# EDGAR Filing Document

**Accession Number:** 0001450011
**File Stem:** 0001450011-23-000110
**Filing Date:** 2023-3
**Character Count:** 487977
**Document Hash:** f7f2f238577b1fa3e341bb7844b97fd8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001450011-23-000110.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001450011-23-000110

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO ETF Trust
- **CENTRAL INDEX KEY:** 0001450011
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22250
- **FILM NUMBER:** 23688768

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949.720.6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO Active Bond Exchange-Traded Fund (Series ID: S000033233)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000102215 | PIMCO Active Bond Exchange-Traded Fund | BOND            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO ETF Trust

- **b. Investment Company Act file number:** 811-22250

- **c. CIK number of Registrant:** 0001450011

- **d. LEI of Registrant:** 5493004M9TBGFQUJ6D27

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 400-4383

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

- **a. Name of Series:** PIMCO Active Bond Exchange-Traded Fund

- **b. EDGAR series identifier (if any):** S000033233

- **c. LEI of Series:** WFXVQL1P1SLFR2PGV620

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

- **a. Date of fiscal year-end:** 2023-06-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4709751572.84

**Total Liabilities:** $1497889094.23

**Net Assets:** $3211862478.61

**Cash Not Reported:** $36255492.65

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 119541.930200 | **1-Year:** 151933.571600 | **5-Year:** 851369.264000 | **10-Year:** 460973.605400 | **30-Year:** 42707.799800

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

- **3-Month:** 18408.043000 | **1-Year:** 25708.628600 | **5-Year:** 88001.441900 | **10-Year:** 31412.834800 | **30-Year:** 1103.323500

