $6909606.23    | 0.11%             | 2055-01-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7047000 | PA      | $5348579.27    | 0.08%             | 2055-01-15      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4064000 | PA      | $3543845.80    | 0.06%             | 2055-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4064000 | PA      | $3243052.09    | 0.05%             | 2055-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2022-B36 Mortgage Trust                                               | CUSIP: 08163QBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7284000 | PA      | $7045623.82    | 0.11%             | 2055-07-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2022-B35 Mortgage Trust                                               | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13924000 | PA      | $13420328.54   | 0.21%             | 2055-05-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2025-V18 Mortgage Trust                                               | CUSIP: 08164EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   52491975 | PA      | $2628273.18    | 0.04%             | 2058-10-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2026-V21 Mortgage Trust                                               | CUSIP: 08164HBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11797000 | PA      | $12024277.46   | 0.19%             | 2031-03-15      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2026-V21 Mortgage Trust                                               | CUSIP: 08164HBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   58879000 | PA      | $3701027.96    | 0.06%             | 2030-11-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2026-V20 Mortgage Trust                                               | CUSIP: 08164KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   68570332 | PA      | $3574687.98    | 0.06%             | 2059-02-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2025-V17 Mortgage Trust                                               | CUSIP: 081934AS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   63769000 | PA      | $3705648.47    | 0.06%             | 2058-09-15      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                                              | Biogen Inc                                                                      | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $7855484.76    | 0.12%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                                    | Birch Grove CLO 4 Ltd                                                           | CUSIP: 09077CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     410000 | PA      | $409816.73     | 0.01%             | 2037-07-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                                    | Birch Grove CLO 8 Ltd                                                           | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |     240000 | PA      | $240096.00     | 0.00%             | 2037-04-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                                                   | Black Diamond CLO 2024-1 Ltd                                                    | CUSIP: 09204UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1360000 | PA      | $1360942.48    | 0.02%             | 2037-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                                              | Blackbird Capital II Aircraft Lease Ltd                                         | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     178113 | PA      | $168859.24     | 0.00%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                                                  | Blackstone Private Credit Fund                                                  | CUSIP: 09261HBU0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $4309171.88    | 0.07%             | 2029-11-22      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                                    | BlueMountain CLO XXX Ltd                                                        | CUSIP: 09630QAU5<br>LEI: 5493002GUQ80FGGGNP40 | Long             | ABS-CBDO         | CORP              | KY        |     860000 | PA      | $858724.62     | 0.01%             | 2035-04-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                      | BMO 2025-5C12 Mortgage Trust                                                    | CUSIP: 09663VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   50535694 | PA      | $2863160.39    | 0.04%             | 2058-10-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                               | Boeing Co/The                                                                   | CUSIP: 097023AX3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4875000 | PA      | $5355496.43    | 0.08%             | 2039-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                               | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      80000 | PA      | $78757.62      | 0.00%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                               | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     200000 | PA      | $192899.00     | 0.00%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                               | Boeing Co/The                                                                   | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      60000 | PA      | $59920.78      | 0.00%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                               | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     210000 | PA      | $207056.50     | 0.00%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                               | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     320000 | PA      | $274291.42     | 0.00%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                               | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      30000 | PA      | $21280.88      | 0.00%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                               | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    7260000 | PA      | $7381532.40    | 0.12%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | Boeing Co/The                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   22621000 | PA      | $24896103.91   | 0.39%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                         | BRAVO Residential Funding Trust 2025-HE1                                        | CUSIP: 10568VAA2<br>LEI: 254900V4GL9A5JTVB991 | Long             | ABS-O            | CORP              | US        |    6686314 | PA      | $6689198.50    | 0.10%             | 2072-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                         | BRAVO Residential Funding Trust 2024-NQM3                                       | CUSIP: 10569LAA3<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     303323 | PA      | $304996.03     | 0.00%             | 2064-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                         | BRAVO Residential Funding Trust 2024-NQM5                                       | CUSIP: 105925AA9<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |     161593 | PA      | $162251.71     | 0.00%             | 2064-06-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                         | BRAVO RESIDENTIAL FUNDING TRUS                                                  | CUSIP: 105925AC5<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |     229960 | PA      | $230752.51     | 0.00%             | 2064-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     160000 | PA      | $164471.40     | 0.00%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     450000 | PA      | $461343.99     | 0.01%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9629.06       | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                    | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      72000 | PA      | $70876.23      | 0.00%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     383000 | PA      | $325391.38     | 0.01%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       8000 | PA      | $6685.27       | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     199000 | PA      | $193014.71     | 0.00%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    9289000 | PA      | $9481049.89    | 0.15%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                    | CUSIP: 11135FCL3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3019000 | PA      | $3045384.55    | 0.05%             | 2032-07-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                    | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3818000 | PA      | $3847774.14    | 0.06%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     220000 | PA      | $214485.85     | 0.00%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                    | CUSIP: 11135FDB4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3050000 | PA      | $3008063.57    | 0.05%             | 2036-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                    | CUSIP: 11135FDD0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     450000 | PA      | $447666.18     | 0.01%             | 2056-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                       | Brown & Brown Inc                                                               | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   11700000 | PA      | $11684139.36   | 0.18%             | 2030-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BRUNSWICK CORP                                                          | Brunswick Corp/DE                                                               | CUSIP: 117043AW9<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6651182.33    | 0.10%             | 2029-03-18      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                                  | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BE9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   11394000 | PA      | $11286199.77   | 0.18%             | 2029-09-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3195000 | PA      | $3097693.18    | 0.05%             | 2056-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX Trust 2022-LBA6                                                              | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530000 | PA      | $529668.64     | 0.01%             | 2039-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                        | Paramount Global                                                                | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     788000 | PA      | $752473.78     | 0.01%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                                            | CD 2017-CD6 Mortgage Trust                                                      | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2760000 | PA      | $2632199.86    | 0.04%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                                     | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11949000 | PA      | $11479222.56   | 0.18%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                                            | CD 2016-CD1 Mortgage Trust                                                      | CUSIP: 12514MBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     610000 | PA      | $601647.03     | 0.01%             | 2049-08-10      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                                            | CD 2016-CD2 Mortgage Trust                                                      | CUSIP: 12515ABD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7380526 | PA      | $7347390.89    | 0.11%             | 2049-11-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                                   | Cantor Commercial Real Estate Lending 2019-CF2                                  | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5434000 | PA      | $5114645.45    | 0.08%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                                   | Cantor Commercial Real Estate Lending 2019-CF3                                  | CUSIP: 12529TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12010000 | PA      | $11276115.74   | 0.18%             | 2053-01-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                          | Cascade Funding Mortgage Trust                                                  | CUSIP: 12531BAA6<br>LEI: 984500AB3AED98FEEV98 | Long             | ABS-MBS          | CORP              | US        |    2090169 | PA      | $2055768.94    | 0.03%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                         | CFCRE Commercial Mortgage Trust 2016-C7                                         | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6475000 | PA      | $6434206.85    | 0.10%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                       | CI Financial Corp                                                               | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     560000 | PA      | $587615.33     | 0.01%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2021-VII Ltd                                                       | CUSIP: 12567HAQ5<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |   24382000 | PA      | $24338234.31   | 0.38%             | 2035-01-23      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2022-IV Ltd                                                        | CUSIP: 12567WAN9<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4676542.30    | 0.07%             | 2035-07-16      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                                         | CLI Funding IX LLC                                                              | CUSIP: 12571WAA1<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |     600719 | PA      | $602544.27     | 0.01%             | 2049-07-20      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                      | CNA Financial Corp                                                              | CUSIP: 126117AY6<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3150273.41    | 0.05%             | 2034-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     197948 | PA      | $179113.59     | 0.00%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | Csmc 2022-Nqm1 Trust                                                            | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     735955 | PA      | $673434.06     | 0.01%             | 2066-11-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-RPL2Trust                                                             | CUSIP: 12656TAA6<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     125736 | PA      | $111220.93     | 0.00%             | 2060-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAA2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     171334 | PA      | $143367.00     | 0.00%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     229743 | PA      | $193920.22     | 0.00%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-NQM8                                                                  | CUSIP: 12659FAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     703444 | PA      | $642720.45     | 0.01%             | 2066-10-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-NQM3                                                                  | CUSIP: 12660LAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     390504 | PA      | $350259.66     | 0.01%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-NQM7                                                                  | CUSIP: 12662QAA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     132516 | PA      | $117496.12     | 0.00%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     270000 | PA      | $236993.38     | 0.00%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     392000 | PA      | $390610.63     | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2764613.55    | 0.04%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      70000 | PA      | $69399.04      | 0.00%             | 2027-04-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     230000 | PA      | $222244.63     | 0.00%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      30000 | PA      | $25041.82      | 0.00%             | 2040-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2130293.73    | 0.03%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     180000 | PA      | $156075.89     | 0.00%             | 2031-09-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650EB2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3071189.52    | 0.05%             | 2029-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    6365000 | PA      | $6559692.62    | 0.10%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                        | COLT 2025-4 Mortgage Loan Trust                                                 | CUSIP: 12674HAA0<br>LEI: 2138002WIT3BHLQD3E93 | Long             | ABS-MBS          | CORP              | US        |    6796048 | PA      | $6840215.30    | 0.11%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                            | CaixaBank SA                                                                    | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     500000 | PA      | $500576.16     | 0.01%             | 2031-07-03      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| California Health Facilities Financing Authority                        | CALIFORNIA ST HLTH FACS FING AUTH REVENUE                                       | CUSIP: 13032UD88<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |    7110000 | PA      | $6658072.05    | 0.10%             | 2037-06-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| State of California                                                     | CALIFORNIA ST                                                                   | CUSIP: 13063ESC1<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |    8820000 | PA      | $8793685.53    | 0.14%             | 2032-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Canada                                                                  | Canada                                                                          | CUSIP: 13508UD18<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | STIV             | CORP              | CA        |   10000000 | PA      | $10000000.00   | 0.16%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                | Capital One Financial Corp                                                      | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    6490000 | PA      | $6372302.42    | 0.10%             | 2031-09-11      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                        | Carlisle Cos Inc                                                                | CUSIP: 142339AN0<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |    2735000 | PA      | $2734844.05    | 0.04%             | 2035-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                        | Carlyle US CLO 2020-2 Ltd                                                       | CUSIP: 14315GAW5<br>LEI: 549300VC6J79YJCFU884 | Long             | ABS-CBDO         | CORP              | KY        |   27000000 | PA      | $26932527.00   | 0.42%             | 2035-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                           | Carnival Corp                                                                   | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    8800000 | PA      | $8869801.60    | 0.14%             | 2030-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                           | Carnival Corp                                                                   | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    1635000 | PA      | $1634468.30    | 0.03%             | 2032-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                           | Carnival Corp                                                                   | CUSIP: 143658CB6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    7960000 | PA      | $7902541.54    | 0.12%             | 2029-05-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                                          | CarVal CLO XI C Ltd                                                             | CUSIP: 14688RAA8<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |     970000 | PA      | $970516.04     | 0.02%             | 2037-10-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR INC                                                         | Caterpillar Inc                                                                 | CUSIP: 149123CL3<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |    7092000 | PA      | $7265221.89    | 0.11%             | 2035-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                                  | CenterPoint Energy Resources Corp                                               | CUSIP: 15189WAS9<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3265689.38    | 0.05%             | 2034-07-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     290000 | PA      | $267369.86     | 0.00%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     420000 | PA      | $416331.96     | 0.01%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $160937.65     | 0.00%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $358500.42     | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     410000 | PA      | $412073.19     | 0.01%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     370000 | PA      | $284078.47     | 0.00%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     230000 | PA      | $170052.09     | 0.00%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6859000 | PA      | $4005738.17    | 0.06%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3245000 | PA      | $2275519.09    | 0.04%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $61608.68      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     540000 | PA      | $504846.04     | 0.01%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $115848.49     | 0.00%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     120000 | PA      | $124578.47     | 0.00%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                      | Chase Home Lending Mortgage Trust 2025-10                                       | CUSIP: 16160BBD8<br>LEI: 529900PXR6MEGSRAOO62 | Long             | ABS-MBS          | CORP              | US        |    4552439 | PA      | $4559851.60    | 0.07%             | 2056-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                      | Chase Home Lending Mortgage Trust 2026-1                                        | CUSIP: 16161YCB0<br>LEI: 529900FU45ZZQULAKB21 | Long             | ABS-MBS          | CORP              | US        |    4942129 | PA      | $4901399.28    | 0.08%             | 2056-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3186003.17    | 0.05%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAW1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     220000 | PA      | $224036.64     | 0.00%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                     | Cheniere Energy Inc                                                             | CUSIP: 16411RAP4<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    1055000 | PA      | $1044222.87    | 0.02%             | 2036-07-30      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                                    | Chile Government International Bonds                                            | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     290000 | PA      | $178437.00     | 0.00%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2024-R1                                                               | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     725411 | PA      | $720593.32     | 0.01%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2018-I Ltd                                                         | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |     440000 | PA      | $440259.60     | 0.01%             | 2038-01-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CIPHER COMPUTE LLC                                                      | Cipher Compute LLC                                                              | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14836000 | PA      | $15370526.24   | 0.24%             | 2030-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2016-P6                                     | CUSIP: 17291EAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88681 | PA      | $88261.44      | 0.00%             | 2049-12-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967DR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     250000 | PA      | $260160.32     | 0.00%             | 2036-08-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      10000 | PA      | $12454.72      | 0.00%             | 2039-07-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2380000 | PA      | $2380067.28    | 0.04%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     150000 | PA      | $126338.24     | 0.00%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     490000 | PA      | $414723.73     | 0.01%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $925846.95     | 0.01%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     240000 | PA      | $211612.99     | 0.00%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     390000 | PA      | $365841.08     | 0.01%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      90000 | PA      | $90169.48      | 0.00%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     620000 | PA      | $617193.11     | 0.01%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967PM7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4110000 | PA      | $4229938.02    | 0.07%             | 2034-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967PR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6946000 | PA      | $6942871.52    | 0.11%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5612000 | PA      | $5729451.58    | 0.09%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5395000 | PA      | $5333680.59    | 0.08%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5035000 | PA      | $5038777.41    | 0.08%             | 2031-02-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2016-C3                                     | CUSIP: 17325GAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8064458 | PA      | $7997440.74    | 0.13%             | 2049-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2017-C4                                     | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17298000 | PA      | $17036411.00   | 0.27%             | 2050-10-12      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 17327CBC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3736000 | PA      | $3762368.69    | 0.06%             | 2030-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10872000 | PA      | $10269271.54   | 0.16%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2020-555                                    | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6119000 | PA      | $5554311.76    | 0.09%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2025-4                                            | CUSIP: 17332NAX0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    6869371 | PA      | $6880014.75    | 0.11%             | 2055-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                                                | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      70000 | PA      | $68558.46      | 0.00%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                                                | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     220000 | PA      | $227148.60     | 0.00%             | 2028-08-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                                 | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3349457.09    | 0.05%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                                | Comision Federal de Electricidad                                                | CUSIP: 200447AK6<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    1220000 | PA      | $1044764.69    | 0.02%             | 2033-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                                                  | Commonwealth Bank of Australia                                                  | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    3200000 | PA      | $2895508.67    | 0.05%             | 2031-03-11      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                                                  | Commonwealth Bank of Australia                                                  | CUSIP: 202712BV6<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    3200000 | PA      | $3299641.54    | 0.05%             | 2034-03-13      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753ACJ1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   18223394 | PA      | $18342548.02   | 0.29%             | 2043-04-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753CAB6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    6851822 | PA      | $6843037.32    | 0.11%             | 2045-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8639687 | PA      | $8644095.51    | 0.14%             | 2046-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753GAA9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   13111782 | PA      | $13093522.88   | 0.20%             | 2044-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753UAB6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    1040000 | PA      | $1044491.97    | 0.02%             | 2044-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753XAB0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     240000 | PA      | $244712.35     | 0.00%             | 2042-03-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAB7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    4023770 | PA      | $4063896.07    | 0.06%             | 2042-01-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754EAB1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     997500 | PA      | $1019403.30    | 0.02%             | 2043-07-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754GAE0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     350000 | PA      | $350143.82     | 0.01%             | 2044-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAB2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     133632 | PA      | $133983.55     | 0.00%             | 2041-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754TAD4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    4558000 | PA      | $4555364.56    | 0.07%             | 2045-02-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754VAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    4270180 | PA      | $4273543.23    | 0.07%             | 2045-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754YAA9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    6757504 | PA      | $6723063.20    | 0.11%             | 2045-09-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755BAA8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   12714476 | PA      | $12674402.18   | 0.20%             | 2046-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755BAB6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   14429227 | PA      | $14390356.48   | 0.22%             | 2046-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755CAA6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    3465328 | PA      | $3465314.93    | 0.05%             | 2043-10-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755JAC7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    5334000 | PA      | $5306909.15    | 0.08%             | 2045-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755RAC9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     828345 | PA      | $826757.04     | 0.01%             | 2044-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755TAC5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   11307000 | PA      | $11255355.28   | 0.18%             | 2045-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 207932AB0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     760000 | PA      | $788505.55     | 0.01%             | 2042-12-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 207941AA3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    2671242 | PA      | $2669987.92    | 0.04%             | 2044-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                                | Constellation Energy Generation LLC                                             | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    7357000 | PA      | $7136912.55    | 0.11%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                                | Constellation Energy Generation LLC                                             | CUSIP: 210385AQ3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    2755000 | PA      | $2719081.03    | 0.04%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                | Corebridge Financial Inc                                                        | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3123948.03    | 0.05%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                                                  | Corp Andina de Fomento                                                          | CUSIP: 219868CM6<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | NUSS              | XX        |    2384000 | PA      | $2437640.00    | 0.04%             | 2030-06-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57000000 | PA      | $47073984.09   | 0.74%             | 2056-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   