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000102215 | -1.68%               | 3.76%                | -0.12%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-37468219.55            | $-24745243.56                              |
| Month 2  | $-1045283.38             | $106168521.56                              |
| Month 3  | $3969277.85              | $-22114471.26                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Total Return Unhedged USD 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT                           | BANC OF AMERICA MERRILL LYNCH BAMLL 2019 AHT A 144A        | CUSIP: 05525DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5385000 | PA      | $5238895.26   | 0.16%             | 2034-03-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 0.88000 03/03/21-3Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-1845595.53  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 0.98000 02/26/21-3Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-9112385.33  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.23500 03/04/20-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-2376808.14  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.27500 03/03/20-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-2583243.32  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.27600 03/03/20-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-1548348.30  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.29000 03/03/20-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-770726.96   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.90000 12/18/19-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-287291.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R2                                         | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 1A2 144A       | CUSIP: 05990TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8671938 | PA      | $8148979.83   | 0.25%             | 2036-08-27      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO E INVERSIONES SA/SANTIAGO BRANCH                             | BANC CREDITO INVERSIONES SR UNSECURED 144A 10/31 2.875     | CUSIP: 05890MAB9<br>LEI: 549300E9E5Y3PKW24142 | Long             | DBT              | CORP              | CL        |   2800000 | PA      | $2333257.64   | 0.07%             | 2031-10-14      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC JR SUBORDINA 12/99 VAR                       | CUSIP: 172967MG3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |   1500000 | NS      | $1341870.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA SR UNSECURED 05/30 3.49                 | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   3400000 | PA      | $2868937.37   | 0.09%             | 2030-05-28      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | TELEFONICA EMISIONES SAU SNR SE ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | ES        |         1 | NC      | $-4761.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TESCO PLC SNR SE ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-20445.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT MAR23 XCBT 20230322                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1019 | NC      | $2604476.66   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/32 VAR                | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  12200000 | PA      | $9793975.17   | 0.30%             | 2032-04-22      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | VALEO SA SNR SE ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |         1 | NC      | $-77960.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | VALEO SA SNR SE ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |         1 | NC      | $-243681.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $339.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $960.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3251.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1000.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | WILLIAMS COS INC SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $23146.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR                | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8299518.03   | 0.26%             | 2028-07-21      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR                | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6358947.79   | 0.20%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC JR SUBORDINA 12/99 VAR                        | CUSIP: 06738EBA2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1100000 | PA      | $1076680.00   | 0.03%             | 2023-09-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC JR SUBORDINA 12/99 VAR                        | CUSIP: 06738EBT1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2200000 | PA      | $1683000.00   | 0.05%             | 2028-03-15      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 01/26 4.375                      | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $968816.28    | 0.03%             | 2026-01-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 03/32 VAR                        | CUSIP: 06738EBR5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $611917.80    | 0.02%             | 2032-03-10      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 05/26 VAR                        | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2100000 | PA      | $1953175.88   | 0.06%             | 2026-05-07      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 05/29 VAR                        | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $940939.04    | 0.03%             | 2029-05-16      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/28 VAR                        | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $3132261.75   | 0.10%             | 2028-11-02      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| COBANK ACB (AKA: COBANK AB)                                                   | COBANK ACB JR SUBORDINA 12/99 VAR                          | CUSIP: 19075QAD4<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | EP               | CORP              | US        |   1700000 | NS      | $1452259.00   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORPORATION                                                       | BAT CAPITAL CORP COMPANY GUAR 03/28 2.259                  | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1663161.40   | 0.05%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORPORATION                                                       | BAT CAPITAL CORP COMPANY GUAR 08/37 4.39                   | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $2498438.78   | 0.08%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2018-C2                                                  | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 C2 A5            | CUSIP: 05491UBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $953600.90    | 0.03%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA3                                                       | BCAP LLC TRUST BCAP 2007 AA3 2A1B                          | CUSIP: 05530VAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1652907 | PA      | $1521910.95   | 0.05%             | 2047-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE10                                                | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE10 M1          | CUSIP: 073879MR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1827511 | PA      | $1793574.95   | 0.06%             | 2034-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS SEC INC 2004-HE2                                             | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE2 M1           | CUSIP: 07384YQY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2184791 | PA      | $2126687.72   | 0.07%             | 2034-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-3                                               | BEAR STEARNS ALT A TRUST BALTA 2004 3 A1                   | CUSIP: 07386HGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11876 | PA      | $11213.97     | 0.00%             | 2034-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                           | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A3          | CUSIP: 07389MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $2907262.40   | 0.09%             | 2036-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-A                                           | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ1 M3           | CUSIP: 073879UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    447183 | PA      | $440585.89    | 0.01%             | 2035-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BGC PARTNERS INC                                                              | BGC PARTNERS INC SR UNSECURED 07/23 5.375                  | CUSIP: 05541TAK7<br>LEI: TF1LXM1YNB81WKUH5G19 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4977385.00   | 0.15%             | 2023-07-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BGC PARTNERS INC                                                              | BGC PARTNERS INC SR UNSECURED 10/24 3.75                   | CUSIP: 05541TAM3<br>LEI: TF1LXM1YNB81WKUH5G19 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3158824.58   | 0.10%             | 2024-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BIO-RAD LABORATORIES INC                                                      | BIO RAD LABS SR UNSECURED 03/27 3.3                        | CUSIP: 090572AR9<br>LEI: 549300ZC1GPV35XYDK53 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $925691.91    | 0.03%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO LLC                                            | BLACKSTONE HOLDINGS FINA COMPANY GUAR 144A 08/28 1.625     | CUSIP: 09261BAC4<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2447317.35   | 0.08%             | 2028-08-05      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                          | BLUE OWL FINANCE LLC COMPANY GUAR 144A 06/31 3.125         | CUSIP: 09581JAA4<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $3203065.06   | 0.10%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS JR SUBORDINA 144A 12/99 VAR                    | CUSIP: 05565ALQ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $153718.52    | 0.00%             | 2030-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS JR SUBORDINA 144A 12/99 VAR                    | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $1550200.94   | 0.05%             | 2031-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 01/28 VAR                    | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3500000 | PA      | $3083071.92   | 0.10%             | 2028-01-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 06/26 VAR                    | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3000000 | PA      | $2757074.88   | 0.09%             | 2026-06-09      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 08/28 4.4                    | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    700000 | PA      | $663134.69    | 0.02%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 09/28 VAR                    | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3200000 | PA      | $2669497.95   | 0.08%             | 2028-09-30      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 05/40 5.705                         | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95785.05     | 0.00%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 05/50 5.805                         | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93227.07     | 0.00%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BOWDOIN COLLEGE                                                               | BOWDOIN COLLEGE SR UNSECURED 07/12 4.693                   | CUSIP: 102291AA9<br>LEI: 549300SIUVRUY51G1940 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $2787848.87   | 0.09%             | 2112-07-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                              | BRIXMOR OPERATING PART SR UNSECURED 05/29 4.125            | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4480483.55   | 0.14%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                              | BRIXMOR OPERATING PART SR UNSECURED 06/24 3.65             | CUSIP: 11120VAF0<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6788653.76   | 0.21%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC COMPANY GUAR 09/28 4.11                       | CUSIP: 11135FAL5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   7435000 | PA      | $6928892.93   | 0.22%             | 2028-09-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/33 3.419                 | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1608972.68   | 0.05%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/34 3.469                 | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    500000 | PA      | $400350.68    | 0.01%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 11/36 3.187                 | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $2597117.22   | 0.08%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BSPRT 2022-FL9 ISSUER LTD                                                     | BSPRT ISSUER, LTD. BSPRT 