89000000 | PA      | $76553906.25   | 1.20%             | 2056-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H032647<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34000000 | PA      | $31179881.22   | 0.49%             | 2056-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25000000 | PA      | $23414405.00   | 0.37%             | 2056-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25790000 | PA      | $24910590.92   | 0.39%             | 2056-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36800000 | PA      | $36443126.11   | 0.57%             | 2056-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36360000 | PA      | $36591567.39   | 0.57%             | 2056-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51300000 | PA      | $52162158.06   | 0.82%             | 2056-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H062644<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12000000 | PA      | $12470770.56   | 0.19%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                      | Credit Agricole SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    5754000 | PA      | $5823892.97    | 0.09%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                      | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     410000 | PA      | $401634.77     | 0.01%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS Group AG                                                                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     400000 | PA      | $391365.27     | 0.01%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                        | Crown Castle Inc                                                                | CUSIP: 22822VBF7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    8800000 | PA      | $8848875.55    | 0.14%             | 2029-09-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                                 | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10275000 | PA      | $9165252.74    | 0.14%             | 2053-08-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                                 | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063BC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2968000 | PA      | $2546993.65    | 0.04%             | 2053-08-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                                 | DBJPM 16-C1 Mortgage Trust                                                      | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     665365 | PA      | $663532.05     | 0.01%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                                        | DP World Ltd/United Arab Emirates                                               | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |     770000 | PA      | $689603.78     | 0.01%             | 2048-09-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                           | DTE Energy Co                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    6466000 | PA      | $6574937.03    | 0.10%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                         | DTE Electric Co                                                                 | CUSIP: 23338VAY2<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1195000 | PA      | $1212021.34    | 0.02%             | 2035-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                         | DTE Electric Co                                                                 | CUSIP: 23338VBB1<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    3480000 | PA      | $3414769.14    | 0.05%             | 2036-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DLLMT LLC                                                               | DLLMT 2024-1 LLC                                                                | CUSIP: 23347AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     320000 | PA      | $324034.11     | 0.01%             | 2032-04-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                    | Deephaven Residential Mortgage Trust 2024-1                                     | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5315266 | PA      | $5337655.55    | 0.08%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                    | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     469929 | PA      | $432550.48     | 0.01%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                                         | Deere & Co                                                                      | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |     150000 | PA      | $143201.63     | 0.00%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                                         | Deere & Co                                                                      | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |     100000 | PA      | $76264.43      | 0.00%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    5422000 | PA      | $5617437.89    | 0.09%             | 2029-01-18      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    6519000 | PA      | $6844740.74    | 0.11%             | 2029-11-20      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    5544000 | PA      | $5601218.96    | 0.09%             | 2031-05-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    5037000 | PA      | $5070975.72    | 0.08%             | 2027-07-13      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                                      | Diamond Infrastructure Funding LLC                                              | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24025000 | PA      | $23486318.66   | 0.37%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                                   | Dick's Sporting Goods Inc                                                       | CUSIP: 253393AF9<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $2908565.47    | 0.05%             | 2032-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                                   | Dick's Sporting Goods Inc                                                       | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $2266525.92    | 0.04%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                     | Dominion Energy Inc                                                             | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    6051000 | PA      | $6227510.88    | 0.10%             | 2055-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                     | Dominion Energy Inc                                                             | CUSIP: 25746UDV8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    5046000 | PA      | $5123244.17    | 0.08%             | 2055-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                     | Dominion Energy Inc                                                             | CUSIP: 25746UEA3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    3855000 | PA      | $3821092.58    | 0.06%             | 2056-02-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                                              | Driven Brands Funding LLC                                                       | CUSIP: 26209XAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     837250 | PA      | $772321.26     | 0.01%             | 2054-10-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                                              | Driven Brands Funding LLC                                                       | CUSIP: 26209XAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     259350 | PA      | $232120.51     | 0.00%             | 2055-10-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                   | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   25751000 | PA      | $26139848.60   | 0.41%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                      | EFMT 2025-NQM4                                                                  | CUSIP: 26846RAD5<br>LEI: 254900CD2QA4YMZIVN66 | Long             | ABS-MBS          | CORP              | US        |   18419210 | PA      | $18432824.08   | 0.29%             | 2070-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                                      | Eastern Energy Gas Holdings LLC                                                 | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1601180.79    | 0.03%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                                      | Eastern Energy Gas Holdings LLC                                                 | CUSIP: 27636AAB8<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    4330000 | PA      | $4490449.54    | 0.07%             | 2035-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                                              | Eaton Corp                                                                      | CUSIP: 278058DY5<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    5510000 | PA      | $5434462.31    | 0.08%             | 2033-03-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                            | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     970000 | PA      | $713755.59     | 0.01%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                                       | Elevation CLO 2025-18 Ltd                                                       | CUSIP: 28623JAA4<br>LEI: 549300YZ3RIOTSOP0V95 | Long             | ABS-CBDO         | CORP              | KY        |     650000 | PA      | $648131.90     | 0.01%             | 2038-03-28      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                                                      | Elmwood CLO I Ltd                                                               | CUSIP: 290015BJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     670000 | PA      | $668662.01     | 0.01%             | 2037-04-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 16 Ltd                                                      | Elmwood CLO 16 Ltd                                                              | CUSIP: 29002UAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5925000 | PA      | $5914903.80    | 0.09%             | 2037-04-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 26 Ltd                                                      | Elmwood CLO 26 Ltd                                                              | CUSIP: 29004CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     200000 | PA      | $200000.00     | 0.00%             | 2037-04-18      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                                        | Empower CLO 2024-1 Ltd                                                          | CUSIP: 29244RAA3<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250120.25     | 0.00%             | 2037-04-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   14595000 | PA      | $14565712.94   | 0.23%             | 2026-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                              | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    5955000 | PA      | $6189358.13    | 0.10%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                              | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     210000 | PA      | $213836.11     | 0.00%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                    | ENEL Finance International NV                                                   | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    6685000 | PA      | $6565685.38    | 0.10%             | 2030-09-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                              | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      80000 | PA      | $80807.88      | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     250000 | PA      | $254625.02     | 0.00%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                              | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     170000 | PA      | $171575.39     | 0.00%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1198655.32    | 0.02%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     410000 | PA      | $402098.15     | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL CO                                                 | Equate Petrochemical Co KSCC                                                    | CUSIP: 29441WAC9<br>LEI: 635400J73BDO4TTGXD45 | Long             | DBT              | CORP              | KW        |     510000 | PA      | $504549.53     | 0.01%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL BV                                                             | MEGlobal BV                                                                     | CUSIP: 29441WAD7<br>LEI: 549300WBVLU2FILR7W19 | Long             | DBT              | CORP              | NL        |     770000 | PA      | $721310.28     | 0.01%             | 2028-04-28      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                 | Essential Utilities Inc                                                         | CUSIP: 29670GAL6<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |    4220000 | PA      | $4161060.27    | 0.07%             | 2036-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                             | Exelon Corp                                                                     | CUSIP: 30161NBN0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   12010000 | PA      | $12278073.29   | 0.19%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAS6<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |   10576000 | PA      | $10662748.05   | 0.17%             | 2034-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp                                                        | Exxon Mobil Corp                                                                | CUSIP: 30229BD61<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | STIV             | CORP              | US        |   12400000 | PA      | $12393662.24   | 0.19%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp                                                        | Exxon Mobil Corp                                                                | CUSIP: 30229BD87<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | STIV             | CORP              | US        |   10000000 | PA      | $9992786.10    | 0.16%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                      | Meta Platforms Inc                                                              | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    6252000 | PA      | $5967416.21    | 0.09%             | 2032-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     543211 | PA      | $542606.16     | 0.01%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160251 | PA      | $165058.50     | 0.00%             | 2047-11-01      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293172 | PA      | $299051.43     | 0.00%             | 2050-02-01      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24687 | PA      | $24463.06      | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31307WYS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8514 | PA      | $8216.84       | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                        | Freddie Mac Strips                                                              | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152047 | PA      | $15608.54      | 0.00%             | 2044-08-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                        | Freddie Mac Strips                                                              | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72925 | PA      | $7420.08       | 0.00%             | 2046-12-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96874 | PA      | $93150.34      | 0.00%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 31329NP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45456883 | PA      | $42476966.66   | 0.66%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1629667 | PA      | $1599717.86    | 0.03%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42680818 | PA      | $38296431.05   | 0.60%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132A5HR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5324011 | PA      | $5082985.77    | 0.08%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21687 | PA      | $21079.25      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11483 | PA      | $11148.40      | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2009459 | PA      | $2013951.23    | 0.03%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132ADXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3342474 | PA      | $3281022.14    | 0.05%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     277783 | PA      | $243964.49     | 0.00%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254094 | PA      | $222000.75     | 0.00%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63744 | PA      | $55617.03      | 0.00%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194902 | PA      | $169582.10     | 0.00%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     211878 | PA      | $184091.05     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     354565 | PA      | $309623.65     | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9K29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     689480 | PA      | $597953.68     | 0.01%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9K86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74311 | PA      | $64663.85      | 0.00%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9LV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     225664 | PA      | $209081.93     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     463886 | PA      | $406172.22     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9QC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19166830 | PA      | $17213860.83   | 0.27%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9QM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77203 | PA      | $67130.85      | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37244 | PA      | $32911.29      | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139941 | PA      | $120229.11     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7440583 | PA      | $6998078.17    | 0.11%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56249 | PA      | $46424.97      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129439 | PA      | $126236.15     | 0.00%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77146 | PA      | $66256.47      | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240550 | PA      | $233636.38     | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75000 | PA      | $66656.48      | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2938178 | PA      | $2646656.79    | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     807197 | PA      | $772566.53     | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     544173 | PA      | $539333.01     | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DP2Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226594 | PA      | $225991.38     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217763 | PA      | $211633.52     | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPCK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2235295 | PA      | $2277431.69    | 0.04%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73692 | PA      | $74691.31      | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205371 | PA      | $210637.19     | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73613 | PA      | $72947.32      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146525 | PA      | $142156.30     | 0.00%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158478 | PA      | $154306.98     | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151100 | PA      | $150015.10     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15848 | PA      | $15371.30      | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127830 | PA      | $132920.12     | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68072 | PA      | $69095.31      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPXE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19818917 | PA      | $20171742.27   | 0.32%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72617 | PA      | $73242.63      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQ2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239603 | PA      | $243203.56     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166539 | PA      | $168482.09     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75584 | PA      | $76955.43      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75463 | PA      | $76733.72      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68520 | PA      | $67727.38      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138600 | PA      | $141101.08     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76248 | PA      | $73408.87      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     912917 | PA      | $815716.80     | 0.01%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62187 | PA      | $64679.91      | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQJE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67330 | PA      | $66489.13      | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234758 | PA      | $238286.48     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DS3U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2509615 | PA      | $2554238.42    | 0.04%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DS5M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82031 | PA      | $78997.62      | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DSP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18348087 | PA      | $18664242.88   | 0.29%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     448532 | PA      | $365673.53     | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5068435 | PA      | $4981514.27    | 0.08%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5001096 | PA      | $4789790.55    | 0.07%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73176 | PA      | $65571.79      | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14869734 | PA      | $12791637.57   | 0.20%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2519285 | PA      | $2252338.67    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2212904 | PA      | $1900097.77    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314851 | PA      | $270697.00     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275801 | PA      | $237367.63     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290316 | PA      | $250051.29     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3231646 | PA      | $2773141.15    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1741651 | PA      | $1497198.91    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1301998 | PA      | $1163656.70    | 0.02%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13952371 | PA      | $12423928.68   | 0.19%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     370445 | PA      | $353040.50     | 0.01%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5123472 | PA      | $4169544.02    | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     979408 | PA      | $795973.84     | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13519625 | PA      | $10951448.37   | 0.17%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17328464 | PA      | $16795724.17   | 0.26%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74143 | PA      | $73493.77      | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230368 | PA      | $228859.97     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0BE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3081238 | PA      | $3159349.62    | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0CW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29310242 | PA      | $26987618.22   | 0.42%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21867754 | PA      | $22184333.94   | 0.35%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0KM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147763 | PA      | $148989.15     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0PA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1315290 | PA      | $1361386.79    | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0VN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     563974 | PA      | $589330.24     | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0Z62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157743 | PA      | $159620.34     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93788 | PA      | $84769.09      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240928 | PA      | $218326.47     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68916 | PA      | $62450.52      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38868 | PA      | $35108.36      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6814230 | PA      | $6389923.85    | 0.10%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335BXV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3543267 | PA      | $3201802.48    | 0.05%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335BZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5574168 | PA      | $5759408.73    | 0.09%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58431 | PA      | $50298.24      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62614 | PA      | $53832.59      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67122 | PA      | $55212.04      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55056 | PA      | $44931.39      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54740 | PA      | $45069.54      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54430 | PA      | $44862.81      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     287995 | PA      | $237381.10     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58855 | PA      | $48300.01      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67216 | PA      | $55274.03      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62308 | PA      | $51098.65      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50649 | PA      | $41617.70      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65203 | PA      | $53469.43      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59687 | PA      | $49053.22      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AMS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118540 | PA      | $106164.12     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63645 | PA      | $54844.39      | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69390 | PA      | $59795.19      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71253 | PA      | $61283.65      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74821 | PA      | $64352.02      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64056 | PA      | $55198.32      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     415573 | PA      | $356586.40     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72554 | PA      | $62273.07      | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72995 | PA      | $65226.92      | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133AWH72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75845 | PA      | $61924.00      | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B0SH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18165885 | PA      | $15641230.29   | 0.24%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B2MQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68609 | PA      | $61177.83      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222818 | PA      | $191280.29     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74030 | PA      | $63639.12      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B5EE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79611 | PA      | $70599.27      | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218387 | PA      | $193367.19     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133BMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12480907 | PA      | $11817961.95   | 0.18%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133BMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2012072 | PA      | $2033034.47    | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133BQSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77702 | PA      | $75429.24      | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133BSPH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97925 | PA      | $99821.80      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133BTCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73156 | PA      | $72385.13      | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133BUGZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51465 | PA      | $53421.81      | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133BUNF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52564 | PA      | $54799.12      | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133BWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42735 | PA      | $44366.26      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62034 | PA      | $62841.50      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74659 | PA      | $75364.93      | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133D4QF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145517 | PA      | $126311.69     | 0.00%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73860 | PA      | $66463.83      | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KJDA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283663 | PA      | $249527.57     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KJNE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1587701 | PA      | $1359738.13    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190786 | PA      | $157317.99     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687087 | PA      | $590412.85     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     462470 | PA      | $398228.05     | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     409399 | PA      | $351130.39     | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214183 | PA      | $175673.84     | 0.00%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326634 | PA      | $268181.40     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KLJ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2545736 | PA      | $2186480.39    | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     874214 | PA      | $717417.05     | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KMJG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4976638 | PA      | $4433622.35    | 0.07%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KN6X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     563289 | PA      | $535640.30     | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64653 | PA      | $59719.79      | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66426 | PA      | $57415.44      | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147815 | PA      | $130880.68     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KPN95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10546051 | PA      | $10522737.98   | 0.16%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KPY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22798411 | PA      | $22759893.74   | 0.36%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KPZH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8994918 | PA      | $9191880.93    | 0.14%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KQ3M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112317 | PA      | $117092.54     | 0.00%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     615181 | PA      | $613298.14     | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KRCQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64154 | PA      | $67632.81      | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KRCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55555 | PA      | $58533.98      | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65022 | PA      | $68279.70      | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KRPW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70598 | PA      | $71419.69      | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYT41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98763 | PA      | $87162.59      | 0.00%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     492953 | PA      | $434952.03     | 0.01%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     602830 | PA      | $513285.93     | 0.01%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71392 | PA      | $60116.63      | 0.00%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208672 | PA      | $181353.01     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     673978 | PA      | $571511.52     | 0.01%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65008 | PA      | $56804.49      | 0.00%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480795 | PA      | $406758.49     | 0.01%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     201422 | PA      | $175671.17     | 0.00%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     669433 | PA      | $583396.14     | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     675003 | PA      | $568891.49     | 0.01%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     340707 | PA      | $296468.25     | 0.00%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149213 | PA      | $138133.78     | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70983 | PA      | $61633.13      | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286993 | PA      | $248970.14     | 0.00%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142504 | PA      | $128049.22     | 0.00%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222438 | PA      | $192828.46     | 0.00%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72942 | PA      | $65498.56      | 0.00%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133USH95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227184 | PA      | $211420.06     | 0.00%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133WKN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1590106 | PA      | $1583074.10    | 0.02%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201501 | PA      | $184087.07     | 0.00%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ADA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197992 | PA      | $156659.06     | 0.00%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12633 | PA      | $1308.18       | 0.00%             | 2043-06-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30470 | PA      | $2943.37       | 0.00%             | 2043-12-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289511 | PA      | $250201.59     | 0.00%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23271 | PA      | $22128.13      | 0.00%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195911 | PA      | $11795.77      | 0.00%             | 2046-09-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AWPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2317793 | PA      | $2150122.16    | 0.03%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216917 | PA      | $27233.58      | 0.00%             | 2057-10-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39300 | PA      | $3180.18       | 0.00%             | 2047-11-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B3YD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $286521.03     | 0.00%             | 2036-01-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224353 | PA      | $133410.09     | 0.00%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338047 | PA      | $302211.23     | 0.00%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510499 | PA      | $80789.20      | 0.00%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     587384 | PA      | $471291.14     | 0.01%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131339 | PA      | $21625.98      | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BCER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120632 | PA      | $21112.20      | 0.00%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609416 | PA      | $89913.23      | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459434 | PA      | $71766.04      | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350376 | PA      | $59315.73      | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BG4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116037 | PA      | $105408.63     | 0.00%             | 2046-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     770731 | PA      | $111816.12     | 0.00%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BH7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     780841 | PA      | $120775.00     | 0.00%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BHD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163149 | PA      | $28221.60      | 0.00%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313251 | PA      | $261129.61     | 0.00%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BJWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     572885 | PA      | $90117.06      | 0.00%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423659 | PA      | $325521.75     | 0.01%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BMZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1184926 | PA      | $203782.42     | 0.00%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BPPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484316 | PA      | $67477.41      | 0.00%             | 2050-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BPUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1614252 | PA      | $198558.61     | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BQ3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     923707 | PA      | $161592.67     | 0.00%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BRH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2920372 | PA      | $388331.52     | 0.01%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BS2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6020695 | PA      | $6046355.67    | 0.09%             | 2054-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BTE66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9945205 | PA      | $9958971.15    | 0.16%             | 2054-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BTRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     785862 | PA      | $787031.68     | 0.01%             | 2054-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BTS53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1235983 | PA      | $1238693.70    | 0.02%             | 2054-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13105364 | PA      | $13175942.02   | 0.21%             | 2055-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BVJR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8691564 | PA      | $8664533.91    | 0.14%             | 2055-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8083137 | PA      | $8141061.92    | 0.13%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83729 | PA      | $8462.91       | 0.00%             | 2041-12-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5809493 | PA      | $8771.75       | 0.00%             | 2026-08-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137BWY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1750317 | PA      | $1539673.99    | 0.02%             | 2045-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     434711 | PA      | $72794.60      | 0.00%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     690450 | PA      | $19190.71      | 0.00%             | 2030-12-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118381 | PA      | $103630.57     | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79147 | PA      | $69625.86      | 0.00%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649931 | PA      | $4984.91       | 0.00%             | 2027-12-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74498 | PA      | $65456.70      | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     577788 | PA      | $23878.23      | 0.00%             | 2034-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     674929 | PA      | $15990.90      | 0.00%             | 2029-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1150000 | PA      | $38811.93      | 0.00%             | 2029-06-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $11356.71      | 0.00%             | 2029-06-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248611 | PA      | $1855.95       | 0.00%             | 2027-06-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288220 | PA      | $7095.40       | 0.00%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1683130 | PA      | $2668.43       | 0.00%             | 2026-10-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     600000 | PA      | $27740.46      | 0.00%             | 2030-01-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1650680 | PA      | $78780.19      | 0.00%             | 2030-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     709127 | PA      | $159343.18     | 0.00%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1752948 | PA      | $94286.70      | 0.00%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FUVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87823 | PA      | $76849.19      | 0.00%             | 2045-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112542 | PA      | $17202.51      | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274272 | PA      | $45208.71      | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68501 | PA      | $11372.43      | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     683954 | PA      | $31743.53      | 0.00%             | 2030-06-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1257204 | PA      | $60615.23      | 0.00%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212437 | PA      | $28623.01      | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FYAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124264 | PA      | $110286.06     | 0.00%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FYJM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     384839 | PA      | $88371.23      | 0.00%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1183600 | PA      | $38960.43      | 0.00%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1966119 | PA      | $40279.49      | 0.00%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1109392 | PA      | $9674.34       | 0.00%             | 2028-03-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H0TS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     662663 | PA      | $85451.47      | 0.00%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     974563 | PA      | $15870.27      | 0.00%             | 2028-05-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2876456 | PA      | $125679.83     | 0.00%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377254 | PA      | $52249.13      | 0.00%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H2N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2382115 | PA      | $77054.03      | 0.00%             | 2031-07-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H2UH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     998147 | PA      | $142393.50     | 0.00%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H2UN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393573 | PA      | $48412.79      | 0.00%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H3ST0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     600922 | PA      | $83819.76      | 0.00%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H4AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     711762 | PA      | $96898.17      | 0.00%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3759819 | PA      | $62291.92      | 0.00%             | 2031-09-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H4YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     767750 | PA      | $128426.87     | 0.00%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     262715 | PA      | $32588.16      | 0.00%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1594282 | PA      | $25308.42      | 0.00%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1689424 | PA      | $31926.39      | 0.00%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $366625.84     | 0.01%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21463000 | PA      | $19229448.61   | 0.30%             | 2032-04-25      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1889702 | PA      | $34069.06      | 0.00%             | 2032-05-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2648325 | PA      | $57581.21      | 0.00%             | 2032-06-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5785438 | PA      | $90588.97      | 0.00%             | 2032-07-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2681432 | PA      | $45583.55      | 0.00%             | 2032-08-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10595000 | PA      | $10175470.84   | 0.16%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4785709 | PA      | $61647.58      | 0.00%             | 2032-10-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H9QF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1371994 | PA      | $213410.02     | 0.00%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H9QG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     811469 | PA      | $100234.49     | 0.00%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HAAJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2198726 | PA      | $40653.79      | 0.00%             | 2033-05-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7284000 | PA      | $7326148.87    | 0.11%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HBDW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     735511 | PA      | $88800.10      | 0.00%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HBW42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398019 | PA      | $88731.22      | 0.00%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HFD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17081894 | PA      | $17137729.97   | 0.27%             | 2054-08-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HFGQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13317309 | PA      | $13327873.92   | 0.21%             | 2054-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HHWV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283428 | PA      | $284275.63     | 0.00%             | 2055-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HJAV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     436167 | PA      | $439816.61     | 0.01%             | 2054-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HLBG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13004998 | PA      | $13064940.84   | 0.20%             | 2055-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EK7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123366 | PA      | $119115.83     | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22649 | PA      | $21353.18      | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EPDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67787 | PA      | $70762.87      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85967 | PA      | $77806.26      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128223 | PA      | $126897.67     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETHB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177254 | PA      | $174873.47     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36620 | PA      | $37687.01      | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LJB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335053 | PA      | $330212.00     | 0.01%             | 2027-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14658 | PA      | $13367.60      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47074 | PA      | $42929.46      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WDH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1483806 | PA      | $1397114.87    | 0.02%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WEW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341661 | PA      | $310684.31     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WHSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     832751 | PA      | $753232.35     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WJSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60087 | PA      | $54271.54      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29445 | PA      | $28428.29      | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WJWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214770 | PA      | $194380.56     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193931 | PA      | $185536.13     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38706 | PA      | $35292.25      | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138Y4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1469010 | PA      | $1415339.79    | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                    | Fannie Mae REMIC Trust 2004-W11                                                 | CUSIP: 31394AB47<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |      31388 | PA      | $32204.12      | 0.00%             | 2044-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31394JY35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108638 | PA      | $113258.42     | 0.00%             | 2043-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31398NJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172159 | PA      | $16607.93      | 0.00%             | 2040-09-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140AQS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1716799 | PA      | $1738250.93    | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140F9WR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169192 | PA      | $152816.08     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150657 | PA      | $136137.78     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197556 | PA      | $186875.51     | 0.00%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245951 | PA      | $237476.15     | 0.00%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34190 | PA      | $32916.87      | 0.00%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281266 | PA      | $231280.07     | 0.00%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140GPAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207797 | PA      | $203584.41     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59125 | PA      | $58358.69      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49324 | PA      | $42219.56      | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J8VU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     971869 | PA      | $885056.60     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164438 | PA      | $155143.87     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192484 | PA      | $181466.51     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9T68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16149206 | PA      | $14616774.99   | 0.23%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9T84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13096566 | PA      | $11786074.03   | 0.18%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77722 | PA      | $76413.67      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140K0SW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14179236 | PA      | $12704356.62   | 0.20%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50959 | PA      | $41939.73      | 0.00%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162515 | PA      | $139578.74     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51037 | PA      | $42124.21      | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60434 | PA      | $51898.13      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KXAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57874 | PA      | $49706.16      | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66031 | PA      | $56877.09      | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KYPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5059485 | PA      | $4162999.28    | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59025 | PA      | $48167.15      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60125 | PA      | $49440.85      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57284 | PA      | $47029.68      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53835 | PA      | $44582.89      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114383 | PA      | $93308.95      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62817 | PA      | $51694.42      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6094932 | PA      | $5013460.99    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59102 | PA      | $48502.14      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68280 | PA      | $56185.60      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60410 | PA      | $49575.62      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64421 | PA      | $53071.16      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64258 | PA      | $52841.95      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61408 | PA      | $50451.87      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60729 | PA      | $49846.25      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L8DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105974 | PA      | $91121.89      | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94777 | PA      | $94204.09      | 0.00%             | 2032-10-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62545 | PA      | $53793.54      | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LNA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5981600 | PA      | $5154453.30    | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66790 | PA      | $57507.28      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66565 | PA      | $57250.97      | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60729 | PA      | $52331.50      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66842 | PA      | $57489.13      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216621 | PA      | $192965.42     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133459 | PA      | $114593.23     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MAWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73385 | PA      | $73290.98      | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61128 | PA      | $54534.89      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66837 | PA      | $57348.71      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62107 | PA      | $55147.33      | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133073 | PA      | $123715.05     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63612 | PA      | $63304.31      | 0.00%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140N6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85621 | PA      | $83253.86      | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NBPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65522 | PA      | $66467.71      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NCRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53281 | PA      | $55290.43      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NSQX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4978498 | PA      | $5190191.79    | 0.08%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86536 | PA      | $85028.33      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139949 | PA      | $137592.27     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115462 | PA      | $110078.36     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QEKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20102601 | PA      | $17279806.30   | 0.27%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QEYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187502 | PA      | $152747.98     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241504 | PA      | $196989.59     | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61910 | PA      | $50422.05      | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179137 | PA      | $153880.88     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QFG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1390846 | PA      | $1224158.37    | 0.02%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122124 | PA      | $108612.24     | 0.00%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QGM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35347668 | PA      | $30518748.28   | 0.48%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118160 | PA      | $106965.10     | 0.00%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16025357 | PA      | $13012525.20   | 0.20%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122292 | PA      | $110654.17     | 0.00%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262940 | PA      | $237431.72     | 0.00%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QLMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5788525 | PA      | $4745970.70    | 0.07%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366302 | PA      | $299303.65     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QLRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20840173 | PA      | $17898481.16   | 0.28%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     767523 | PA      | $679607.78     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272613 | PA      | $245379.64     | 0.00%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66345 | PA      | $59804.78      | 0.00%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70832 | PA      | $63083.00      | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     558569 | PA      | $477000.61     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     841350 | PA      | $734674.86     | 0.01%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218408 | PA      | $187323.93     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64286 | PA      | $59042.12      | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69414 | PA      | $64139.42      | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292167 | PA      | $259616.96     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430905 | PA      | $409754.09     | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QP3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8225868 | PA      | $8417351.50    | 0.13%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPAD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10924817 | PA      | $10137963.63   | 0.16%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65068 | PA      | $65005.41      | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278036 | PA      | $279745.41     | 0.00%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QQSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7174776 | PA      | $7312618.10    | 0.11%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QQWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62380 | PA      | $65612.62      | 0.00%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345910 | PA      | $361626.09     | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QS3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     624296 | PA      | $633677.93     | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235346 | PA      | $237953.59     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QSHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1375850 | PA      | $1413814.60    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QSQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420301 | PA      | $435508.55     | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QSTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5762283 | PA      | $5752548.66    | 0.09%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69650 | PA      | $66470.00      | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30740 | PA      | $29376.98      | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195346 | PA      | $196263.88     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45674 | PA      | $44501.32      | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X4PF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3340127 | PA      | $3214755.98    | 0.05%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5TL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2387323 | PA      | $2335103.28    | 0.04%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422563 | PA      | $415582.60     | 0.01%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X67M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1855824 | PA      | $1671544.51    | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X6L74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254511 | PA      | $245468.74     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201677 | PA      | $187954.66     | 0.00%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X72U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2885968 | PA      | $2916602.39    | 0.05%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658854 | PA      | $616981.75     | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258643 | PA      | $210646.19     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X8CP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122815 | PA      | $105082.64     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X8LV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13521246 | PA      | $11107775.88   | 0.17%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144606 | PA      | $144244.51     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249374 | PA      | $214179.66     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9LP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4148790 | PA      | $3420965.12    | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9LZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48159 | PA      | $41374.61      | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103000 | PA      | $97923.17      | 0.00%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44375 | PA      | $38123.91      | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348133 | PA      | $284772.74     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34411 | PA      | $33154.98      | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9XJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5426194 | PA      | $5598003.75    | 0.09%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63950 | PA      | $52311.13      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280798 | PA      | $230492.61     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59886 | PA      | $51540.93      | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66406 | PA      | $57304.87      | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71961 | PA      | $69449.81      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108645 | PA      | $93623.93      | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67638 | PA      | $58176.03      | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135510 | PA      | $129192.23     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63320 | PA      | $54273.56      | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133947 | PA      | $115680.41     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XC5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52567 | PA      | $49790.09      | 0.00%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     873338 | PA      | $749349.63     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57604 | PA      | $51772.08      | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292637 | PA      | $262281.19     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8543718 | PA      | $7337757.98    | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290831 | PA      | $258081.40     | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24287582 | PA      | $22367538.42   | 0.35%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236117 | PA      | $212297.29     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355116 | PA      | $305428.73     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193099 | PA      | $165147.09     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XD6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138011 | PA      | $120575.20     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61899 | PA      | $55613.11      | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137597 | PA      | $120465.11     | 0.00%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266681 | PA      | $238051.60     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64438 | PA      | $57643.92      | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62404 | PA      | $53582.44      | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70559 | PA      | $57715.69      | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1390827 | PA      | $1244365.54    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73363 | PA      | $60009.47      | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XEAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142593 | PA      | $123853.72     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59954 | PA      | $51831.18      | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139330 | PA      | $119511.42     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132319 | PA      | $117995.26     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56404 | PA      | $50611.12      | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54645 | PA      | $53365.71      | 0.00%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70580 | PA      | $60722.12      | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280504 | PA      | $248749.73     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66386 | PA      | $59516.37      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15121525 | PA      | $12426956.46   | 0.19%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352518 | PA      | $303035.87     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138864 | PA      | $123752.66     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371026 | PA      | $317795.87     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374977 | PA      | $321375.90     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72062 | PA      | $62047.20      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70504 | PA      | $60508.83      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76663 | PA      | $65690.34      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFX30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195566 | PA      | $175931.13     | 0.00%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212062 | PA      | $187767.93     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69756 | PA      | $62704.84      | 0.00%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147748 | PA      | $121390.97     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     830490 | PA      | $744429.49     | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262132 | PA      | $239989.02     