2022 FL9 A 144A                   | CUSIP: 055984AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3913814.80   | 0.12%             | 2039-07-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                 | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A                  | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4777252.50   | 0.15%             | 2036-09-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                                         | BX TRUST BX 2021 21M A 144A                                | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1639025 | PA      | $1577304.94   | 0.05%             | 2036-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BXMT 2020-FL3 LTD                                                             | BXMT LTD BXMT 2020 FL3 A 144A                              | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7500000 | PA      | $7385083.88   | 0.23%             | 2037-11-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA INSTITUTE OF TECHNOLOGY                                            | CALIFORNIA INSTITUTE OF UNSECURED 09/16 4.283              | CUSIP: 13034VAC8<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2258977.89   | 0.07%             | 2116-09-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                                          | CANTOR FITZGERALD LP SR UNSECURED 144A 05/24 4.875         | CUSIP: 138616AE7<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1276158.43   | 0.04%             | 2024-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CARLYLE FINANCE SUBSIDIARY LLC                                                | CARLYLE FINANCE SUB LLC COMPANY GUAR 144A 09/29 3.5        | CUSIP: 14314DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4500000 | PA      | $3815510.31   | 0.12%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A                              | CARLYLE GLOBAL MARKET STRATEGI CGMS 2013 1A A1RR 144A      | CUSIP: 14310BAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10183525 | PA      | $10073272.73  | 0.31%             | 2030-08-14      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-OPT2                                           | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 OPT2 M5           | CUSIP: 144531CN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5100000 | PA      | $4862080.41   | 0.15%             | 2035-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                          | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A3           | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600684 | PA      | $2121614.62   | 0.07%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                          | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3           | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4676074 | PA      | $4201717.35   | 0.13%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION TRUST 2018-1                               | CASTLELAKE AIRCRAFT STRUCTURED CLAST 2018 1 A 144A         | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    697553 | PA      | $612420.25    | 0.02%             | 2043-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP JR SUBORDINA 12/99 VAR                  | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |   3000000 | NS      | $2605410.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CATHEDRAL LAKE CLO LTD 2018-5A                                                | CATHEDRAL LAKE LTD CATLK 2018 5A AFR 144A                  | CUSIP: 14919BAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9000000 | PA      | $8518940.46   | 0.27%             | 2030-10-20      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                    | CDW LLC/CDW FINANCE COMPANY GUAR 12/26 2.67                | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2669079.00   | 0.08%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                           | CENTENE CORP SR UNSECURED 10/30 3                          | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1233006.35   | 0.04%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CH ROBINSON WORLDWIDE INC                                                     | CH ROBINSON WORLDWIDE SR UNSECURED 04/28 4.2               | CUSIP: 12541WAA8<br>LEI: 529900WNWN5L0OVDHA79 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $946248.52    | 0.03%             | 2028-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 03/29 5.05             | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1885795.54   | 0.06%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S1 A4            | CUSIP: 16162WRA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3676175 | PA      | $1792246.88   | 0.06%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-1                                                        | CHASEFLEX TRUST CFLX 2007 1 1A3                            | CUSIP: 16165VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3875060 | PA      | $1428338.68   | 0.04%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-HYB1 2006-HYB1                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB1 1A1                  | CUSIP: 126694WE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585331 | PA      | $488017.61    | 0.02%             | 2036-03-20      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTERNATIONAL INC                                               | CHOICE HOTELS INTL INC SR UNSECURED 12/29 3.7              | CUSIP: 169905AF3<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |   6700000 | PA      | $5849540.86   | 0.18%             | 2029-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                             | CI FINANCIAL CORP SR UNSECURED 06/51 4.1                   | CUSIP: 125491AP5<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |   2500000 | PA      | $1481441.35   | 0.05%             | 2051-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                             | CI FINANCIAL CORP SR UNSECURED 12/30 3.2                   | CUSIP: 125491AN0<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |   4000000 | PA      | $3042609.24   | 0.09%             | 2030-12-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                                     | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR        | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |   4250000 | NS      | $3952500.00   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                    | CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A                | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510557 | PA      | $508152.45    | 0.02%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                    | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A               | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4761250.50   | 0.15%             | 2037-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC33                                 | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 GC33 A4           | CUSIP: 29425AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8100000 | PA      | $7715498.67   | 0.24%             | 2058-09-10      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1                                   | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C1 A4             | CUSIP: 17290YAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7800000 | PA      | $7260846.84   | 0.23%             | 2049-05-10      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 01/28 VAR                       | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  10750000 | PA      | $10060829.11  | 0.31%             | 2028-01-10      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 03/30 VAR                       | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3344493.12   | 0.10%             | 2030-03-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-NCM2                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 NCM2 2CB1         | CUSIP: 17307GHA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1418225 | PA      | $1358570.93   | 0.04%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2D           | CUSIP: 17309BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4385830 | PA      | $1627553.63   | 0.05%             | 2036-05-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A      | CUSIP: 17312EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241457 | PA      | $205181.02    | 0.01%             | 2037-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR6                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A2           | CUSIP: 17309RAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    745036 | PA      | $696855.99    | 0.02%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B           | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1160463 | PA      | $834615.12    | 0.03%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH1 M6           | CUSIP: 17307G2T4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1780000 | PA      | $1703545.97   | 0.05%             | 2036-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A       | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330976 | PA      | $317966.34    | 0.01%             | 2035-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CLAREMONT MCKENNA COLLEGE (CMC)                                               | CLAREMONT MCKENNA UNSECURED 01/22 3.775                    | CUSIP: 18013RAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $1912936.44   | 0.06%             | 2122-01-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| CLNC 2019-FL1 LTD                                                             | CLNC 2019 FL1, LTD CLNC 2019 FL1 A 144A                    | CUSIP: 12565DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1804500 | PA      | $1773354.68   | 0.06%             | 2035-08-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M2            | CUSIP: 17307GP77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563859 | PA      | $547261.45    | 0.02%             | 2035-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                            | CNO GLOBAL FUNDING SECURED 144A 01/25 1.65                 | CUSIP: 18977W2B5<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1854428.92   | 0.06%             | 2025-01-06      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC COMPANY                                                      | GENERAL ELECTRIC CO JR SUBORDINA 12/49 VAR                 | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | EP               | CORP              | US        |   6000000 | NS      | $5951100.00   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                                 | COMM MORTGAGE TRUST COMM 2021 2400 A 144A                  | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6400000 | PA      | $5917519.36   | 0.18%             | 2038-12-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                           | COMMONSPIRIT HEALTH SR SECURED 10/49 4.187                 | CUSIP: 20268JAC7<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   7300000 | PA      | $5712535.65   | 0.18%             | 2049-10-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| AMERICAN AGCREDIT CORPORATION                                                 | AMER AGCREDIT ACA JR SUBORDINA 144A VAR                    | CUSIP: 02369GAA3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   4000000 | NS      | $3381773.60   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                      | COREBRIDGE FINANCIAL INC SR UNSECURED 144A 04/29 3.85      | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1825750.16   | 0.06%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC JR SUBORDINA 12/99 VAR             | CUSIP: 38144GAE1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |   1400000 | NS      | $1149582.