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGLT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66127 | PA      | $61740.57      | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208471 | PA      | $187332.83     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22793093 | PA      | $21174342.28   | 0.33%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65517 | PA      | $59822.50      | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14077451 | PA      | $14115196.90   | 0.22%             | 2051-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136647 | PA      | $127189.53     | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6291760 | PA      | $6107755.54    | 0.10%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67223 | PA      | $61306.87      | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69517 | PA      | $59586.56      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     504857 | PA      | $469892.62     | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223612 | PA      | $206850.11     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XH5W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54231317 | PA      | $45692327.78   | 0.71%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632842 | PA      | $583562.92     | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJ7B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     672274 | PA      | $664218.53     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276033 | PA      | $255055.12     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     545013 | PA      | $445421.87     | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222121 | PA      | $216192.89     | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJTF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181837 | PA      | $180749.09     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65102 | PA      | $66699.75      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XK2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11438080 | PA      | $11242002.40   | 0.18%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XK5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71997 | PA      | $69402.68      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XK6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77427 | PA      | $69736.16      | 0.00%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XK6S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70860 | PA      | $69908.16      | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2489701 | PA      | $2228997.17    | 0.03%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142421 | PA      | $138174.03     | 0.00%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144401 | PA      | $143136.75     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77565 | PA      | $75523.06      | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76017 | PA      | $75139.43      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122512 | PA      | $128390.10     | 0.00%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210856 | PA      | $214025.10     | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400278 | PA      | $329346.86     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323096 | PA      | $264360.51     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78488 | PA      | $72539.72      | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74252 | PA      | $73995.07      | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79353 | PA      | $65036.08      | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLCK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210067 | PA      | $216123.66     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLD47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11107888 | PA      | $11225508.80   | 0.18%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71863 | PA      | $72942.79      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11228942 | PA      | $11767963.03   | 0.18%             | 2042-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10235917 | PA      | $10559242.72   | 0.17%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XMZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     447923 | PA      | $424774.43     | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XN6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248452 | PA      | $216909.73     | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XN6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165803 | PA      | $143705.20     | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XNEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210334 | PA      | $212659.11     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XNQ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123793 | PA      | $129468.96     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XNQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189039 | PA      | $196284.03     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XNVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1868965 | PA      | $1595609.49    | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XPC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     586398 | PA      | $607163.86     | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XPPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120934 | PA      | $125569.24     | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XQ2W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204751 | PA      | $211679.16     | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XQFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340532 | PA      | $289561.63     | 0.00%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XQQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     599441 | PA      | $522926.80     | 0.01%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XQUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6308672 | PA      | $5349579.40    | 0.08%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27350 | PA      | $26087.87      | 0.00%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31416RRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99891 | PA      | $98858.60      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87453 | PA      | $83280.69      | 0.00%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203378 | PA      | $193246.98     | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48066 | PA      | $45651.01      | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122568 | PA      | $116667.74     | 0.00%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336544 | PA      | $319458.78     | 0.00%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71390 | PA      | $66504.95      | 0.00%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230953 | PA      | $219025.35     | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426692 | PA      | $395857.35     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39497841 | PA      | $32030523.18   | 0.50%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265279 | PA      | $231188.34     | 0.00%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1057319 | PA      | $856877.78     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66545 | PA      | $57950.98      | 0.00%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425158 | PA      | $358370.72     | 0.01%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204120 | PA      | $177514.19     | 0.00%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21326894 | PA      | $17387122.92   | 0.27%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88305 | PA      | $86119.09      | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33083 | PA      | $30733.71      | 0.00%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140687 | PA      | $127526.74     | 0.00%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1603559 | PA      | $1303661.83    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     640647 | PA      | $520165.10     | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65741 | PA      | $57453.48      | 0.00%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348411 | PA      | $302814.94     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1631313 | PA      | $1382016.21    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     633809 | PA      | $549765.33     | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71462 | PA      | $61933.88      | 0.00%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139026 | PA      | $124911.18     | 0.00%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147976 | PA      | $128289.25     | 0.00%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214540 | PA      | $192637.40     | 0.00%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393964 | PA      | $346820.05     | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73438 | PA      | $65959.27      | 0.00%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224188 | PA      | $206411.58     | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72273 | PA      | $66532.17      | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604533 | PA      | $585762.74     | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19826942 | PA      | $19350585.30   | 0.30%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273266 | PA      | $275673.98     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8071973 | PA      | $8135299.19    | 0.13%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                         | Fannie Mae Interest Strip                                                       | CUSIP: 31423XMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     703512 | PA      | $88985.73      | 0.00%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                         | Fannie Mae Interest Strip                                                       | CUSIP: 31423XQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430518 | PA      | $70397.48      | 0.00%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                         | Fannie Mae Interest Strip                                                       | CUSIP: 31424U6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1642113 | PA      | $208067.02     | 0.00%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                         | Fannie Mae Interest Strip                                                       | CUSIP: 31424U8E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1671961 | PA      | $383045.35     | 0.01%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 31427MUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3010091 | PA      | $2992118.06    | 0.05%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3142GRBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178846 | PA      | $185634.39     | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3142GRQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155509 | PA      | $159301.25     | 0.00%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3142GRQL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147543 | PA      | $153180.36     | 0.00%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                      | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193316 | PA      | $163041.19     | 0.00%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                             | FIGRE Trust 2025-HE5                                                            | CUSIP: 31684MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3372130 | PA      | $3362980.85    | 0.05%             | 2055-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                             | FIGRE Trust 2025-FL2                                                            | CUSIP: 31684TAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2226576 | PA      | $2213959.90    | 0.03%             | 2055-11-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                        | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     510000 | PA      | $505846.89     | 0.01%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                | Florida Power & Light Co                                                        | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     240000 | PA      | $239030.50     | 0.00%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp                              | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                        | CUSIP: 341271AH7<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |    6250000 | PA      | $6549036.88    | 0.10%             | 2034-07-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                            | Ford Credit Auto Owner Trust 2024-B                                             | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12330994 | PA      | $12426762.52   | 0.19%             | 2029-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                            | Ford Credit Auto Owner Trust 2026-A                                             | CUSIP: 34532WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3619000 | PA      | $3618994.21    | 0.06%             | 2029-01-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                      | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     270000 | PA      | $272212.31     | 0.00%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4725920.55    | 0.07%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     300000 | PA      | $303749.34     | 0.00%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     460000 | PA      | $476052.81     | 0.01%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2328089.87    | 0.04%             | 2032-01-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4189537.20    | 0.07%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AE3<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    3335000 | PA      | $3476364.38    | 0.05%             | 2038-01-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    7202000 | PA      | $7418949.74    | 0.12%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1                   | CUSIP: 35563PR43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355736 | PA      | $298732.77     | 0.00%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2021-DNA2                                         | CUSIP: 35564KDB2<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |     144193 | PA      | $146486.46     | 0.00%             | 2033-08-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |    3015748 | PA      | $3023673.76    | 0.05%             | 2034-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |     584892 | PA      | $585429.73     | 0.01%             | 2041-10-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |   10549000 | PA      | $10627660.73   | 0.17%             | 2042-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |     124183 | PA      | $124249.60     | 0.00%             | 2042-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |     830000 | PA      | $841679.26     | 0.01%             | 2042-04-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |     990000 | PA      | $1010704.76    | 0.02%             | 2042-05-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2022-DNA5                                         | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | USGSE             | US        |     240000 | PA      | $248725.82     | 0.00%             | 2042-06-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2024-DNA1                                         | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | USGSE             | US        |     470000 | PA      | $472231.61     | 0.01%             | 2044-02-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2025-DNA1                                         | CUSIP: 35564NGA5<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | USGSE             | US        |    1050000 | PA      | $1044040.94    | 0.02%             | 2045-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac Stacr Remic Trust 2025-Hqa1                                         | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | USGSE             | US        |    1200000 | PA      | $1194889.32    | 0.02%             | 2045-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2025-DNA2                                         | CUSIP: 35564NHZ9<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |     949658 | PA      | $948903.84     | 0.01%             | 2045-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2025-DNA2                                         | CUSIP: 35564NJA2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |    4443000 | PA      | $4425318.19    | 0.07%             | 2045-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac Stacr Remic Trust 2025-Dna3                                         | CUSIP: 35564UAQ0<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |    5775300 | PA      | $5757112.43    | 0.09%             | 2045-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac Stacr Remic Trust 2025-Dna3                                         | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |    6322698 | PA      | $6313053.98    | 0.10%             | 2045-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2025-DNA4                                         | CUSIP: 35564UBR7<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-MBS          | USGSE             | US        |    4096991 | PA      | $4087144.32    | 0.06%             | 2045-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Structured Agency Credit Risk 2026-DNA1                                         | CUSIP: 35564UCR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11666871 | PA      | $11630609.68   | 0.18%             | 2046-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                    | FREMF 2017-K71 Mortgage Trust                                                   | CUSIP: 35708WAS9<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    2731000 | PA      | $2685495.26    | 0.04%             | 2050-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| County of Fresno CA                                                     | FRESNO CNTY CA PENSN OBLG                                                       | CUSIP: 358266CK8<br>LEI: 549300JJ6NWR5CVGI705 | Long             | DBT              | MUN               | US        |    4220000 | PA      | $3156925.45    | 0.05%             | 2032-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                                                    | GCAT 2019-NQM2 Trust                                                            | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292389 | PA      | $288161.64     | 0.00%             | 2060-01-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| GGAM Master Trust US LLC                                                | GGAM Master Trust International Ltd                                             | CUSIP: 36173XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     381038 | PA      | $379665.35     | 0.01%             | 2060-09-30      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32428 | PA      | $29666.59      | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10881 | PA      | $9936.83       | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6479 | PA      | $6221.24       | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140903 | PA      | $132048.44     | 0.00%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86314 | PA      | $81248.06      | 0.00%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45116 | PA      | $42502.79      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2511 | PA      | $2481.97       | 0.00%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50892 | PA      | $47683.37      | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11994 | PA      | $10878.39      | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32454 | PA      | $30394.85      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55751 | PA      | $52213.85      | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33591 | PA      | $31408.46      | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77784 | PA      | $70514.39      | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118523 | PA      | $113476.67     | 0.00%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12244 | PA      | $11521.51      | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42348 | PA      | $38387.77      | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16233 | PA      | $14661.50      | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46233 | PA      | $44160.77      | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113242 | PA      | $107901.44     | 0.00%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     380139 | PA      | $374162.32     | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     284295 | PA      | $271805.99     | 0.00%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50704 | PA      | $50023.18      | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54148 | PA      | $48940.32      | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     487846 | PA      | $457840.13     | 0.01%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181039 | PA      | $172988.02     | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86539 | PA      | $82659.27      | 0.00%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43161 | PA      | $41218.33      | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3517 | PA      | $3178.50       | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29809 | PA      | $28461.38      | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     390561 | PA      | $372836.08     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23938 | PA      | $22843.12      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81761 | PA      | $80553.19      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43181 | PA      | $41290.95      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7270 | PA      | $7139.89       | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28367 | PA      | $28637.15      | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107199 | PA      | $105475.48     | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21526 | PA      | $21651.38      | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179140 | PA      | $155110.93     | 0.00%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37935 | PA      | $38296.47      | 0.00%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1008163 | PA      | $944029.25     | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28250 | PA      | $26937.62      | 0.00%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36298 | PA      | $36628.61      | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22337 | PA      | $20916.00      | 0.00%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74707 | PA      | $73530.88      | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152955 | PA      | $154639.51     | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     275321 | PA      | $257791.17     | 0.00%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68559 | PA      | $69169.77      | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144336 | PA      | $142019.06     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99917 | PA      | $100704.48     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154450 | PA      | $152066.43     | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105935 | PA      | $106813.15     | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     215299 | PA      | $204815.35     | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134640 | PA      | $132354.16     | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65995 | PA      | $62740.85      | 0.00%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     283313 | PA      | $278591.18     | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54551 | PA      | $51843.77      | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64529 | PA      | $65196.50      | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59006 | PA      | $59567.43      | 0.00%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1443704 | PA      | $1193323.73    | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98957 | PA      | $85283.23      | 0.00%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     594032 | PA      | $479710.16     | 0.01%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1174427 | PA      | $970747.19     | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70727 | PA      | $60905.19      | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53816 | PA      | $54327.50      | 0.00%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99107 | PA      | $94191.77      | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     204916 | PA      | $201502.34     | 0.00%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26493 | PA      | $26035.57      | 0.00%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303328 | PA      | $297774.53     | 0.00%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101397 | PA      | $83811.60      | 0.00%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1901060 | PA      | $1572259.67    | 0.02%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143275 | PA      | $141020.58     | 0.00%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1251449 | PA      | $1034411.92    | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27172 | PA      | $26683.48      | 0.00%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179WDG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     540083 | PA      | $436812.18     | 0.01%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     411748 | PA      | $354477.14     | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10997323 | PA      | $9827576.75    | 0.15%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150534 | PA      | $142277.60     | 0.00%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1558302 | PA      | $1555369.99    | 0.02%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5501781 | PA      | $5478506.16    | 0.09%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     306291 | PA      | $290154.27     | 0.00%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     214870 | PA      | $213808.07     | 0.00%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75895 | PA      | $73883.77      | 0.00%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130372 | PA      | $132434.73     | 0.00%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73287 | PA      | $72898.85      | 0.00%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     490922 | PA      | $498771.08     | 0.01%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126202 | PA      | $127753.06     | 0.00%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6737080 | PA      | $6714749.61    | 0.10%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37462 | PA      | $34683.56      | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39843 | PA      | $36887.75      | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24740 | PA      | $22706.36      | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21253 | PA      | $20106.63      | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146650 | PA      | $138737.99     | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26068 | PA      | $24180.22      | 0.00%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26117 | PA      | $24709.01      | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66186 | PA      | $62300.77      | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59252 | PA      | $54556.03      | 0.00%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114568 | PA      | $97676.33      | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155680 | PA      | $137431.95     | 0.00%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64021 | PA      | $54640.28      | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58630 | PA      | $50330.34      | 0.00%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168888 | PA      | $148083.69     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617Y5UR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71304 | PA      | $67118.67      | 0.00%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58864 | PA      | $51818.98      | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                      | Ally Financial Inc                                                              | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    5810000 | PA      | $6442284.35    | 0.10%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| General Motors                                                          | GMF Floorplan Owner Revolving Trust                                             | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26486000 | PA      | $26717585.64   | 0.42%             | 2029-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202D6C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $380.78        | 0.00%             | 2034-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202DUS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2035 | PA      | $2015.97       | 0.00%             | 2032-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1814 | PA      | $1798.44       | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49252 | PA      | $45079.12      | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30356 | PA      | $28574.41      | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21157 | PA      | $19417.93      | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303500 | PA      | $281943.14     | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87849 | PA      | $82355.99      | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206352 | PA      | $182558.32     | 0.00%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     322039 | PA      | $301947.68     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121168 | PA      | $99050.76      | 0.00%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124487 | PA      | $102690.34     | 0.00%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188321 | PA      | $154882.90     | 0.00%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142235 | PA      | $115741.94     | 0.00%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282380 | PA      | $275135.27     | 0.00%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148307 | PA      | $147980.28     | 0.00%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227405 | PA      | $220572.09     | 0.00%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193757 | PA      | $167720.55     | 0.00%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67728 | PA      | $58307.61      | 0.00%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130671 | PA      | $112495.07     | 0.00%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                               | CUSIP: 3622ABDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2334959 | PA      | $2106560.99    | 0.03%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABE65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     341562 | PA      | $294049.83     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128396 | PA      | $110536.12     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135141 | PA      | $116342.41     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66763 | PA      | $57475.63      | 0.00%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68926 | PA      | $59338.48      | 0.00%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     353911 | PA      | $303804.68     | 0.00%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136754 | PA      | $117730.56     | 0.00%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     562518 | PA      | $498646.53     | 0.01%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70051 | PA      | $61948.06      | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82525 | PA      | $74516.00      | 0.00%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137577 | PA      | $122043.93     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200227 | PA      | $176733.27     | 0.00%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     199991 | PA      | $178152.79     | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     229479 | PA      | $204134.56     | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABWK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     506004 | PA      | $449497.74     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54588 | PA      | $49424.60      | 0.00%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AC4M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1781266 | PA      | $1849041.43    | 0.03%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AC5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10889017 | PA      | $11045652.85   | 0.17%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622AC6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1041376 | PA      | $1077838.79    | 0.02%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACA67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75966 | PA      | $71682.31      | 0.00%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                               | CUSIP: 3622ACCD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6908244 | PA      | $7181817.10    | 0.11%             | 2042-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     218933 | PA      | $218589.62     | 0.00%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACEG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137302 | PA      | $138606.93     | 0.00%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     539573 | PA      | $546017.69     | 0.01%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1243243 | PA      | $1261125.33    | 0.02%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     976560 | PA      | $975029.11     | 0.02%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238079 | PA      | $193588.78     | 0.00%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224967 | PA      | $200679.22     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156000 | PA      | $158346.89     | 0.00%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9674770 | PA      | $9813937.35    | 0.15%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     611898 | PA      | $622753.08     | 0.01%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACTU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     765357 | PA      | $790279.39     | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149544 | PA      | $149033.85     | 0.00%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     747959 | PA      | $747575.77     | 0.01%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3622ADBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     822272 | PA      | $849068.66     | 0.01%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                            | GS Mortgage Securities Trust 2018-GS9                                           | CUSIP: 36255NAY1<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    2875000 | PA      | $2673859.83    | 0.04%             | 2051-03-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                            | GS Mortgage Securities Trust 2019-GC39                                          | CUSIP: 36260JAD9<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2094838.24    | 0.03%             | 2052-05-10      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage-Backed Securities Trust 2021-PJ7                                    | CUSIP: 36262CAB6<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    8584123 | PA      | $7116774.35    | 0.11%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                                   | Haleon US Capital LLC                                                           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     250000 | PA      | $247555.36     | 0.00%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                                   | Haleon US Capital LLC                                                           | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     250000 | PA      | $234911.66     | 0.00%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                                  | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAB3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    2941000 | PA      | $2959121.68    | 0.05%             | 2031-01-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                                  | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    2882000 | PA      | $2940910.39    | 0.05%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                                   | GM Financial Automobile Leasing Trust 2024-1                                    | CUSIP: 36269FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1741820 | PA      | $1742927.02    | 0.03%             | 2027-03-22      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage-Backed Securities Trust 2025-PJ8                                    | CUSIP: 36272XBA9<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    1846678 | PA      | $1849205.48    | 0.03%             | 2056-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage Backed Securities Trust 2025 CES2                                   | CUSIP: 36273BAA7<br>LEI: 254900U0V0TUGIF39T29 | Long             | ABS-MBS          | CORP              | US        |    3496194 | PA      | $3484530.00    | 0.05%             | 2055-09-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage-Backed Securities Trust 2025-PJ10                                   | CUSIP: 36273MBA2<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    4230124 | PA      | $4236398.78    | 0.07%             | 2056-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                       | General Motors Co                                                               | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      41000 | PA      | $42445.51      | 0.00%             | 2046-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                       | General Motors Co                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      70000 | PA      | $71667.48      | 0.00%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XFA9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2985000 | PA      | $2960588.85    | 0.05%             | 2034-09-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XFG6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2777000 | PA      | $2841508.38    | 0.04%             | 2032-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XFL5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1935000 | PA      | $1915067.91    | 0.03%             | 2028-10-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                                     | Georgia-Pacific LLC                                                             | CUSIP: 37331NAT8<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |    6170000 | PA      | $6231733.07    | 0.10%             | 2032-06-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                        | Georgia Power Co                                                                | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     210000 | PA      | $213297.18     | 0.00%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Georgia Higher Education Facilities Authority                           | GEORGIA ST HGR EDU FACS AUTH REVENUE                                            | CUSIP: 373511KQ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1515000 | PA      | $1517320.83    | 0.02%             | 2040-01-01      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| GlaxoSmithKline LLC                                                     | GlaxoSmithKline LLC                                                             | CUSIP: 37737QD27<br>LEI: 549300Y2PZWSSLJYI255 | Long             | STIV             | CORP              | US        |   25000000 | PA      | $24997444.50   | 0.39%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                    | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     130000 | PA      | $129427.93     | 0.00%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                    | Glencore Funding LLC                                                            | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      30000 | PA      | $29696.20      | 0.00%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                    | Glencore Funding LLC                                                            | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     480000 | PA      | $490365.47     | 0.01%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                    | Glencore Funding LLC                                                            | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     210000 | PA      | $211224.42     | 0.00%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                    | Glencore Funding LLC                                                            | CUSIP: 378272CE6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5211256.60    | 0.08%             | 2036-04-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8074000 | PA      | $8446571.90    | 0.13%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    9348000 | PA      | $9175096.68    | 0.14%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB86<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7782000 | PA      | $7486545.48    | 0.12%             | 2045-11-19      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8731000 | PA      | $8878249.19    | 0.14%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     180000 | PA      | $194161.60     | 0.00%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     400000 | PA      | $421043.24     | 0.01%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     260000 | PA      | $225194.37     | 0.00%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     720000 | PA      | $713633.18     | 0.01%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     560000 | PA      | $556840.19     | 0.01%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      80000 | PA      | $59318.40      | 0.00%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     180000 | PA      | $126784.85     | 0.00%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     950000 | PA      | $843391.40     | 0.01%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      90000 | PA      | $89282.69      | 0.00%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     840000 | PA      | $835945.21     | 0.01%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2535000 | PA      | $2478398.95    | 0.04%             | 2037-01-21      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     190000 | PA      | $169916.76     | 0.00%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust                        | GoodLeap Sustainable Home Solutions Trust 2022-1                                | CUSIP: 38237JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     325890 | PA      | $280147.73     | 0.00%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22643 | PA      | $2061.77       | 0.00%             | 2037-08-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91923 | PA      | $3554.69       | 0.00%             | 2067-11-20      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376R4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3857264 | PA      | $121526.57     | 0.00%             | 2067-05-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376R5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6460 | PA      | $6449.46       | 0.00%             | 2067-05-20      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     888007 | PA      | $2213.89       | 0.00%             | 2048-10-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38378KSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     497736 | PA      | $4690.01       | 0.00%             | 2053-12-16      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86653 | PA      | $80113.11      | 0.00%             | 2047-11-16      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38378WRW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2088266 | PA      | $1949967.50    | 0.03%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     261877 | PA      | $6308.33       | 0.00%             | 2057-04-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     268779 | PA      | $5138.38       | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198437 | PA      | $21248.45      | 0.00%             | 2046-02-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     314046 | PA      | $60789.42      | 0.00%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123830 | PA      | $15032.94      | 0.00%             | 2046-10-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187857 | PA      | $5293.15       | 0.00%             | 2059-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380KSV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     404623 | PA      | $376119.68     | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380LHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31051 | PA      | $31007.74      | 0.00%             | 2068-07-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7676 | PA      | $7690.86       | 0.00%             | 2069-08-20      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380PHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2439811 | PA      | $241155.33     | 0.00%             | 2060-05-16      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     478677 | PA      | $26259.91      | 0.00%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61133 | PA      | $60964.90      | 0.00%             | 2070-07-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380R2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3296442 | PA      | $194587.99     | 0.00%             | 2061-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     514066 | PA      | $27781.08      | 0.00%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     586719 | PA      | $33436.66      | 0.00%             | 2062-10-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     614559 | PA      | $41293.79      | 0.00%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RRQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2966934 | PA      | $232298.14     | 0.00%             | 2062-12-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     619827 | PA      | $34922.86      | 0.00%             | 2061-01-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381DHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3155527 | PA      | $187521.60     | 0.00%             | 2063-02-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1080789 | PA      | $66503.45      | 0.00%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381DPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3109475 | PA      | $210934.06     | 0.00%             | 2061-06-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1175530 | PA      | $79866.92      | 0.00%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1473128 | PA      | $68478.77      | 0.00%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     742546 | PA      | $29411.57      | 0.00%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1374543 | PA      | $72170.77      | 0.00%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1276361 | PA      | $995237.51     | 0.02%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300000 | PA      | $212038.47     | 0.00%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381HK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     387955 | PA      | $20542.14      | 0.00%             | 2065-07-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381HL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     373757 | PA      | $22356.30      | 0.00%             | 2064-07-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381HN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200000 | PA      | $142882.26     | 0.00%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381NUY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3583675 | PA      | $298705.02     | 0.00%             | 2055-06-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381PWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1896246 | PA      | $77299.13      | 0.00%             | 2055-07-20      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381Q3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2135407 | PA      | $176805.69     | 0.00%             | 2055-08-20      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190306 | PA      | $36984.71      | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54487 | PA      | $10729.73      | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244386 | PA      | $35954.79      | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53258 | PA      | $7707.86       | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118744 | PA      | $17911.91      | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59932 | PA      | $8949.44       | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64623 | PA      | $9470.87       | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62819 | PA      | $9576.12       | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1429076 | PA      | $209260.87     | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     701368 | PA      | $83391.22      | 0.00%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38382XZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     755162 | PA      | $109001.24     | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38383CNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     159004 | PA      | $29180.37      | 0.00%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38383FHR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     279009 | PA      | $247647.79     | 0.00%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38383FR62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     268202 | PA      | $221319.19     | 0.00%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38383FX73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136360 | PA      | $116818.55     | 0.00%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     235330 | PA      | $198680.10     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     500000 | PA      | $455146.20     | 0.01%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38383R7N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100000 | PA      | $84147.90      | 0.00%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38383RXB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     639864 | PA      | $91760.42      | 0.00%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38384ERJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1278020 | PA      | $220850.52     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38384WFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     822737 | PA      | $71192.50      | 0.00%             | 2054-09-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38385D3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3658480 | PA      | $302453.82     | 0.00%             | 2055-03-20      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38385GTJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2033602 | PA      | $152123.42     | 0.00%             | 2055-05-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                                        | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8503000 | PA      | $7586576.42    | 0.12%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Estate Notes                                  | Greystone CRE Notes 2025-FL4 LLC                                                | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1240000 | PA      | $1239613.37    | 0.02%             | 2043-01-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GUARA NORTE SARL                                                        | Guara Norte Sarl                                                                | CUSIP: 400666AA1<br>LEI: 549300U2I4L03BBA3485 | Long             | DBT              | CORP              | LU        |    4171649 | PA      | $4043742.02    | 0.06%             | 2034-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA Inc                                                                         | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3270000 | PA      | $3180674.13    | 0.05%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA Inc                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9458000 | PA      | $9546519.41    | 0.15%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                                 | HalseyPoint CLO 3 Ltd                                                           | CUSIP: 40638UAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     510000 | PA      | $509763.87     | 0.01%             | 2037-07-30      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                                            | Hardee's Funding LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     685800 | PA      | $641090.64     | 0.01%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                                       | L3Harris Technologies Inc                                                       | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     140000 | PA      | $137329.34     | 0.00%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                             | Hertz Vehicle Financing III LLC                                                 | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $252582.55     | 0.00%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                             | Hertz Vehicle Financing III LLC                                                 | CUSIP: 42806MCE7<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $415831.92     | 0.01%             | 2030-03-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                             | Hertz Vehicle Financing III LLC                                                 | CUSIP: 42806MCT4<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     780000 | PA      | $785792.44     | 0.01%             | 2029-09-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                             | Hertz Vehicle Financing III LLC 2025-2                                          | CUSIP: 42806MCX5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     780000 | PA      | $785939.78     | 0.01%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                                        | Hewlett Packard Enterprise Co                                                   | CUSIP: 42824CBT5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6467699.03    | 0.10%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                                                | Hilcorp Energy I LP / Hilcorp Finance Co                                        | CUSIP: 431318AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3306000 | PA      | $3213206.53    | 0.05%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                          | Home Depot Inc/The                                                              | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      30000 | PA      | $23195.25      | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                          | Home Depot Inc/The                                                              | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98426.92      | 0.00%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                          | Home Depot Inc/The                                                              | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     150000 | PA      | $141114.62     | 0.00%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                          | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     160000 | PA      | $127832.15     | 0.00%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                          | Home Depot Inc/The                                                              | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     210000 | PA      | $144938.04     | 0.00%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                          | Home Depot Inc/The                                                              | CUSIP: 437076CF7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     260000 | PA      | $224653.17     | 0.00%             | 2031-03-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                          | Home Depot Inc/The                                                              | CUSIP: 437076CP5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     270000 | PA      | $252022.66     | 0.00%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                          | Home Depot Inc/The                                                              | CUSIP: 437076DB5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    2379000 | PA      | $2401948.02    | 0.04%             | 2027-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                          | Home Depot Inc/The                                                              | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    6238000 | PA      | $6283161.25    | 0.10%             | 2034-06-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HONEYWELL AEROSPACE INC                                                 | Honeywell Aerospace Inc                                                         | CUSIP: 43849RAF2<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2421894.02    | 0.04%             | 2033-03-16      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HONEYWELL AEROSPACE INC                                                 | Honeywell Aerospace Inc                                                         | CUSIP: 43849RAG0<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |    4910000 | PA      | $4871716.73    | 0.08%             | 2036-03-16      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HONEYWELL AEROSPACE INC                                                 | Honeywell Aerospace Inc                                                         | CUSIP: 43849RAJ4<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |    2785000 | PA      | $2752835.95    | 0.04%             | 2056-03-16      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| HONEYWELL AEROSPACE INC                                                 | Honeywell Aerospace Inc                                                         | CUSIP: 43849RAK1<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1859863.48    | 0.03%             | 2066-03-16      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                    | Howmet Aerospace Inc                                                            | CUSIP: 443201AD0<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    8530000 | PA      | $8419527.12    | 0.13%             | 2032-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                    | Howmet Aerospace Inc                                                            | CUSIP: 443201AH1<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    3830000 | PA      | $3723364.37    | 0.06%             | 2036-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                              | Humana Inc                                                                      | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     290000 | PA      | $288712.01     | 0.00%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                              | Humana Inc                                                                      | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     260000 | PA      | $247372.29     | 0.00%             | 2029-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                              | Humana Inc                                                                      | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     420000 | PA      | $408247.90     | 0.01%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                            | Huntington Bank Auto Credit-Linked Notes Series 2024-2                          | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     609845 | PA      | $614565.04     | 0.01%             | 2032-10-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                       | Hyatt Hotels Corp                                                               | CUSIP: 448579AR3<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7109256.21    | 0.11%             | 2029-06-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                 | Hyundai Capital America                                                         | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4707826.90    | 0.07%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                 | Hyundai Capital America                                                         | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6822575.90    | 0.11%             | 2029-03-19      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                 | Hyundai Capital America                                                         | CUSIP: 44891AEA1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $1838808.81    | 0.03%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                                          | Hyundai Auto Receivables Trust 2026-A                                           | CUSIP: 448981AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3900000 | PA      | $3897041.46    | 0.06%             | 2029-02-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                                                | Icon Investments Six DAC                                                        | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    4401000 | PA      | $4487327.20    | 0.07%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                       | ILLINOIS ST                                                                     | CUSIP: 452153PY9<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    5890000 | PA      | $5978898.36    | 0.09%             | 2033-04-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     200000 | PA      | $161822.14     | 0.00%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     120000 | PA      | $112442.23     | 0.00%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      60000 | PA      | $36418.84      | 0.00%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140CF5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     170000 | PA      | $172178.83     | 0.00%             | 2030-02-10      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      80000 | PA      | $79305.60      | 0.00%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                         | Israel Government International Bond                                            | CUSIP: 46513YJH2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     400000 | PA      | $389658.56     | 0.01%             | 2028-01-17      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                   | CUSIP: 46590KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750148 | PA      | $741661.94     | 0.01%             | 2049-01-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                              | JPMDB Commercial Mortgage Securities Trust 2016-C2                              | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6350300 | PA      | $6256498.08    | 0.10%             | 2049-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                   | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7906600 | PA      | $7876625.73    | 0.12%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2017-5                                                 | CUSIP: 46590YAB0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     740647 | PA      | $737776.82     | 0.01%             | 2048-10-26      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2020-2                                                 | CUSIP: 46591TAC8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     335044 | PA      | $300571.64     | 0.00%             | 2050-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2020-7                                                 | CUSIP: 46591XAC9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    1536264 | PA      | $1328814.37    | 0.02%             | 2051-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2021-1                                                 | CUSIP: 46592EAC0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    2659727 | PA      | $2205079.90    | 0.03%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2021-12                                                | CUSIP: 46592WAC0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   12371043 | PA      | $10256367.92   | 0.16%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2021-13                                                | CUSIP: 46592XAC8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   12477384 | PA      | $10344531.02   | 0.16%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust Series 2025-NQM1                                       | CUSIP: 46593QAE8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     979070 | PA      | $982005.30     | 0.02%             | 2065-06-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1148000 | PA      | $1148606.59    | 0.02%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46625HRX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     130000 | PA      | $128542.96     | 0.00%             | 2027-12-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                  | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248238 | PA      | $240520.21     | 0.00%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2014-2                                                 | CUSIP: 46641YAP8<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-MBS          | CORP              | US        |     588553 | PA      | $576664.98     | 0.01%             | 2029-06-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2014-2                                                 | CUSIP: 46641YAQ6<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-MBS          | CORP              | US        |     219277 | PA      | $214848.18     | 0.00%             | 2029-06-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Trust 2015-1                                                          | CUSIP: 46643UDP1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     702612 | PA      | $697014.95     | 0.01%             | 2044-12-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2015-4                                                 | CUSIP: 46644VBQ8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     947559 | PA      | $883477.78     | 0.01%             | 2045-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2015-4                                                 | CUSIP: 46644VBR6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     742976 | PA      | $692730.38     | 0.01%             | 2045-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Trust 2015-5                                                          | CUSIP: 46644XBD3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      23178 | PA      | $22759.30      | 0.00%             | 2045-05-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GAY4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     615027 | PA      | $595938.02     | 0.01%             | 2045-10-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GAZ1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     521101 | PA      | $504927.05     | 0.01%             | 2045-10-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GBA5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     856744 | PA      | $754565.77     | 0.01%             | 2045-10-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                              | JPMDB Commercial Mortgage Securities Trust 2016-C4                              | CUSIP: 