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC JR SUBORDINA 12/99 VAR             | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |  11600000 | NS      | $9407136.00   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 28CB 1A4         | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328149 | PA      | $285695.60    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 2A3         | CUSIP: 12668AZ32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733573 | PA      | $521188.23    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-85CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 85CB 2A1         | CUSIP: 12668BEF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1503165 | PA      | $1189598.61   | 0.04%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A1           | CUSIP: 12668BVA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362473 | PA      | $162760.38    | 0.01%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-AL1                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 AL1 A1           | CUSIP: 02150NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524550 | PA      | $419024.87    | 0.01%             | 2037-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A          | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154088 | PA      | $129736.37    | 0.00%             | 2047-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-20CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 20CB 1A3         | CUSIP: 12667GPV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441572 | PA      | $342096.90    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-20CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 20CB 2A7         | CUSIP: 12667GQD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677190 | PA      | $438581.14    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1            | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3224538 | PA      | $2814911.68   | 0.09%             | 2035-12-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7          | CUSIP: 02146TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332771 | PA      | $199304.91    | 0.01%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35         | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3102251 | PA      | $2634538.03   | 0.08%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A4             | CUSIP: 12667HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6800000 | PA      | $6132735.72   | 0.19%             | 2047-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A              | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3057624 | PA      | $2762718.06   | 0.09%             | 2035-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 M3               | CUSIP: 126673BE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    814888 | PA      | $797272.95    | 0.02%             | 2034-09-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 1A              | CUSIP: 12666CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3201513 | PA      | $2935179.82   | 0.09%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                      | AMERICAN EXPRESS CO JR SUBORDINA 12/99 VAR                 | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | EP               | CORP              | US        |   5000000 | NS      | $4116400.00   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 2A3             | CUSIP: 126697AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504292 | PA      | $501713.27    | 0.02%             | 2047-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3              | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921600 | PA      | $1972578.08   | 0.06%             | 2037-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A               | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7749556 | PA      | $6632741.09   | 0.21%             | 2047-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 7 1A1                     | CUSIP: 12669GNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76050 | PA      | $66582.77     | 0.00%             | 2035-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                                              | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 3A1A                 | CUSIP: 126694VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656883 | PA      | $567635.06    | 0.02%             | 2036-02-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                                               | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                    | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2336938 | PA      | $2105775.91   | 0.07%             | 2037-11-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| COUNTY OF PALM BEACH FL                                                       | PALM BEACH CNTY FL PUBLIC IMPT PALGEN 11/43 FIXED OID 5.25 | CUSIP: 696543NF0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7520000 | PA      | $7535664.16   | 0.23%             | 2043-11-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/ ZURICH BRANCH                                               | CREDIT SUISSE AG SUBORDINATED 144A 08/23 6.5               | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |   1800000 | PA      | $1747270.80   | 0.05%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/ ZURICH BRANCH                                               | CREDIT SUISSE AG SUBORDINATED REGS 08/23 6.5               | CUSIP: ACI06K5Q2<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |  13600000 | PA      | $13201601.60  | 0.41%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/NEW YORK BRANCH                                              | CREDIT SUISSE NEW YORK SR UNSECURED 07/27 5                | CUSIP: 22550L2K6<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   3500000 | PA      | $3195306.17   | 0.10%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR         | CUSIP: 225436AA2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $157674.60    | 0.00%             | 2024-12-18      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR         | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   6200000 | PA      | $5431200.00   | 0.17%             | 2023-12-11      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR         | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1800000 | PA      | $1442915.42   | 0.04%             | 2023-07-17      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/49 VAR         | CUSIP: ACI07D348<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $438000.00    | 0.01%             | 2023-12-11      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/99 VAR         | CUSIP: H3698DBW3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $160323.94    | 0.00%             | 2023-07-17      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 03/25 3.75             | CUSIP: 225433AC5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2000000 | PA      | $1801631.54   | 0.06%             | 2025-03-26      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 07/26 VAR         | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1600000 | PA      | $1503581.81   | 0.05%             | 2026-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-2                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 2 3A9               | CUSIP: 126384AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758616 | PA      | $426453.81    | 0.01%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-6                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1                | CUSIP: 12639PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3043221 | PA      | $1879998.62   | 0.06%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL3                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL3 A1 144A        | CUSIP: 12656PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4993109 | PA      | $4780847.84   | 0.15%             | 2060-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL9 A1 144A        | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850591 | PA      | $1705606.92   | 0.05%             | 2061-02-25      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2008-2R                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2008 2R 1A1 144A         | CUSIP: 225492AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393926 | PA      | $325928.89    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE INC SR UNSECURED 02/29 4.3                    | CUSIP: 22822VAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1892844.74   | 0.06%             | 2029-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MORTGAGE SEC 2001-28                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 28 1A1            | CUSIP: 22540VKM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28584 | PA      | $18892.01     | 0.00%             | 2031-11-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR7                                        | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR7 2A1           | CUSIP: 22541SRP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21243 | PA      | $20427.93     | 0.00%             | 2034-11-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL5 TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL5 A1 144A        | CUSIP: 12597XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3746937 | PA      | $3595264.71   | 0.11%             | 2060-08-25      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL7 TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL7 A1 144A        | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3586593 | PA      | $3255519.30   | 0.10%             | 2061-07-27      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2021-RPL4                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL4 A1 144A        | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2301641 | PA      | $2113974.78   | 0.07%             | 2060-12-27      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                        | CVS HEALTH CORP SR UNSECURED 04/30 3.75                    | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2363428.39   | 0.07%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                        | CVS HEALTH CORP SR UNSECURED 04/40 4.125                   | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $3511619.16   | 0.11%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                        | CVS HEALTH CORP SR UNSECURED 12/43 5.3                     | CUSIP: 126650CD0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1877801.24   | 0.06%             | 2043-12-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                               | DAE FUNDING LLC COMPANY GUAR 144A 03/25 2.625              | CUSIP: 23371DAF1<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3747600.00   | 0.12%             | 2025-03-20      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                               | DAE FUNDING LLC COMPANY GUAR 144A 03/28 3.375              | CUSIP: 23371DAG9<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4445450.00   | 0.14%             | 2028-03-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DAE SUKUK (DIFC) LTD                                                          | DAE SUKUK DIFC LTD SR UNSECURED 144A 02/26 3.75            | CUSIP: 23302JAA3<br>LEI: 635400AMGMPG1J5EQD94 | Long             | DBT              | CORP              | AE        |   1300000 | PA      | $1236457.30   | 0.04%             | 2026-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS RETAIL TRUST 2022-1                                            | DAIMLER TRUCKS RETAIL TRUST DTRT 2022 1 A4                 | CUSIP: 233869AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2511160.25   | 0.08%             | 2030-01-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                             | DELL INT LLC / EMC CORP SR UNSECURED 07/27 6.1             | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $720294.23    | 0.02%             | 2027-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                             | DELL INT LLC / EMC CORP SR UNSECURED 07/30 6.2             | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1019091.78   | 0.03%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                             | DELL INT LLC / EMC CORP SR UNSECURED 10/29 5.3             | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4900000 | PA      | $4803401.20   | 0.15%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                           | DELTA AIR LINES INC SR SECURED 144A 05/25 7                | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204569.68    | 0.01%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                           | DELTA AIR LINES INC SR UNSECURED 01/26 7.375               | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2251414.00   | 0.07%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                           | DELTA AIR LINES INC SR UNSECURED 04/28 4.375               | CUSIP: 247361ZN1<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    800000 | PA      | $714403.27    | 0.02%             | 2028-04-19      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                         | DELTA AIR LINES/SKYMILES SR SECURED 144A 10/28 4.75        | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1694717.15   | 0.05%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A1A           | CUSIP: 251510MD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145043 | PA      | $131064.25    | 0.00%             | 2036-02-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A1C           | CUSIP: 251510MF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1346421 | PA      | $1216470.92   | 0.04%             | 2036-02-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                        | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A5            | CUSIP: 25151RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4074524 | PA      | $3371422.57   | 0.10%             | 2047-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 05/32 VAR                    | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   9000000 | PA      | $6841548.90   | 0.21%             | 2032-05-28      | Floating      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 09/31 VAR                    | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   7600000 | PA      | $6109283.56   | 0.19%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 11/25 VAR                    | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   5300000 | PA      | $5068275.31   | 0.16%             | 2025-11-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SUBORDINATED 01/32 VAR                    | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2200000 | PA      | $1617471.57   | 0.05%             | 2032-01-14      | Floating      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SUBORDINATED 01/33 VAR                    | CUSIP: 25160PAG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2900000 | PA      | $2065652.22   | 0.06%             | 2033-01-07      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SUBORDINATED 07/31 VAR                    | CUSIP: 25160PAE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   5000000 | PA      | $4326914.55   | 0.13%             | 2031-07-08      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| DIAMOND ISSUER 2021-1A                                                        | DIAMOND ISSUER LLC SHINE 2021 1A A 144A                    | CUSIP: 25267TAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1496318.04   | 0.05%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                        | DIAMONDBACK ENERGY INC COMPANY GUAR 12/29 3.5              | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $175902.27    | 0.01%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SERVICES                                                   | DISCOVER FINANCIAL SVS SR UNSECURED 01/26 4.5              | CUSIP: 254709AP3<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   5400000 | PA      | $5225828.29   | 0.16%             | 2026-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                  | DISCOVERY COMMUNICATIONS COMPANY GUAR 09/55 4              | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    300000 | PA      | $181315.34    | 0.01%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                                | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5       | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |   7800000 | PA      | $6286107.59   | 0.20%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DORIC NIMROD AIR ALPHA 2013-1 CLASS A PASS THROUGH TRUST                      | DORIC NIMROD 2013 1 CL A PASS THRU CE 144A 05/25 5.25      | CUSIP: 233283AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GG        |    127002 | PA      | $126066.50    | 0.00%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DRYDEN 36 SENIOR LOAN FUND 2014-36A                                           | DRYDEN SENIOR LOAN FUND DRSLF 2014 36A AR3 144A            | CUSIP: 26249KAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8034087 | PA      | $7948058.35   | 0.25%             | 2029-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                     | DUKE ENERGY CAROLINAS 1ST MORTGAGE 08/49 3.2               | CUSIP: 26442CAZ7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    500000 | PA      | $352761.60    | 0.01%             | 2049-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2020-3A                                         | ECMC GROUP STUDENT LOAN TRUST ECMC 2020 3A A1B 144A        | CUSIP: 26833BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3926221 | PA      | $3901366.09   | 0.12%             | 2070-01-27      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                           | ELEVANCE HEALTH INC SR UNSECURED 10/32 5.5                 | CUSIP: 036752AW3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1540326.80   | 0.05%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                               | EMC MORTGAGE LOAN TRUST EMCM 2003 A A1 144A                | CUSIP: 268668BS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    938600 | PA      | $890263.69    | 0.03%             | 2040-08-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                 | ENEL FINANCE INTL NV COMPANY GUAR 144A 10/52 7.75          | CUSIP: 29278GBB3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $214732.76    | 0.01%             | 2052-10-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 07/26 3.9                  | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94609.13     | 0.00%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 12/25 5.95                 | CUSIP: 86765BAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2334556.17   | 0.07%             | 2025-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                             | ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/42 5.7            | CUSIP: 29379VAV5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194680.88    | 0.01%             | 2042-02-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                             | ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/43 4.45           | CUSIP: 29379VAY9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    400000 | PA      | $338787.60    | 0.01%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                   | EQUINIX INC SR UNSECURED 02/52 3.4                         | CUSIP: 29444UBT2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    200000 | PA      | $137128.76    | 0.00%             | 2052-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                        | EQUITABLE HOLDINGS INC SR UNSECURED 04/28 4.35             | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $954615.97    | 0.03%             | 2028-04-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| EQUS 2021-EQAZ MORTGAGE TRUST                                                 | EQUS 2021 EQAZ MORTGAGE TRUST EQUS 2021 EQAZ A 144A        | CUSIP: 29478JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4699906 | PA      | $4530460.09   | 0.14%             | 2038-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                          | ERAC USA FINANCE LLC COMPANY GUAR 144A 11/25 3.8           | CUSIP: 26884TAP7<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    900000 | PA      | $861537.90    | 0.03%             | 2025-11-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| EXELON CORPORATION                                                            | EXELON CORP SR UNSECURED 04/30 4.05                        | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   3250000 | PA      | $3025086.19   | 0.09%             | 2030-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                             | EXPEDIA GROUP INC COMPANY GUAR 02/28 3.8                   | CUSIP: 30212PAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2299355.25   | 0.07%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                            | F+G GLOBAL FUNDING SR SECURED 144A 09/28 2                 | CUSIP: 30321L2C5<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    800000 | PA      | $661036.64    | 0.02%             | 2028-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/28 4.85             | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $284092.94    | 0.01%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 144A 08/32 5.625       | CUSIP: 303901BK7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |   2000000 | PA      | $1882915.90   | 0.06%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1993-116                                                           | FANNIE MAE FNR 1993 116 SE                                 | CUSIP: 31359A3K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       412 | PA      | $405.42       | 0.00%             | 2023-07-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-14                                                            | FANNIE MAE FNR 2001 14 Z                                   | CUSIP: 31359SWU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10444 | PA      | $10485.00     | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-120                                                           | FANNIE MAE FNR 2005 120 PB                                 | CUSIP: 31394VJR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18298 | PA      | $18579.76     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-120                                                           | FANNIE MAE FNR 2005 120 WS                                 | CUSIP: 31394VKJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98703 | PA      | $86748.41     | 0.00%             | 2036-01-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-22                                                            | FANNIE MAE FNR 2006 22 AO                                  | CUSIP: 31395BA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19044 | PA      | $16016.54     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-35                                                            | FANNIE MAE FNR 2010 35 SB                                  | CUSIP: 31398PKD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38265 | PA      | $2735.08      | 0.00%             | 2040-04-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 314                                                 | FANNIEMAE STRIP FNS 314 1                                  | CUSIP: 3136FABE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12238 | PA      | $10786.41     | 0.00%             | 2031-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2004-59                                                     | FANNIE MAE FNR 2004 59 BG                                  | CUSIP: 31394AVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3783 | PA      | $3196.81      | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-34                                                     | FANNIE MAE FNR 2006 34 SK                                  | CUSIP: 31395DPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    815330 | PA      | $73692.79     | 0.00%             | 2036-05-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-55                                                     | FANNIE MAE FNR 2007 55 PO                                  | CUSIP: 31396WGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3168 | PA      | $2782.78      | 0.00%             | 2037-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-72                                                     | FANNIE MAE FNR 2007 72 B                                   | CUSIP: 31396WQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35263 | PA      | $35809.95     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-93                                                     | FANNIE MAE FNR 2007 93 ZB                                  | CUSIP: 31396XWJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    103141 | PA      | $99103.46     | 0.00%             | 2037-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-9                                                      | FANNIE MAE FNR 2010 9 GO                                   | CUSIP: 31398MBW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34859 | PA      | $28348.26     | 0.00%             | 2040-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-9                                                      | FANNIE MAE FNR 2010 9 KD                                   | CUSIP: 31398MCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5438 | PA      | $5348.65      | 0.00%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-17                                                     | FANNIE MAE FNR 2011 17 PG                                  | CUSIP: 31397QC97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4249 | PA      | $4187.73      | 0.00%             | 2041-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-102                                                    | FANNIE MAE FNR 2012 102 HS                                 | CUSIP: 3136A8RK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22262229 | PA      | $2838465.30   | 0.09%             | 2042-09-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-55                                                     | FANNIE MAE FNR 2012 55 GS                                  | CUSIP: 3136A53W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    133672 | PA      | $94473.18     | 0.00%             | 2042-05-25      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-58                                                     | FANNIE MAE FNR 2012 58 KB                                  | CUSIP: 3136A6KA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    586603 | PA      | $542598.43    | 0.02%             | 2042-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-18                                                     | FANNIE MAE FNR 2013 18 MZ                                  | CUSIP: 3136ACXR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2685 | PA      | $2538.72      | 0.00%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                      | FANNIE MAE FNR 2013 6 BZ                                   | CUSIP: 3136ABM67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       159 | PA      | $119.69       | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                      | FANNIE MAE FNR 2013 6 JZ                                   | CUSIP: 3136ABN58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46 | PA      | $33.15        | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-97                                                            | FANNIE MAE FNR 2005 97 DZ                                  | CUSIP: 31394UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34168 | PA      | $33706.50     | 0.00%             | 2035-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-50                                                            | FANNIE MAE FNR 2006 50 JO                                  | CUSIP: 