46646RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6530000 | PA      | $6457123.89    | 0.10%             | 2049-12-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2016-4                                                 | CUSIP: 46647JAZ3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     839354 | PA      | $795184.54     | 0.01%             | 2046-10-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2016-4                                                 | CUSIP: 46647JBA7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    1536899 | PA      | $1456021.42    | 0.02%             | 2046-10-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     290000 | PA      | $288332.80     | 0.00%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     460000 | PA      | $460549.90     | 0.01%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     970000 | PA      | $896383.84     | 0.01%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     240000 | PA      | $156679.87     | 0.00%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $924469.72     | 0.01%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PDY9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4064000 | PA      | $4369668.11    | 0.07%             | 2034-10-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6455000 | PA      | $6545308.94    | 0.10%             | 2030-01-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6940000 | PA      | $7024731.57    | 0.11%             | 2028-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   26673000 | PA      | $27161151.91   | 0.42%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   10320000 | PA      | $10634593.54   | 0.17%             | 2036-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7895000 | PA      | $8038349.75    | 0.13%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6605000 | PA      | $6688925.11    | 0.10%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2017-1                                                 | CUSIP: 46648CAY0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    3013559 | PA      | $2753575.08    | 0.04%             | 2047-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2017-2                                                 | CUSIP: 46648HAC7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     254093 | PA      | $230201.88     | 0.00%             | 2047-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                              | JPMDB Commercial Mortgage Securities Trust 2017-C7                              | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3854000 | PA      | $3790031.31    | 0.06%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2021-10                                                | CUSIP: 46654AAC3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    5648343 | PA      | $4682829.72    | 0.07%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2021-11                                                | CUSIP: 46654KAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    9561618 | PA      | $7927178.53    | 0.12%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust Series 2024-VIS2                                       | CUSIP: 46658DAA7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    2045113 | PA      | $2057200.95    | 0.03%             | 2064-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                 | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5800000 | PA      | $5621405.82    | 0.09%             | 2029-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                                                | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                | CUSIP: 472140AF9<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    6206000 | PA      | $6208854.76    | 0.10%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                                                | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                | CUSIP: 472140AH5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    5804000 | PA      | $5689665.61    | 0.09%             | 2056-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                                                 | Jefferies Financial Group Inc                                                   | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    1613000 | PA      | $1642684.70    | 0.03%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                                                 | Jefferies Financial Group Inc                                                   | CUSIP: 472319AM4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    4685000 | PA      | $4550951.05    | 0.07%             | 2043-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                                                 | Jefferies Financial Group Inc                                                   | CUSIP: 47233JGT9<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    5411000 | PA      | $4705858.61    | 0.07%             | 2031-10-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                                                 | Jefferies Financial Group Inc                                                   | CUSIP: 47233WKS7<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    8450000 | PA      | $8423176.15    | 0.13%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JobsOhio Beverage System                                                | JOBSOHIO BEVERAGE SYS STWD LIQUOR PROFITS REVENUE                               | CUSIP: 47770VCT5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3900000 | PA      | $3294654.48    | 0.05%             | 2038-01-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO LTD                                                   | KKR CLO 41 Ltd                                                                  | CUSIP: 48255PAA3<br>LEI: 254900UD92WBBLUHGZ35 | Long             | ABS-CBDO         | CORP              | KY        |    5115000 | PA      | $5106304.50    | 0.08%             | 2035-04-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                                   | KKR CLO 43 Ltd                                                                  | CUSIP: 48255UAW4<br>LEI: 25490088LQLWORRKOM10 | Long             | ABS-CBDO         | CORP              | JE        |    9820000 | PA      | $9814490.98    | 0.15%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     794000 | PA      | $737398.88     | 0.01%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     250000 | PA      | $252506.77     | 0.00%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                                              | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $4183396.59    | 0.07%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                    | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    7427000 | PA      | $6531032.19    | 0.10%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                    | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    1975000 | PA      | $2135346.73    | 0.03%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                    | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    1975000 | PA      | $1741212.87    | 0.03%             | 2039-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                               | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     220000 | PA      | $217219.84     | 0.00%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                     | LCM 39 Ltd/Jersey                                                               | CUSIP: 50204NBC1<br>LEI: 549300EGR9FOWDWS1239 | Long             | ABS-CBDO         | CORP              | JE        |    2000000 | PA      | $1997446.00    | 0.03%             | 2034-10-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                        | LPL Holdings Inc                                                                | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $8864486.05    | 0.14%             | 2030-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     140000 | PA      | $143883.44     | 0.00%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     630000 | PA      | $638203.74     | 0.01%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     110000 | PA      | $113139.96     | 0.00%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                              | Leidos Inc                                                                      | CUSIP: 52532XAK1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    9078000 | PA      | $9253661.21    | 0.14%             | 2032-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                              | Leidos Inc                                                                      | CUSIP: 52532XAL9<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   12362000 | PA      | $12562613.50   | 0.20%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Liberty Street Funding LLC                                              | Liberty Street Funding LLC                                                      | CUSIP: 53127UD15<br>LEI: 549300F33VRHM10B9391 | Long             | STIV             | CORP              | US        |   10045000 | PA      | $10045000.00   | 0.16%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                              | MFA 2020-NQM1 Trust                                                             | CUSIP: 552754AC7<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |      67996 | PA      | $66150.51      | 0.00%             | 2049-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                             | MF1 2025-FL19 LLC                                                               | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1330000 | PA      | $1331926.51    | 0.02%             | 2042-05-18      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                              | MMAF Equipment Finance LLC 2024-A                                               | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     520000 | PA      | $530339.37     | 0.01%             | 2049-07-13      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                 | MPLX LP                                                                         | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     100000 | PA      | $88349.13      | 0.00%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                 | MPLX LP                                                                         | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     230000 | PA      | $206683.59     | 0.00%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                 | MPLX LP                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     310000 | PA      | $312580.59     | 0.00%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                 | MPLX LP                                                                         | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      50000 | PA      | $43860.77      | 0.00%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MNSN Holdings Inc                                                       | MNSN Holdings Inc                                                               | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       8379 | NS      | $452466.00     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| MSCI INC                                                                | MSCI Inc                                                                        | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $8317742.66    | 0.13%             | 2030-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                                          | MSWF Commercial Mortgage Trust 2023-2                                           | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540000 | PA      | $570817.64     | 0.01%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                         | MVW 2023-2 LLC                                                                  | CUSIP: 55400WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     127204 | PA      | $130664.97     | 0.00%             | 2040-11-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                                                | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    8800000 | PA      | $9117870.52    | 0.14%             | 2029-03-26      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                       | Magnetite XXVII Ltd                                                             | CUSIP: 55955EAW8<br>LEI: 5493003N6WY184N72D84 | Long             | ABS-CBDO         | CORP              | KY        |    1060000 | PA      | $1058333.68    | 0.02%             | 2038-10-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                       | Magnetite XXIX Ltd                                                              | CUSIP: 55955KAN4<br>LEI: 549300XSCWZTP19VRZ67 | Long             | ABS-CBDO         | CORP              | KY        |     690000 | PA      | $690429.18     | 0.01%             | 2037-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Manhattan Asset Funding Co LLC                                          | Manhattan Asset Funding Co LLC                                                  | CUSIP: 56274MD17<br>LEI: 549300S0NSJYSOB32S63 | Long             | STIV             | CORP              | US        |   30000000 | PA      | $30000000.00   | 0.47%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                | Mars Inc                                                                        | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     250000 | PA      | $238518.21     | 0.00%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                | Mars Inc                                                                        | CUSIP: 571676AN5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     300000 | PA      | $211781.62     | 0.00%             | 2040-07-16      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                | Mars Inc                                                                        | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    8855000 | PA      | $8948190.46    | 0.14%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25296.85      | 0.00%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    8010000 | PA      | $8086261.21    | 0.13%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                | Mars Inc                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    5206000 | PA      | $5141009.08    | 0.08%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                | Mars Inc                                                                        | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   16298000 | PA      | $15891731.28   | 0.25%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                  | Marriott International Inc/MD                                                   | CUSIP: 571903BY8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    4035000 | PA      | $3898687.13    | 0.06%             | 2033-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                  | Marvell Technology Inc                                                          | CUSIP: 573874AR5<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6522104.42    | 0.10%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Matchpoint Finance PLC                                                  | Matchpoint Finance PLC                                                          | CUSIP: 57666BD15<br>LEI: 635400YCKMVA7GIA6Q33 | Long             | STIV             | CORP              | IE        |   55000000 | PA      | $55000000.00   | 0.86%             | 2026-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                         | McDonald's Corp                                                                 | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     330000 | PA      | $294063.79     | 0.00%             | 2045-12-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                         | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      30000 | PA      | $21591.58      | 0.00%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                         | McDonald's Corp                                                                 | CUSIP: 58013MFM1<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     220000 | PA      | $202062.27     | 0.00%             | 2030-03-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                         | McDonald's Corp                                                                 | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     140000 | PA      | $136027.39     | 0.00%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                         | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     160000 | PA      | $126104.32     | 0.00%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                          | Merck & Co Inc                                                                  | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     600000 | PA      | $534394.35     | 0.01%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                          | Merck & Co Inc                                                                  | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      50000 | PA      | $30411.72      | 0.00%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                          | Merck & Co Inc                                                                  | CUSIP: 58933YBY0<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    1745000 | PA      | $1733050.87    | 0.03%             | 2032-12-04      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                          | Merck & Co Inc                                                                  | CUSIP: 58933YBZ7<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    2815000 | PA      | $2762182.69    | 0.04%             | 2035-12-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                             | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     380000 | PA      | $387994.44     | 0.01%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                                      | MetroNet Infrastructure Issuer LLC                                              | CUSIP: 59170JAX6<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |     740000 | PA      | $746349.87     | 0.01%             | 2055-08-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE                                                 | Mid-Atlantic Interstate Transmission LLC                                        | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $198833.65     | 0.00%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                   | MidAmerican Energy Co                                                           | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     260000 | PA      | $255288.62     | 0.00%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                                | Mill City Mortgage Loan Trust 2023-NQM2                                         | CUSIP: 59981CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4088777 | PA      | $4079140.45    | 0.06%             | 2067-12-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                          | Morgan Stanley Capital I Trust 2019-L3                                          | CUSIP: 61691UBE8<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    5845000 | PA      | $5528471.62    | 0.09%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19909.96      | 0.00%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     540000 | PA      | $501402.59     | 0.01%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1110000 | PA      | $1064385.37    | 0.02%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     390000 | PA      | $384775.24     | 0.01%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   19146000 | PA      | $16472984.24   | 0.26%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11176000 | PA      | $11468480.39   | 0.18%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11755000 | PA      | $11890396.44   | 0.19%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7055000 | PA      | $7363275.00    | 0.12%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     160000 | PA      | $162643.96     | 0.00%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   13390000 | PA      | $13901336.92   | 0.22%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     680000 | PA      | $682358.39     | 0.01%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1388000 | PA      | $1408671.55    | 0.02%             | 2031-04-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5023000 | PA      | $5144869.78    | 0.08%             | 2036-04-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YGB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5190000 | PA      | $5155055.31    | 0.08%             | 2032-03-12      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YGC3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3240000 | PA      | $3224966.24    | 0.05%             | 2047-03-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61748UAS1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3775000 | PA      | $3711535.91    | 0.06%             | 2032-01-16      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61748UAT9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3905000 | PA      | $3825804.69    | 0.06%             | 2037-01-30      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                               | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                     | CUSIP: 61766EBE4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |      28291 | PA      | $28113.90      | 0.00%             | 2049-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2020-1                   | Morgan Stanley Residential Mortgage Loan Trust 2020-1                           | CUSIP: 61771QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3702709 | PA      | $3087214.04    | 0.05%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                          | Morgan Stanley Residential Mortgage Loan Trust 2021-1                           | CUSIP: 61772AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600298 | PA      | $2155809.73    | 0.03%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                          | Morgan Stanley Residential Mortgage Loan Trust 2021-4                           | CUSIP: 61772MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2683507 | PA      | $2224795.25    | 0.03%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                          | Morgan Stanley Residential Mortgage Loan Trust 2021-5                           | CUSIP: 61772NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8531826 | PA      | $7073416.84    | 0.11%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                 | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    4472000 | PA      | $4458148.29    | 0.07%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                          | Morgan Stanley Residential Mortgage Loan Trust 2026-INV1                        | CUSIP: 61780JAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11154698 | PA      | $11087581.44   | 0.17%             | 2061-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                          | Morgan Stanley Residential Mortgage Loan Trust 2024-INV2                        | CUSIP: 617939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     414532 | PA      | $420442.01     | 0.01%             | 2054-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                  | Motorola Solutions Inc                                                          | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6309467.36    | 0.10%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                  | Motorola Solutions Inc                                                          | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    1485000 | PA      | $1502809.46    | 0.02%             | 2034-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL                                 | MTN Commercial Mortgage Trust 2022-LPFL                                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     320000 | PA      | $319799.97     | 0.00%             | 2039-03-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                     | Medline Borrower LP                                                             | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    8250000 | PA      | $7980734.85    | 0.12%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                                        | NMEF Funding 2025-A LLC                                                         | CUSIP: 62919VAB7<br>LEI: 549300LKWL3P0UPHKL72 | Long             | ABS-O            | CORP              | US        |     663393 | PA      | $665221.55     | 0.01%             | 2032-07-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                          | NRG Energy Inc                                                                  | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     210000 | PA      | $205994.20     | 0.00%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                               | NYCT Trust 2024-3ELV                                                            | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310000 | PA      | $309999.54     | 0.00%             | 2029-08-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                              | Navient Student Loan Trust 2016-3                                               | CUSIP: 63940HAC7<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |     259876 | PA      | $263579.29     | 0.00%             | 2065-06-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers Clo 43 Ltd                                       | CUSIP: 64134AAJ1<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1998890.00    | 0.03%             | 2036-07-17      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers Clo 51 Ltd                                       | CUSIP: 64135BAY5<br>LEI: 549300E2R8NH2QE50368 | Long             | ABS-CBDO         | CORP              | JE        |    6675000 | PA      | $6668785.58    | 0.10%             | 2036-10-23      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers CLO 48 Ltd                                       | CUSIP: 64135GAL2<br>LEI: 549300FC7JRIZ6YLHK36 | Long             | ABS-CBDO         | CORP              | JE        |   29400000 | PA      | $29356929.00   | 0.46%             | 2036-04-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers CLO 48 Ltd                                       | CUSIP: 64135GAN8<br>LEI: 549300FC7JRIZ6YLHK36 | Long             | ABS-CBDO         | CORP              | JE        |    2000000 | PA      | $1996038.00    | 0.03%             | 2036-04-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| New Jersey Transportation Trust Fund Authority                          | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH                                         | CUSIP: 646136XR7<br>LEI: 549300YUVD5TEXR6L889 | Long             | DBT              | MUN               | US        |    1300000 | PA      | $1437737.86    | 0.02%             | 2040-12-15      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust 2014-2                                      | CUSIP: 64828YAR2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     124928 | PA      | $119790.79     | 0.00%             | 2054-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     414017 | PA      | $401823.82     | 0.01%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAB0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     235661 | PA      | $227762.51     | 0.00%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAD9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     133718 | PA      | $126124.40     | 0.00%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KAU4<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     274150 | PA      | $273112.05     | 0.00%             | 2057-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     312589 | PA      | $302421.41     | 0.00%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust 2018-RPL1                                   | CUSIP: 64829VAA4<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     442924 | PA      | $430834.99     | 0.01%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust 2017-6                                      | CUSIP: 64830BAA5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     677789 | PA      | $655793.78     | 0.01%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust 2022-NQM2                                   | CUSIP: 64831MAA0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     735388 | PA      | $692573.59     | 0.01%             | 2062-03-27      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                | New York Life Global Funding                                                    | CUSIP: 64953BBF4<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    8900000 | PA      | $8952547.65    | 0.14%             | 2026-09-18      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REV                                      | CUSIP: 64972JA57<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4755000 | PA      | $4707919.79    | 0.07%             | 2036-02-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                  | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    6699000 | PA      | $6297216.89    | 0.10%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                  | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KDF4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2923000 | PA      | $3016316.78    | 0.05%             | 2055-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                            | NiSource Inc                                                                    | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3671206.74    | 0.06%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NJ Trust 2023-GSP                                                       | NJ Trust 2023-GSP                                                               | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420000 | PA      | $434803.82     | 0.01%             | 2029-01-06      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                                | Northern States Power Co/MN                                                     | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3222241.47    | 0.05%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                   | Northrop Grumman Corp                                                           | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     160000 | PA      | $157140.95     | 0.00%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                   | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    1060000 | PA      | $983089.10     | 0.02%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                   | Novartis Capital Corp                                                           | CUSIP: 66989HAY4<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |   12440000 | PA      | $12301427.61   | 0.19%             | 2030-11-05      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                   | Novartis Capital Corp                                                           | CUSIP: 66989HBH0<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    3320000 | PA      | $3305891.86    | 0.05%             | 2033-03-18      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                   | Novartis Capital Corp                                                           | CUSIP: 66989HBJ6<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    4095000 | PA      | $4085201.61    | 0.06%             | 2036-03-18      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                   | Novartis Capital Corp                                                           | CUSIP: 66989HBL1<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    2185000 | PA      | $2200588.16    | 0.03%             | 2056-03-18      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AA9<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     139320 | PA      | $114933.88     | 0.00%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| OCCU Auto Receivables Trust                                             | OCCU Auto Receivables Trust 2025-1                                              | CUSIP: 67098SAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     750000 | PA      | $755309.40     | 0.01%             | 2034-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     199232 | PA      | $166363.96     | 0.00%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     689306 | PA      | $619405.30     | 0.01%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     455467 | PA      | $389418.48     | 0.01%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2024-NQM11 Trust                                                            | CUSIP: 67119EAA4<br>LEI: 254900F5LT8CA1U6PK21 | Long             | ABS-MBS          | CORP              | US        |     154381 | PA      | $155217.97     | 0.00%             | 2064-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2025-NQM4 Trust                                                             | CUSIP: 67120QAC0<br>LEI: 254900IAVXYLOCPK6W54 | Long             | ABS-MBS          | CORP              | US        |     794363 | PA      | $794419.13     | 0.01%             | 2055-02-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2025-J2 Trust                                                               | CUSIP: 67122EAU5<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    9402252 | PA      | $9416831.89    | 0.15%             | 2055-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2024-NQM17 Trust                                                            | CUSIP: 