31395DUD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8916 | PA      | $7339.07      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-58                                                            | FANNIE MAE FNR 2006 58 PO                                  | CUSIP: 31395ND20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6319 | PA      | $5255.13      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FARMERS INSURANCE EXCHANGE                                                    | FARMERS INS EXCH SUBORDINATED 144A 11/57 VAR               | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1610855.60   | 0.05%             | 2057-11-01      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FERGUSON FINANCE PLC                                                          | FERGUSON FINANCE PLC COMPANY GUAR 144A 06/30 3.25          | CUSIP: 314890AB0<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $1700583.66   | 0.05%             | 2030-06-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1G2603 FH 10/36 FLOATING VAR             | CUSIP: 3128QS3L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       512 | PA      | $515.07       | 0.00%             | 2036-10-01      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1K0030 FH 07/36 FLOATING VAR             | CUSIP: 3128NUA79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2331 | PA      | $2347.84      | 0.00%             | 2036-07-01      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 789262 FH 12/31 FLOATING VAR             | CUSIP: 31295NJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44101 | PA      | $43593.22     | 0.00%             | 2031-12-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A14706 FG 10/33 FIXED 4                  | CUSIP: 31296PGP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12129 | PA      | $11674.02     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A55007 FG 11/36 FIXED 6                  | CUSIP: 3128KHR40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21935 | PA      | $22324.75     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A90710 FG 01/40 FIXED 4.5                | CUSIP: 312938YF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    261691 | PA      | $259959.88    | 0.01%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A92415 FG 06/40 FIXED 4.5                | CUSIP: 312940VG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87077 | PA      | $86501.23     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A92791 FG 07/40 FIXED 4.5                | CUSIP: 312941C47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43061 | PA      | $42737.39     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A94185 FG 10/40 FIXED 4                  | CUSIP: 312942UJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3634 | PA      | $3509.27      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A94251 FG 10/40 FIXED 4                  | CUSIP: 312942WL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1283 | PA      | $1234.39      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A94576 FG 10/40 FIXED 4                  | CUSIP: 312943CM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       221 | PA      | $213.15       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C01032 FG 06/30 FIXED 9                  | CUSIP: 31292HED2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       346 | PA      | $345.67       | 0.00%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C03449 FG 03/40 FIXED 4                  | CUSIP: 31292KZN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       174 | PA      | $167.57       | 0.00%             | 2040-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C03598 FG 11/40 FIXED 4                  | CUSIP: 31292K7K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       525 | PA      | $505.11       | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C90606 FG 01/23 FIXED 5.5                | CUSIP: 31335HU76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $8.57         | 0.00%             | 2023-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C90913 FG 08/25 FIXED 5.5                | CUSIP: 3128P7AN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8775 | PA      | $8815.40      | 0.00%             | 2025-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91020 FG 03/27 FIXED 5.5                | CUSIP: 3128P7DZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2671 | PA      | $2683.72      | 0.00%             | 2027-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91026 FG 04/27 FIXED 5.5                | CUSIP: 3128P7D75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5512 | PA      | $5537.13      | 0.00%             | 2027-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91030 FG 05/27 FIXED 5.5                | CUSIP: 3128P7EB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3233 | PA      | $3248.34      | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91033 FG 06/27 FIXED 5.5                | CUSIP: 3128P7EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7864 | PA      | $7900.04      | 0.00%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91115 FG 11/27 FIXED 5.5                | CUSIP: 3128P7GY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2489 | PA      | $2500.73      | 0.00%             | 2027-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91128 FG 12/27 FIXED 5.5                | CUSIP: 3128P7HD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11668 | PA      | $11721.64     | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91148 FG 01/28 FIXED 5.5                | CUSIP: 3128P7HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4302 | PA      | $4322.03      | 0.00%             | 2028-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91168 FG 04/28 FIXED 5.5                | CUSIP: 3128P7JM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2117 | PA      | $2127.02      | 0.00%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91176 FG 05/28 FIXED 5.5                | CUSIP: 3128P7JV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22440 | PA      | $22543.98     | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91187 FG 06/28 FIXED 5.5                | CUSIP: 3128P7J87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4956 | PA      | $5005.06      | 0.00%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91195 FG 07/28 FIXED 5.5                | CUSIP: 3128P7KG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36521 | PA      | $36689.81     | 0.00%             | 2028-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91206 FG 08/28 FIXED 5.5                | CUSIP: 3128P7KT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14150 | PA      | $14215.38     | 0.00%             | 2028-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91223 FG 12/28 FIXED 5.5                | CUSIP: 3128P7LC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       452 | PA      | $454.10       | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL D58261 FG 01/25 FIXED 9.5                | CUSIP: 31356MFA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4549 | PA      | $4545.10      | 0.00%             | 2025-01-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL D97896 FG 12/27 FIXED 5.5                | CUSIP: 3128E4XZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6564 | PA      | $6593.58      | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL D97897 FG 12/27 FIXED 5.5                | CUSIP: 3128E4X23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10910 | PA      | $10960.40     | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL D97989 FG 03/23 FIXED 5.5                | CUSIP: 3128E42W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200 | PA      | $201.05       | 0.00%             | 2023-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G00367 FG 04/25 FIXED 10                 | CUSIP: 31283GMQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       813 | PA      | $812.89       | 0.00%             | 2025-04-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G00722 FG 12/25 FIXED 9                  | CUSIP: 31283GYT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35 | PA      | $34.80        | 0.00%             | 2025-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G06506 FG 12/40 FIXED 4                  | CUSIP: 3128M8R30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       304 | PA      | $292.98       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08421 FG 10/40 FIXED 4                  | CUSIP: 3128MJPF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       779 | PA      | $749.74       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08766 FG 06/47 FIXED 3.5                | CUSIP: 3128MJZ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8784496 | PA      | $8165578.69   | 0.25%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08767 FG 06/47 FIXED 4                  | CUSIP: 3128MJZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6997015 | PA      | $6698761.15   | 0.21%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08779 FG 09/47 FIXED 3.5                | CUSIP: 3128MJ2M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9091039 | PA      | $8333410.40   | 0.26%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08788 FG 11/47 FIXED 3.5                | CUSIP: 3128MJ2W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10729269 | PA      | $9965551.65   | 0.31%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08836 FG 09/48 FIXED 4                  | CUSIP: 3128MJ4W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4433865 | PA      | $4227656.88   | 0.13%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08871 FG 04/49 FIXED 3.5                | CUSIP: 3128MJ6H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6038797 | PA      | $5577339.33   | 0.17%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08872 FG 04/49 FIXED 4                  | CUSIP: 3128MJ6J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2557282 | PA      | $2443553.98   | 0.08%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08877 FG 05/49 FIXED 4                  | CUSIP: 3128MJ6P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    362268 | PA      | $345950.70    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08882 FG 06/49 FIXED 4                  | CUSIP: 3128MJ6U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1054386 | PA      | $1006296.91   | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G30399 FG 06/28 FIXED 5.5                | CUSIP: 3128CUNQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2224 | PA      | $2234.07      | 0.00%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G30463 FG 12/28 FIXED 5.5                | CUSIP: 3128CUQQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       386 | PA      | $388.07       | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G60767 FG 10/46 FIXED 3.5                | CUSIP: 31335AZ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10630670 | PA      | $9899562.56   | 0.31%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H00790 FG 05/37 FIXED 5.5                | CUSIP: 3128MS2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23440 | PA      | $23291.77     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H10170 FG 07/37 FIXED 5.5                | CUSIP: 3128N0FK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23747 | PA      | $23355.19     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H10235 FG 10/37 FIXED 4.5                | CUSIP: 3128N0HL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    139679 | PA      | $137924.08    | 0.00%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL J39776 FG 10/33 FIXED 3.5                | CUSIP: 31307W2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    115279 | PA      | $111082.61    | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL K00042 FG 07/37 FIXED 6.5                | CUSIP: 31301ABK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3173 | PA      | $3366.59      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL L10157 FG 01/35 FIXED 5.5                | CUSIP: 3128DHE67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    515716 | PA      | $514605.40    | 0.02%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL L10219 FG 01/34 FIXED 5                  | CUSIP: 3128DHG40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15130 | PA      | $14936.07     | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL L10224 FG 12/34 FIXED 6                  | CUSIP: 3128DHG99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52722 | PA      | $53105.29     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N30959 FG 03/33 FIXED 5                  | CUSIP: 31281BB41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       253 | PA      | $242.09       | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31019 FG 09/33 FIXED 4                  | CUSIP: 31281BDY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    105873 | PA      | $102257.99    | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31025 FG 09/33 FIXED 4                  | CUSIP: 31281BD64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5267 | PA      | $5086.85      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31079 FG 02/34 FIXED 4.5                | CUSIP: 31281BFU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17175 | PA      | $16487.10     | 0.00%             | 2034-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31271 FG 01/36 FIXED 4.5                | CUSIP: 31281BMU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87937 | PA      | $85232.88     | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31311 FG 08/36 FIXED 5.5                | CUSIP: 31281BN48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2112 | PA      | $2184.04      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31313 FG 09/36 FIXED 5.5                | CUSIP: 31281BN63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15036 | PA      | $15238.36     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31330 FG 08/36 FIXED 5.5                | CUSIP: 31281BPP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10381 | PA      | $10035.80     | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31417 FG 07/37 FIXED 5.5                | CUSIP: 31281BSE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2888 | PA      | $2791.36      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31421 FG 07/37 FIXED 5                  | CUSIP: 31281BSJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2045 | PA      | $2071.34      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31455 FG 10/37 FIXED 5.5                | CUSIP: 31281BTL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1791 | PA      | $1804.17      | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31456 FG 10/37 FIXED 5.5                | CUSIP: 31281BTM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1663 | PA      | $1621.35      | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31476 FG 12/37 FIXED 5                  | CUSIP: 31281BT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7308 | PA      | $7440.81      | 0.00%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31485 FG 02/38 FIXED 4.5                | CUSIP: 31281BUJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45568 | PA      | $44631.56     | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31490 FG 01/38 FIXED 5                  | CUSIP: 31281BUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32737 | PA      | $32617.22     | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31493 FG 02/38 FIXED 5                  | CUSIP: 31281BUS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14560 | PA      | $14808.42     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31497 FG 05/38 FIXED 5                  | CUSIP: 31281BUW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7347 | PA      | $7386.95      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P00061 FG 08/34 FIXED 4.5                | CUSIP: 31283NB68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4013 | PA      | $3942.52      | 0.00%             | 2034-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P51240 FG 01/37 FIXED 6.5                | CUSIP: 3128C6LV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15804 | PA      | $15764.39     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P51310 FG 08/37 FIXED 6                  | CUSIP: 3128C6N39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11135 | PA      | $11248.47     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q00387 FG 04/41 FIXED 4.5                | CUSIP: 3132GDNC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     92274 | PA      | $91531.41     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q01045 FG 05/41 FIXED 4.5                | CUSIP: 3132GEES5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    528388 | PA      | $523372.64    | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q02208 FG 07/41 FIXED 4.5                | CUSIP: 3132GFNZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67131 | PA      | $66300.63     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q02265 FG 07/41 FIXED 4.5                | CUSIP: 3132GFQS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200795 | PA      | $199466.23    | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q02904 FG 08/41 FIXED 4.5                | CUSIP: 3132GGGM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75517 | PA      | $74800.50     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q03745 FG 10/41 FIXED 4.5                | CUSIP: 3132GJZJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    261188 | PA      | $258356.74    | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q03759 FG 10/41 FIXED 3.5                | CUSIP: 3132GJZY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       757 | PA      | $709.68       | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q04911 FG 12/41 FIXED 3.5                | CUSIP: 3132GLDQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1398 | PA      | $1311.12      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q07046 FG 03/42 FIXED 3.5                | CUSIP: 3132GSET2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15786 | PA      | $14808.47     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q14520 FG 01/43 FIXED 3                  | CUSIP: 3132HRAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       660 | PA      | $600.91       | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q17134 FG 04/43 FIXED 3                  | CUSIP: 3132J8LQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3444 | PA      | $3140.60      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q22511 FG 10/43 FIXED 4.5                | CUSIP: 3132JPYG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    391903 | PA      | $384298.15    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q26755 FG 06/44 FIXED 4.5                | CUSIP: 3132M7E46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    841939 | PA      | $826737.46    | 0.03%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q26882 FG 06/44 FIXED 4.5                | CUSIP: 3132M7J33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98480 | PA      | $97121.54     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q28306 FG 09/44 FIXED 4                  | CUSIP: 3132M83P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    498052 | PA      | $478053.17    | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q29869 FG 11/44 FIXED 4.5                | CUSIP: 3132MAT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    374827 | PA      | $367045.31    | 0.01%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q30148 FG 12/44 FIXED 4                  | CUSIP: 3132QLEW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    882259 | PA      | $846839.10    | 0.03%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q31067 FG 02/45 FIXED 4                  | CUSIP: 3132QMFH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    669132 | PA      | $648662.97    | 0.02%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q31068 FG 02/45 FIXED 4                  | CUSIP: 3132QMFJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98183 | PA      | $94532.86     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q31130 FG 02/45 FIXED 4                  | CUSIP: 3132QMHG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    912873 | PA      | $867044.11    | 0.03%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q35222 FG 08/45 FIXED 4                  | CUSIP: 3132QRYU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1941752 | PA      | $1870918.36   | 0.06%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q45705 FG 01/47 FIXED 4                  | CUSIP: 3132WKKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1035890 | PA      | $997580.19    | 0.03%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QE6058 FR 07/52 FIXED 4.5                | CUSIP: 3133BFWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  49411239 | PA      | $47607412.81  | 1.48%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QF0220 FR 09/52 FIXED 5                  | CUSIP: 3133BMG58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24668202 | PA      | $24591897.33  | 0.77%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD1389 FR 07/52 FIXED 3                  | CUSIP: 3132DNRJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10053811 | PA      | $8832968.52   | 0.28%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8005 FR 08/49 FIXED 3.5                | CUSIP: 3132DV3N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2762674 | PA      | $2543173.17   | 0.08%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8226 FR 07/52 FIXED 3.5                | CUSIP: 3132DWD75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  53579184 | PA      | $48733095.13  | 1.52%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8256 FR 10/52 FIXED 4                  | CUSIP: 3132DWE58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  34599223 | PA      | $32487784.01  | 1.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8257 FR 10/52 FIXED 4.5                | CUSIP: 3132DWE66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  34350221 | PA      | $33096185.61  | 1.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8286 FR 01/53 FIXED 4                  | CUSIP: 3132DWF32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1877947.30   | 0.06%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL T65213 FG 04/44 FIXED 4.5                | CUSIP: 31322YYJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70248 | PA      | $66936.32     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL T65234 FG 08/44 FIXED 4.5                | CUSIP: 31322YY70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23538 | PA      | $22578.82     | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL T65247 FG 10/44 FIXED 4.5                | CUSIP: 31322YZL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75407 | PA      | $71852.02     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL U60610 FG 05/41 FIXED 5                  | CUSIP: 3132GBDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126550 | PA      | $128530.07    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL V83421 FG 09/47 FIXED 4                  | CUSIP: 3132L8YS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26752656 | PA      | $25574891.80  | 0.80%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL V84637 FG 09/48 FIXED 4                  | CUSIP: 3132LAEJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5448648 | PA      | $5207054.48   | 0.16%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZA6388 FR 02/49 FIXED 4.5                | CUSIP: 31329QCZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    973702 | PA      | $955479.73    | 0.03%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZN2806 FR 01/49 FIXED 4.5                | CUSIP: 3131Y9DK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1283382 | PA      | $1258569.61   | 0.04%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZT1545 FR 12/48 FIXED 4                  | CUSIP: 3132ADWE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3605160 | PA      | $3440860.37   | 0.11%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZT1594 FR 01/49 FIXED 4                  | CUSIP: 3132ADXX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2539751 | PA      | $2424001.55   | 0.08%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZT1776 FR 03/49 FIXED 3.5                | CUSIP: 3132AD6M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1841205 | PA      | $1699290.66   | 0.05%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZT1951 FR 05/49 FIXED 3.5                | CUSIP: 3132AEEY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5160127 | PA      | $4758135.14   | 0.15%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZT2086 FR 06/49 FIXED 3.5                | CUSIP: 3132AEJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2006631 | PA      | $1849065.19   | 0.06%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIBRA UNO (TRUST F/1401)                                                      | TRUST FIBRAUNO SR UNSECURED 144A 01/30 4.869               | CUSIP: 898339AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   4900000 | PA      | $4216572.50   | 0.13%             | 2030-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| FIBRA UNO (TRUST F/1401)                                                      | TRUST FIBRAUNO SR UNSECURED REGS 01/44 6.95                | CUSIP: P9406GAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    300000 | PA      | $260910.00    | 0.01%             | 2044-01-30      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC                                               | FIDELITY NATL FINANCIAL COMPANY GUAR 03/31 2.45            | CUSIP: 31620RAK1<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   3050000 | PA      | $2334731.20   | 0.07%             | 2031-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORPORATION                                          | FIRST AMERICAN FINANCIAL SR UNSECURED 05/30 4              | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3359857.32   | 0.10%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M1             | CUSIP: 36228FU61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1672471 | PA      | $1621781.35   | 0.05%             | 2034-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2004-FF8                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF8 M3             | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1088981 | PA      | $1070908.72   | 0.03%             | 2034-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A1            | CUSIP: 32029AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2820204 | PA      | $2625178.05   | 0.08%             | 2037-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF1                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF1 M3             | CUSIP: 32027NQN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1475271 | PA      | $1413649.26   | 0.04%             | 2034-12-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A1            | CUSIP: 32027NWK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244807 | PA      | $233754.61    | 0.01%             | 2035-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF13                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF13 A2C           | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3354877 | PA      | $2290082.98   | 0.07%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                              | FIRSTENERGY CORP SR UNSECURED 07/27 4.4                    | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   6100000 | PA      | $5687935.42   | 0.18%             | 2027-07-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO LLC                                                  | FLEX INTERMEDIATE HOLDCO SR SECURED 144A 06/31 3.363       | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2113743.01   | 0.07%             | 2031-06-30      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO LLC                                                  | FLEX INTERMEDIATE HOLDCO SR SECURED 144A 12/39 4.317       | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $1949041.90   | 0.06%             | 2039-12-30      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FLEX LTD (AKA: FLEXTRONICS INTERNATIONAL LTD)                                 | FLEX LTD SR UNSECURED 06/29 4.875                          | CUSIP: 33938XAA3<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |   2000000 | PA      | $1886190.24   | 0.06%             | 2029-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 255958 FN 10/35 FIXED 5                          | CUSIP: 31371MJB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5377 | PA      | $5316.11      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 255966 FN 10/35 FIXED 5.5                        | CUSIP: 31371MJK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       500 | PA      | $497.68       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256009 FN 08/35 FIXED 4                          | CUSIP: 31371MKW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    177799 | PA      | $173553.47    | 0.01%             | 2035-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256109 FN 01/36 FIXED 6.5                        | CUSIP: 31371MN29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35380 | PA      | $36251.99     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256260 FN 04/36 FIXED 5.5                        | CUSIP: 31371MTR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16288 | PA      | $16177.59     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256370 FN 06/36 FIXED 5.5                        | CUSIP: 31371MW78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25793 | PA      | $25541.44     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256576 FN 01/37 FIXED 5.5                        | CUSIP: 31371M6M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10904 | PA      | $11013.94     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256696 FN 03/37 FIXED 5                          | CUSIP: 31371NC94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6587 | PA      | $6502.81      | 0.00%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256697 FN 04/37 FIXED 7                          | CUSIP: 31371NDA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2153 | PA      | $2211.62      | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256786 FN 06/37 FIXED 6                          | CUSIP: 31371NF34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29588 | PA      | $29620.55     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256849 FN 08/37 FIXED 6                          | CUSIP: 31371NH24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5387 | PA      | $5497.26      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256860 FN 08/37 FIXED 6.5                        | CUSIP: 31371NJD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1173 | PA      | $1213.51      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256937 FN 10/37 FIXED 6.5                        | CUSIP: 31371NLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       888 | PA      | $934.96       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256986 FN 11/37 FIXED 7                          | CUSIP: 31371NNB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12965 | PA      | $13354.47     | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 257180 FN 04/38 FIXED 5                          | CUSIP: 31371NUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5135 | PA      | $5041.11      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 257280 FN 05/48 FIXED 4.5                        | CUSIP: 31371NXH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    225011 | PA      | $215362.59    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 357175 FN 12/31 FIXED 5.5                        | CUSIP: 31376JXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37323 | PA      | $35866.39     | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 462402 FN 12/28 FLOATING VAR                     | CUSIP: 31381JU34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    145689 | PA      | $145407.99    | 0.00%             | 2028-12-01      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORPORATION                                                    | NORTHERN TRUST CORP JR SUBORDINA VAR                       | CUSIP: 665859AQ7<br>LEI: 549300GLF98S992BC502 | Long             | EP               | CORP              | US        |   8700000 | NS      | $7656087.00   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 735329 FN 11/33 FIXED VAR                        | CUSIP: 31402Q4N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17049 | PA      | $16381.80     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745323 FN 09/34 FIXED VAR                        | CUSIP: 31403DAY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7659 | PA      | $7406.39      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745410 FN 01/36 FIXED VAR                        | CUSIP: 31403DDP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12529 | PA      | $12482.34     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745632 FN 03/36 FIXED VAR                        | CUSIP: 31403DLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4076 | PA      | $3991.02      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 746364 FN 09/33 FIXED 4                          | CUSIP: 31403EFD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19486 | PA      | $18280.86     | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 763863 FN 08/34 FIXED 5.5                        | CUSIP: 31404BTU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10234 | PA      | $9802.54      | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 773557 FN 05/34 FIXED 5                          | CUSIP: 31404NME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9621 | PA      | $9408.49      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 776740 FN 05/34 FIXED 5                          | CUSIP: 31404R4Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18211 | PA      | $17810.23     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 792400 FN 09/34 FLOATING VAR                     | CUSIP: 31405LKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20969 | PA      | $20683.32     | 0.00%             | 2034-09-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 838615 FN 10/35 FIXED 4.5                        | CUSIP: 31407RVG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44038 | PA      | $42218.42     | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 841025 FN 10/35 FLOATING VAR                     | CUSIP: 31407ULE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2863 | PA      | $2836.50      | 0.00%             | 2035-10-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 845233 FN 12/35 FIXED 5                          | CUSIP: 31408ABA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1692 | PA      | $1659.62      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 847996 FN 11/35 FLOATING VAR                     | CUSIP: 31408DC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2121 | PA      | $2077.73      | 0.00%             | 2035-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 870799 FN 10/36 FIXED 5                          | CUSIP: 31409GNQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15726 | PA      | $15403.29     | 0.00%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 878045 FN 03/36 FIXED 5                          | CUSIP: 31409TP69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4814 | PA      | $4714.88      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 879922 FN 11/35 FIXED 5                          | CUSIP: 31409VSK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2232 | PA      | $2209.73      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 880115 FN 04/36 FIXED 5                          | CUSIP: 31409VYL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4887 | PA      | $4789.59      | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 881858 FN 04/36 FLOATING VAR                     | CUSIP: 31409XWT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4564 | PA      | $4658.50      | 0.00%             | 2036-04-01      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 884050 FN 05/26 FIXED 5                          | CUSIP: 31410BEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3195 | PA      | $3137.44      | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888412 FN 04/37 FIXED VAR                        | CUSIP: 31410GAM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8192 | PA      | $8439.31      | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888534 FN 08/37 FIXED VAR                        | CUSIP: 31410GEF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5363 | PA      | $5312.42      | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888738 FN 10/37 FIXED VAR                        | CUSIP: 31410GLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60229 | PA      | $63144.15     | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889388 FN 03/38 FIXED VAR                        | CUSIP: 31410KCZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23920 | PA      | $24695.32     | 0.00%             | 2038-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889404 FN 06/37 FIXED VAR                        | CUSIP: 31410KDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10811 | PA      | $10573.23     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889528 FN 05/38 FIXED VAR                        | CUSIP: 31410KHD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2472 | PA      | $2594.06      | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889885 FN 04/38 FIXED VAR                        | CUSIP: 31410KUJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5340 | PA      | $5226.81      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 916462 FN 05/37 FIXED 4.5                        | CUSIP: 31411WFB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38081 | PA      | $36579.00     | 0.00%             | 2037-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 917121 FN 05/37 FIXED 5.5                        | CUSIP: 31411W4E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19616 | PA      | $19480.27     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 918828 FN 04/37 FIXED 5.5                        | CUSIP: 31411YYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     58917 | PA      | $58655.78     | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 922855 FN 11/36 FIXED 5.5                        | CUSIP: 31412EH82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42544 | PA      | $43178.53     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 928692 FN 08/37 FIXED 5.5                        | CUSIP: 31412LXV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20961 | PA      | $20261.47     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 929080 FN 01/38 FIXED 5                          | CUSIP: 31412MFV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     58645 | PA      | $57470.95     | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 929863 FN 08/38 FIXED 5.5                        | CUSIP: 31412NB88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18509 | PA      | $18376.12     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 930897 FN 04/39 FIXED 5.5                        | CUSIP: 31412PGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288616 | PA      | $287755.23    | 0.01%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 931375 FN 06/39 FIXED 4.5                        | CUSIP: 31412PXC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14210 | PA      | $14100.31     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 931733 FN 08/49 FIXED 4.5                