673911AE3<br>LEI: 254900HMH8TR6ZSMCB34 | Long             | ABS-MBS          | CORP              | US        |     700694 | PA      | $702777.70     | 0.01%             | 2064-11-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                                         | Oaktree CLO 2024-25 Ltd                                                         | CUSIP: 67402PAA5<br>LEI: 254900NTZ5OVNC5X7789 | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $749978.25     | 0.01%             | 2037-04-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2024-NQM1 Trust                                                             | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |     612412 | PA      | $613727.70     | 0.01%             | 2063-11-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      90000 | PA      | $71169.19      | 0.00%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197543.10     | 0.00%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      40000 | PA      | $30062.78      | 0.00%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     120000 | PA      | $115011.60     | 0.00%             | 2029-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                | Occidental Petroleum Corp                                                       | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     560000 | PA      | $440916.00     | 0.01%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                                        | Ocean Trails Clo X                                                              | CUSIP: 67516CAW9<br>LEI: 635400RMMLHBGDGXBC03 | Long             | ABS-CBDO         | CORP              | KY        |     690000 | PA      | $689154.75     | 0.01%             | 2034-10-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51 Ltd                                      | Octagon Investment Partners 51 Ltd                                              | CUSIP: 675943AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10047000 | PA      | $10020074.04   | 0.16%             | 2034-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| OMNICOM GROUP INC                                                       | Omnicom Group Inc                                                               | CUSIP: 681919BR6<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $2863235.94    | 0.04%             | 2031-03-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                 | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JDC5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     120000 | PA      | $122620.22     | 0.00%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                 | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JDD3<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     150000 | PA      | $148449.89     | 0.00%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                   | One Bryant Park Trust 2019-OBP                                                  | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7464000 | PA      | $6882955.22    | 0.11%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                               | ONEOK Inc                                                                       | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100579.56     | 0.00%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                               | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     160000 | PA      | $166521.18     | 0.00%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                               | ONEOK Inc                                                                       | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     140000 | PA      | $143666.90     | 0.00%             | 2053-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                               | ONEOK Inc                                                                       | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2703000 | PA      | $2629196.29    | 0.04%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                               | ONEOK Inc                                                                       | CUSIP: 682680CF8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    4421000 | PA      | $4033394.88    | 0.06%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      40000 | PA      | $36513.48      | 0.00%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      90000 | PA      | $54335.55      | 0.00%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     170000 | PA      | $166148.18     | 0.00%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     330000 | PA      | $255262.66     | 0.00%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3530000 | PA      | $3401795.27    | 0.05%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    5015000 | PA      | $4776024.77    | 0.07%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     130000 | PA      | $121939.34     | 0.00%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     340000 | PA      | $293331.88     | 0.00%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     270000 | PA      | $227143.09     | 0.00%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6870000 | PA      | $6605424.62    | 0.10%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2170000 | PA      | $2013984.66    | 0.03%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| City of Orange CA                                                       | ORANGE CALIF PENSION OBLIG                                                      | CUSIP: 684100AN0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3210000 | PA      | $2751987.57    | 0.04%             | 2034-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING                                                   | PK Alift Loan Funding 7 LP                                                      | CUSIP: 69291NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2844600 | PA      | $2830546.90    | 0.04%             | 2043-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PFP III                                                                 | PFP 2024-11 Ltd                                                                 | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     113249 | PA      | $113427.64     | 0.00%             | 2039-09-17      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     370000 | PA      | $379148.80     | 0.01%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    7074000 | PA      | $7815142.98    | 0.12%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    4841000 | PA      | $4979973.69    | 0.08%             | 2035-01-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    4530000 | PA      | $4624699.70    | 0.07%             | 2036-01-29      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    3557000 | PA      | $3578796.05    | 0.06%             | 2031-05-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                                   | PRPM 2024-RCF1 LLC                                                              | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178644 | PA      | $176328.69     | 0.00%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                             | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199010 | PA      | $176254.58     | 0.00%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                             | PRKCM 2024-HOME1 Trust                                                          | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     403506 | PA      | $407158.72     | 0.01%             | 2059-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                                          | PMT Loan Trust 2025-J2                                                          | CUSIP: 69392TAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1171448 | PA      | $1173315.71    | 0.02%             | 2056-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      50000 | PA      | $48458.24      | 0.00%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     110000 | PA      | $98582.56      | 0.00%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     230000 | PA      | $172008.33     | 0.00%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      50000 | PA      | $33059.58      | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     350000 | PA      | $347724.87     | 0.01%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308LA3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1895000 | PA      | $1846920.48    | 0.03%             | 2036-05-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                   | Palmer Square CLO 2021-1 Ltd                                                    | CUSIP: 69701WAJ5<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |     890000 | PA      | $886885.00     | 0.01%             | 2038-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                                            | Parallel 2023-1 Ltd                                                             | CUSIP: 69915NAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1070000 | PA      | $1071242.27    | 0.02%             | 2036-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                                            | Parallel 2020-1 Ltd                                                             | CUSIP: 69917AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     520000 | PA      | $519412.40     | 0.01%             | 2034-07-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                                       | Park Blue CLO 2022-II Ltd                                                       | CUSIP: 70018CAQ9<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |     770000 | PA      | $769320.09     | 0.01%             | 2037-07-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                                       | Park Blue Clo 2024-V Ltd                                                        | CUSIP: 70019CAA3<br>LEI: 213800H9UFJ6SS8AMF70 | Long             | ABS-CBDO         | CORP              | KY        |     620000 | PA      | $620475.54     | 0.01%             | 2037-07-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                             | Paychex Inc                                                                     | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6558264.90    | 0.10%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Economic Development Financing Authority                   | PENNSYLVANIA ST ECON DEV FING AUTH REVENUE                                      | CUSIP: 70869PRR0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4570000 | PA      | $4597965.66    | 0.07%             | 2054-06-01      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                                     | Peru Government International Bonds                                             | CUSIP: 715638DS8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      70000 | PA      | $52738.00      | 0.00%             | 2041-03-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                                     | Peru Government International Bonds                                             | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     160000 | PA      | $108248.00     | 0.00%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                        | Peruvian Government International Bond                                          | CUSIP: 715638FC1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1250000 | PA      | $1245500.00    | 0.02%             | 2036-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                                | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     310000 | PA      | $307453.66     | 0.00%             | 2027-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                                | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     200000 | PA      | $201559.40     | 0.00%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                                | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAF6<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     890000 | PA      | $848096.84     | 0.01%             | 2048-05-21      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                     | Petroleos Mexicanos                                                             | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4103000 | PA      | $3273846.27    | 0.05%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                              | Pfizer Inc                                                                      | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $925978.93     | 0.01%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Redevelopment Authority of the City of Philadelphia                     | PHILADELPHIA PA REDEV AUTH                                                      | CUSIP: 717868KT9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    7145000 | PA      | $7060701.15    | 0.11%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                  | Philip Morris International Inc                                                 | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     560000 | PA      | $489375.74     | 0.01%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                  | Philip Morris International Inc                                                 | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     250000 | PA      | $227519.27     | 0.00%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                  | Philip Morris International Inc                                                 | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     130000 | PA      | $131936.01     | 0.00%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                  | Philip Morris International Inc                                                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30683.28      | 0.00%             | 2031-02-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                  | Philip Morris International Inc                                                 | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101830.12     | 0.00%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                  | Philip Morris International Inc                                                 | CUSIP: 718172DY2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   18000000 | PA      | $17618603.22   | 0.28%             | 2030-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                    | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $2904781.44    | 0.05%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING                                                   | PK Alift Loan Funding 8 LP                                                      | CUSIP: 72585CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5838000 | PA      | $5716359.43    | 0.09%             | 2043-09-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| City of Pomona CA                                                       | POMONA CA PENSN OBLG                                                            | CUSIP: 73208PBS9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1960000 | PA      | $1689625.84    | 0.03%             | 2040-08-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Porsche Innovative Lease Owner Trust                                    | Porsche Innovative Lease Owner Trust 2024-1                                     | CUSIP: 73328AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16625540 | PA      | $16655889.84   | 0.26%             | 2027-11-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                             | RCKT Mortgage Trust 2021-1                                                      | CUSIP: 749350AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2692194 | PA      | $2231997.47    | 0.03%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                             | RCKT Mortgage Trust 2024-INV1                                                   | CUSIP: 74938QAA2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |     211368 | PA      | $216230.66     | 0.00%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                             | RCKT Mortgage Trust 2021-6                                                      | CUSIP: 74939KAA4<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |    5714301 | PA      | $4737512.53    | 0.07%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust                                           | Radian Mortgage Capital Trust 2025-J3                                           | CUSIP: 75024RBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4767311 | PA      | $4783890.53    | 0.07%             | 2055-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                                | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $5761346.18    | 0.09%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                                  | Uruguay Government International Bonds                                          | CUSIP: 760942AS1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      80000 | PA      | $94052.00      | 0.00%             | 2036-03-21      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                   | Reynolds American Inc                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      50000 | PA      | $48423.96      | 0.00%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2021-2 Ltd                                                   | CUSIP: 77341LAS8<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |    2700000 | PA      | $2694937.50    | 0.04%             | 2034-07-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                | Rogers Communications Inc                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   10060000 | PA      | $10016186.29   | 0.16%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                | Rogers Communications Inc                                                       | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    5800000 | PA      | $5935070.46    | 0.09%             | 2055-04-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                       | NatWest Group PLC                                                               | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $201397.72     | 0.00%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                      | Royalty Pharma PLC                                                              | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    6297000 | PA      | $6070475.63    | 0.09%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                      | Royalty Pharma PLC                                                              | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    5800000 | PA      | $5223956.47    | 0.08%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                      | Royalty Pharma PLC                                                              | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    2775000 | PA      | $2738736.55    | 0.04%             | 2035-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                                     | SG Residential Mortgage Trust 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     712182 | PA      | $676006.23     | 0.01%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                                 | SCF Equipment Leasing 2025-1 LLC                                                | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1030000 | PA      | $1047087.08    | 0.02%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                                                | SMBC Aviation Capital Finance DAC                                               | CUSIP: 78448TAL6<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    6500000 | PA      | $6598910.70    | 0.10%             | 2029-04-03      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                        | SMB Private Education Loan Trust 2024-E                                         | CUSIP: 78450XAA6<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |     488259 | PA      | $491755.46     | 0.01%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                    | SMRT 2022-MINI                                                                  | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540000 | PA      | $539662.39     | 0.01%             | 2039-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SV RNO PROPERTY OWNER 1                                                 | SV RNO Property Owner 1 LLC                                                     | CUSIP: 78488XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4335000 | PA      | $4285115.25    | 0.07%             | 2031-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                                                 | Sagard-Halseypoint Clo 8 Ltd                                                    | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |     460000 | PA      | $460423.66     | 0.01%             | 2038-01-30      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                          | Salesforce Inc                                                                  | CUSIP: 79466LAT1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6488899.69    | 0.10%             | 2033-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                         | Sands China Ltd                                                                 | CUSIP: 80007RAL9<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     600000 | PA      | $578972.46     | 0.01%             | 2030-06-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                  | Santander Drive Auto Receivables Trust 2025-1                                   | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7078000 | PA      | $7153860.59    | 0.11%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                                           | SDR Commercial Mortgage Trust 2024-DSNY                                         | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6348000 | PA      | $6328161.87    | 0.10%             | 2039-05-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                  | Sempra                                                                          | CUSIP: 816851BT5<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   14791000 | PA      | $14744767.77   | 0.23%             | 2054-10-01      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                  | Sequoia Mortgage Trust 2013-4                                                   | CUSIP: 81744YAG1<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |     262892 | PA      | $254552.82     | 0.00%             | 2043-04-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                  | Sequoia Mortgage Trust 2015-1                                                   | CUSIP: 81745QCB6<br>LEI: 5493007E0SBYHIR7SU85 | Long             | ABS-MBS          | CORP              | US        |     441998 | PA      | $431119.14     | 0.01%             | 2045-01-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                  | Sequoia Mortgage Trust 2020-4                                                   | CUSIP: 81748RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2223783 | PA      | $1850394.37    | 0.03%             | 2050-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                  | Sequoia Mortgage Trust 2026-2                                                   | CUSIP: 81750FBD9<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |   12847750 | PA      | $12767723.57   | 0.20%             | 2056-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                            | 7-Eleven Inc                                                                    | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6131275.35    | 0.10%             | 2028-02-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                            | 7-Eleven Inc                                                                    | CUSIP: 817826AE0<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $5626698.09    | 0.09%             | 2031-02-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| SHRN Trust                                                              | SHRN Trust 2025-MF18                                                            | CUSIP: 82556AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8967000 | PA      | $8944585.19    | 0.14%             | 2040-10-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                                    | Signal Peak CLO 5 Ltd                                                           | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3653000 | PA      | $3653566.22    | 0.06%             | 2037-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                                   | Silver Point CLO 8 Ltd                                                          | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $499508.50     | 0.01%             | 2038-04-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                                                | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    6800000 | PA      | $6843811.99    | 0.11%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                                       | Southern Power Co                                                               | CUSIP: 843646AX8<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    2525000 | PA      | $2492408.21    | 0.04%             | 2030-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                                       | Southern Power Co                                                               | CUSIP: 843646AY6<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    4550000 | PA      | $4400291.49    | 0.07%             | 2035-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                 | Southwestern Electric Power Co                                                  | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   16298000 | PA      | $16185423.03   | 0.25%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                     | Sprint Capital Corp                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $9304317.44    | 0.15%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                      | Station Place Securitization Trust Series 2025-7                                | CUSIP: 85779XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21115000 | PA      | $21110836.12   | 0.33%             | 2026-11-24      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST NY                                                | Sumitomo Mitsui Trust NY                                                        | CUSIP: 86563HD15<br>LEI: 5493006GGLR4BTEL8O61 | Long             | STIV             | CORP              | JP        |   25000000 | PA      | $25000000.00   | 0.39%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     210000 | PA      | $186606.38     | 0.00%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                             | Truist Bank                                                                     | CUSIP: 86787GAJ1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    6594000 | PA      | $6583741.78    | 0.10%             | 2026-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                     | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     380000 | PA      | $334180.17     | 0.01%             | 2032-01-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                                                   | Sycamore Tree CLO 2025-6 Ltd                                                    | CUSIP: 87122HAA0<br>LEI: 2138001M3BAXCUCAUG38 | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $798055.20     | 0.01%             | 2038-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                            | Synopsys Inc                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     160000 | PA      | $161176.78     | 0.00%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                            | Synopsys Inc                                                                    | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     130000 | PA      | $131128.02     | 0.00%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                            | Synopsys Inc                                                                    | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    8274000 | PA      | $8289820.55    | 0.13%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                            | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    4398000 | PA      | $4204851.85    | 0.07%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                                       | Sysco Corp                                                                      | CUSIP: 871829BU0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    4210000 | PA      | $4243455.14    | 0.07%             | 2030-09-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TCW Gem Ltd                                                             | TCW CLO 2020-1 Ltd                                                              | CUSIP: 87190CBG4<br>LEI: 549300BD6SSD2EBMCC95 | Long             | ABS-CBDO         | CORP              | KY        |   11225000 | PA      | $11208342.10   | 0.18%             | 2034-04-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   12132000 | PA      | $12056900.37   | 0.19%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1910000 | PA      | $1860093.50    | 0.03%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6133000 | PA      | $4483994.16    | 0.07%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      60000 | PA      | $39268.77      | 0.00%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     450000 | PA      | $428006.19     | 0.01%             | 2029-02-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     220000 | PA      | $193349.67     | 0.00%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     130000 | PA      | $118132.64     | 0.00%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADC6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3046000 | PA      | $3176389.76    | 0.05%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     190000 | PA      | $191391.05     | 0.00%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2471000 | PA      | $2506484.70    | 0.04%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    7934000 | PA      | $7736881.36    | 0.12%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADZ5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6007984.61    | 0.09%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                                  | Taco Bell Funding LLC                                                           | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1210000 | PA      | $1191410.04    | 0.02%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                            | Tapestry Inc                                                                    | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6567508.35    | 0.10%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10782000 | PA      | $10775695.23   | 0.17%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                    | Targa Resources Corp                                                            | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      70000 | PA      | $58519.70      | 0.00%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                    | Targa Resources Corp                                                            | CUSIP: 87612GAT8<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    3225000 | PA      | $3157140.65    | 0.05%             | 2031-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                                  | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12998000 | PA      | $12179180.85   | 0.19%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAF8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    6850000 | PA      | $5077775.54    | 0.08%             | 2046-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                  | Williams Cos Inc/The                                                            | CUSIP: 88339WAC0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     380000 | PA      | $380487.70     | 0.01%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                                                | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556DJ8<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    3305000 | PA      | $3281532.75    | 0.05%             | 2036-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      60000 | PA      | $60491.75      | 0.00%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   13600000 | PA      | $14230703.40   | 0.22%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    5494000 | PA      | $5451536.21    | 0.09%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     170000 | PA      | $167139.14     | 0.00%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    2200000 | PA      | $2269665.20    | 0.04%             | 2082-10-31      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                               | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |      64831 | PA      | $64488.31      | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                               | Towd Point Mortgage Trust 2019-HY2                                              | CUSIP: 89177HAD4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $303913.32     | 0.00%             | 2058-05-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                               | Towd Point Mortgage Trust 2025-HE2                                              | CUSIP: 89183PAA4<br>LEI: 254900HCCXAYNB40M417 | Long             | ABS-O            | CORP              | US        |    7187912 | PA      | $7180517.44    | 0.11%             | 2065-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                                     | Toyota Auto Receivables 2024-B Owner Trust                                      | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21593726 | PA      | $21783541.04   | 0.34%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                                 | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AP8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     180000 | PA      | $171103.42     | 0.00%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                                 | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AS2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    3610000 | PA      | $3578132.62    | 0.06%             | 2036-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                        | Trestles CLO VII Ltd                                                            | CUSIP: 89532XAC1<br>LEI: 254900F81BZ53L0B6092 | Long             | ABS-CBDO         | CORP              | KY        |     650000 | PA      | $649688.65     | 0.01%             | 2037-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO XIV Ltd                                                            | CUSIP: 89641QAY6<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |   29000000 | PA      | $28994838.00   | 0.45%             | 2034-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO XVI Ltd                                                            | CUSIP: 89642DAQ1<br>LEI: 5493004FCKEPFTK2QI86 | Long             | ABS-CBDO         | CORP              | KY        |     860000 | PA      | $859033.36     | 0.01%             | 2034-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                                        | Trinitas CLO XVII Ltd                                                           | CUSIP: 89642JAN5<br>LEI: 254900E0LENORBQRRG46 | Long             | ABS-CBDO         | CORP              | KY        |   14700000 | PA      | $14629528.20   | 0.23%             | 2034-10-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                                        | Triumph Rail Holdings LLC                                                       | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     396428 | PA      | $384125.12     | 0.01%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                   | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     250000 | PA      | $250629.78     | 0.00%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| County of Tulare CA                                                     | TULARE CNTY CA PENSN OBLG                                                       | CUSIP: 899154BG2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6125000 | PA      | $5842581.76    | 0.09%             | 2037-06-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     410000 | PA      | $411136.60     | 0.01%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS Group AG                                                                    | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     271000 | PA      | $270997.35     | 0.00%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS Group AG                                                                    | CUSIP: 902613BN7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   12828000 | PA      | $12712926.30   | 0.20%             | 2029-09-10      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS Group AG                                                                    | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    6763000 | PA      | $6859293.35    | 0.11%             | 2036-05-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| US BANK NA CINCINNATI                                                   | US Bank NA/Cincinnati OH                                                        | CUSIP: 90331HPS6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |    6238000 | PA      | $6260679.75    | 0.10%             | 2028-05-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS Group AG                                                                    | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     286000 | PA      | $285992.79     | 0.00%             | 2026-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS Group AG                                                                    | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     890000 | PA      | $886698.55     | 0.01%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                      | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      90000 | PA      | $63664.75      | 0.00%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                      | Union Pacific Corp                                                              | CUSIP: 907818FH6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     160000 | PA      | $148815.90     | 0.00%             | 2030-02-05      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                      | Union Pacific Corp                                                              | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     170000 | PA      | $167159.18     | 0.00%             | 2027-02-05      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                      | Union Pacific Corp                                                              | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     220000 | PA      | $146177.47     | 0.00%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                     | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $1020368.86    | 0.02%             | 2029-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                   | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2010000 | PA      | $1711515.00    | 0.03%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    4284000 | PA      | $3703690.39    | 0.06%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      40000 | PA      | $39302.25      | 0.00%             | 2028-01-27      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJK7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   14825000 | PA      | $14892814.59   | 0.23%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     270000 | PA      | $277716.52     | 0.00%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104373.04     | 0.00%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJP6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    3430000 | PA      | $3475671.10    | 0.05%             | 2027-10-26      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    2283000 | PA      | $2338024.18    | 0.04%             | 2030-01-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    5083000 | PA      | $5250023.87    | 0.08%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    6676000 | PA      | $6773254.37    | 0.11%             | 2031-02-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    3599000 | PA      | $3677637.14    | 0.06%             | 2036-02-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4830000 | PA      | $3318360.94    | 0.05%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58240000 | PA      | $37962925.15   | 0.59%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  227000000 | PA      | $144614960.37  | 2.26%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  128860000 | PA      | $81171733.46   | 1.27%             | 2040-05-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6280000 | PA      | $5697628.09    | 0.09%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  180122000 | PA      | $174289143.50  | 2.72%             | 2044-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  182268000 | PA      | $177476345.61  | 2.77%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   94697000 | PA      | $95928800.58   | 1.50%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27760000 | PA      | $27052987.50   | 0.42%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15880000 | PA      | $15827893.75   | 0.25%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3170000 | PA      | $3028835.94    | 0.05%             | 2055-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6030000 | PA      | $5881134.38    | 0.09%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  262680000 | PA      | $230091262.50  | 3.60%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  141540000 | PA      | $133694481.68  | 2.09%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       2000 | PA      | $2038.28       | 0.00%             | 2028-09-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5389000 | PA      | $5374685.47    | 0.08%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  219235000 | PA      | $218901008.63  | 3.42%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42140000 | PA      | $41590204.48   | 0.65%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CPS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29280000 | PA      | $29054681.32   | 0.45%             | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CPY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25310000 | PA      | $25116220.31   | 0.39%             | 2033-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CQB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   89520000 | PA      | $88813631.70   | 1.39%             | 2028-02-29      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CQD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13370000 | PA      | $13110956.25   | 0.20%             | 2031-02-28      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      50000 | PA      | $39727.66      | 0.00%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      70000 | PA      | $69312.29      | 0.00%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      40000 | PA      | $32644.19      | 0.00%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     560000 | PA      | $402719.06     | 0.01%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     160000 | PA      | $111626.92     | 0.00%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     230000 | PA      | $208232.03     | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     120000 | PA      | $74702.80      | 0.00%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      20000 | PA      | $11888.91      | 0.00%             | 2060-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      40000 | PA      | $35851.42      | 0.00%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197933.87     | 0.00%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     240000 | PA      | $233826.92     | 0.00%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VNO Mortgage Trust                                                      | VNDO Trust 2016-350P                                                            | CUSIP: 91831UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1080000 | PA      | $1078201.04    | 0.02%             | 2035-01-10      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| SWAP CCPC JP MORGAN COC                                                 | SWAP CCPC JP MORGAN COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    5463085 | NS      | $5463084.90    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| SWAP CCPC JP MORGAN COC                                                 | SWAP CCPC JP MORGAN COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -5605454 | NS      | $-5605453.66   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Venture CDO Ltd                                                         | Venture 42 CLO Ltd                                                              | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |   13700000 | PA      | $13696575.00   | 0.21%             | 2034-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    6969000 | PA      | $6175205.11    | 0.10%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                                         | Venture 34 CLO Ltd                                                              | CUSIP: 92332CAE9<br>LEI: 549300MYRV6PEDBLPL32 | Long             | ABS-CBDO         | CORP              | KY        |    2344661 | PA      | $2345783.83    | 0.04%             | 2031-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     530000 | PA      | $422388.81     | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      20000 | PA      | $17424.90      | 0.00%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     220000 | PA      | $209432.79     | 0.00%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     130000 | PA      | $128440.36     | 0.00%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      30000 | PA      | $28204.19      | 0.00%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     840000 | PA      | $814744.31     | 0.01%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     210000 | PA      | $158569.07     | 0.00%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     170000 | PA      | $161913.95     | 0.00%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     840000 | PA      | $736442.07     | 0.01%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     100000 | PA      | $70190.86      | 0.00%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     398000 | PA      | $361331.44     | 0.01%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      60000 | PA      | $46069.20      | 0.00%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     296000 | PA      | $286495.42     | 0.00%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5010000 | PA      | $5016178.03    | 0.08%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VHF4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    4945000 | PA      | $4883870.11    | 0.08%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                      | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2240000 | PA      | $2178787.88    | 0.03%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                                    | Verizon Master Trust                                                            | CUSIP: 92348KCQ4<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   15527000 | PA      | $15731728.15   | 0.25%             | 2030-04-22      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| TBA MORGAN STANLEY COC                                                  | TBA MORGAN STANLEY COC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1206000 | NS      | $1206000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA MORGAN STANLEY COC                                                  | TBA MORGAN STANLEY COC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -755000 | NS      | $-755000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA MERRILL LYNCH COC                                                   | TBA MERRILL LYNCH COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -105000 | NS      | $-105000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA GOLDMAN SACHS COC                                                   | TBA GOLDMAN SACHS COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    2810000 | NS      | $2810000.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA GOLDMAN SACHS COC                                                   | TBA GOLDMAN SACHS COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -2010000 | NS      | $-2010000.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA GOLDMAN SACHS BOC                                                   | TBA GOLDMAN SACHS BOC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    7000000 | NS      | $7000000.00    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA GOLDMAN SACHS BOC                                                   | TBA GOLDMAN SACHS BOC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -1530000 | NS      | $-1530000.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA JP MORGAN BOC                                                       | TBA JP MORGAN BOC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -2607557 | NS      | $-2607556.77   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIGROUP BOC                                                       | TBA CITIGROUP BOC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    2202000 | NS      | $2202000.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIGROUP BOC                                                       | TBA CITIGROUP BOC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -984000 | NS      | $-984000.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIGROUP COC                                                       | TBA CITIGROUP COC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     134000 | NS      | $134000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIGROUP COC                                                       | TBA CITIGROUP COC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |  -12477000 | NS      | $-12477000.00  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIBANK BOC                                                        | TBA CITIBANK BOC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     752000 | NS      | $752000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIBANK BOC                                                        | TBA CITIBANK BOC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -452000 | NS      | $-452000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA JP MORGAN COC                                                       | TBA JP MORGAN COC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     747557 | NS      | $747556.77     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA MERRILL LYNCH BOC                                                   | TBA MERRILL LYNCH BOC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      61000 | NS      | $61000.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA MORGAN STANLEY BOC                                                  | TBA MORGAN STANLEY BOC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1759000 | NS      | $1759000.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA MORGAN STANLEY BOC                                                  | TBA MORGAN STANLEY BOC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -613000 | NS      | $-613000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA WELLS FARGO BOC                                                     | TBA WELLS FARGO BOC                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     340000 | NS      | $340000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA WELLS FARGO BOC                                                     | TBA WELLS FARGO BOC                                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -226000 | NS      | $-226000.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA TBA COC                                                          | NOMURA TBA COC                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     385000 | NS      | $385000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA TBA COC                                                          | NOMURA TBA COC                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -255000 | NS      | $-255000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA BANK OF AMERICA COC                                                 | TBA BANK OF AMERICA COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1701000 | NS      | $1701000.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA BANK OF AMERICA COC                                                 | TBA BANK OF AMERICA COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -1714000 | NS      | $-1714000.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA BARCLAYS BANK COC                                                   | TBA BARCLAYS BANK COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     540000 | NS      | $540000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA BARCLAYS BANK COC                                                   | TBA BARCLAYS BANK COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -840000 | NS      | $-840000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIBANK COC                                                        | TBA CITIBANK COC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   11662000 | NS      | $11662000.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                                              | Verus Securitization Trust 2026-2                                               | CUSIP: 92490GAG3<br>LEI: 213800OKSLL73WD2H386 | Long             | ABS-MBS          | CORP              | US        |    2533776 | PA      | $2533769.59    | 0.04%             | 2071-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION                                                | Vertiv Group Corp                                                               | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    7417000 | PA      | $7304090.49    | 0.11%             | 2028-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VERTIV HOLDINGS CO                                                      | Vertiv Holdings Co                                                              | CUSIP: 92537NAA6<br>LEI: 549300KTTIRAOGXCRV69 | Long             | DBT              | CORP              | US        |    5971000 | PA      | $5806005.98    | 0.09%             | 2036-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| VERTIV HOLDINGS CO                                                      | Vertiv Holdings Co                                                              | CUSIP: 92537NAC2<br>LEI: 549300KTTIRAOGXCRV69 | Long             | DBT              | CORP              | US        |    1415000 | PA      | $1360158.59    | 0.02%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                              | Verus Securitization Trust 2024-6                                               | CUSIP: 92540JAC6<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |     157476 | PA      | $158173.86     | 0.00%             | 2069-07-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                              | Verus Securitization Trust 2025-1                                               | CUSIP: 92540TAC4<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |     264291 | PA      | $265175.59     | 0.00%             | 2070-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              |  | US        |    2690000 | PA      | $2644631.97    | 0.04%             | 2029-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                      | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    7877000 | PA      | $7864401.45    | 0.12%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                      | VICI Properties LP                                                              | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    3192000 | PA      | $3177103.57    | 0.05%             | 2035-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| TBA NOMURA BOC USD                                                      | TBA NOMURA BOC USD                                                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -106000 | NS      | $-106000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                                                | Viper Energy Partners LLC                                                       | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    1945000 | PA      | $1943716.30    | 0.03%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                                                | Viper Energy Partners LLC                                                       | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201562.00     | 0.00%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                | Virginia Electric and Power Co                                                  | CUSIP: 927804GV0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    3250000 | PA      | $3179739.68    | 0.05%             | 2035-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                | Virginia Electric and Power Co                                                  | CUSIP: 927804GX6<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    7265000 | PA      | $7081871.00    | 0.11%             | 2036-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                | Vistra Operations Co LLC                                                        | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   16079000 | PA      | $17495688.53   | 0.27%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                | Vistra Operations Co LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2790000 | PA      | $2868027.93    | 0.04%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                | Vistra Operations Co LLC                                                        | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    3425000 | PA      | $3357149.72    | 0.05%             | 2030-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                | Vistra Operations Co LLC                                                        | CUSIP: 92840VAW2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2485000 | PA      | $2413236.68    | 0.04%             | 2035-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                                           | VLS Commercial Mortgage Trust 2020-LAB                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     480000 | PA      | $407926.99     | 0.01%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust                                             | Volkswagen Auto Lease Trust 2024-A                                              | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27037084 | PA      | $27121158.88   | 0.42%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Walmart Inc                                                             | Walmart Inc                                                                     | CUSIP: 93114FD27<br>LEI: Y87794H0US1R65VBXU25 | Long             | STIV             | CORP              | US        |    6000000 | PA      | $5999388.36    | 0.09%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TBA BONY BOC USD                                                        | TBA BONY BOC USD                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     142000 | NS      | $142000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA STATE STREET BANK COC                                               | TBA STATE STREET BANK COC                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     539000 | NS      | $539000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA STATE STREET BANK BOC                                               | TBA STATE STREET BANK BOC                                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -7438000 | NS      | $-7438000.00   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Warwick Capital CLO Ltd                                                 | Warwick Capital CLO 7 Ltd                                                       | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     760000 | PA      | $759039.36     | 0.01%             | 2038-10-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                   | Waste Connections Inc                                                           | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    6740000 | PA      | $6783728.99    | 0.11%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                   | Waste Connections Inc                                                           | CUSIP: 94106BAK7<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    4610000 | PA      | $4516652.57    | 0.07%             | 2036-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TBA BOC STONEX USD                                                      | TBA BOC STONEX USD                                                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -222000 | NS      | $-222000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     330000 | PA      | $327732.13     | 0.01%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8384.46       | 0.00%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     204000 | PA      | $203738.48     | 0.00%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     360000 | PA      | $309022.55     | 0.00%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     610000 | PA      | $485647.68     | 0.01%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     580000 | PA      | $486216.55     | 0.01%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                   | Wells Fargo Commercial Mortgage Trust 2024-C63                                  | CUSIP: 94990FAE1<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $355312.37     | 0.01%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                   | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GAY0<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    7211000 | PA      | $7170673.20    | 0.11%             | 2049-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                   | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GBB9<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    2483641 | PA      | $7923.31       | 0.00%             | 2049-08-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                   | Wells Fargo Commercial Mortgage Trust 2016-C36                                  | CUSIP: 95000MBS9<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-MBS          | CORP              | US        |    6934554 | PA      | $12299.12      | 0.00%             | 2059-11-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     410000 | PA      | $407695.62     | 0.01%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     430000 | PA      | $405695.94     | 0.01%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     390000 | PA      | $386630.64     | 0.01%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2310000 | PA      | $2035094.01    | 0.03%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     230000 | PA      | $224492.89     | 0.00%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     640000 | PA      | $587638.85     | 0.01%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5156000 | PA      | $5255929.57    | 0.08%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    9622000 | PA      | $9846458.17    | 0.15%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7069000 | PA      | $7189780.37    | 0.11%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                            | Wells Fargo Mortgage Backed Securities 2020-1 Trust                             | CUSIP: 95002KAA1<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     528674 | PA      | $458440.70     | 0.01%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                   | Wells Fargo Commercial Mortgage Trust 2020-C58                                  | CUSIP: 95002UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2991000 | PA      | $2660461.60    | 0.04%             | 2053-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                   | Wells Fargo Commercial Mortgage Trust 2025-5C6                                  | CUSIP: 95004TAD4<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |   76003345 | PA      | $3964904.51    | 0.06%             | 2058-10-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| TBBC INTL FC STONE BOC                                                  | TBBC INTL FC STONE BOC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     222000 | NS      | $222000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                  | Williams Cos Inc/The                                                            | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     120000 | PA      | $142514.43     | 0.00%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                  | Williams Cos Inc/The                                                            | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     190000 | PA      | $171850.43     | 0.00%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                  | Williams Cos Inc/The                                                            | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      50000 | PA      | $42657.51      | 0.00%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                  | Williams Cos Inc/The                                                            | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     270000 | PA      | $236179.64     | 0.00%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                                      | Wind River 2021-1 CLO Ltd                                                       | CUSIP: 97314HAS8<br>LEI: 549300OBHD9JXBHL6R27 | Long             | ABS-CBDO         | CORP              | KY        |    3720000 | PA      | $3703743.60    | 0.06%             | 2037-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Woodmont Trust                                                          | Woodmont 2023-12 Trust                                                          | CUSIP: 979926AN2<br>LEI: 254900XKHBCNXQQ84W37 | Long             | ABS-CBDO         | CORP              | KY        |     856522 | PA      | $856544.77     | 0.01%             | 2032-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                         | Xcel Energy Inc                                                                 | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6605644.44    | 0.10%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                              | Zoetis Inc                                                                      | CUSIP: 98978VAX1<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6447092.47    | 0.10%             | 2035-08-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SWAP GOLDMAN SACHS COC                                                  | SWAP GOLDMAN SACHS COC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |        100 | NS      | $100.21        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-23

**Name of Applicant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP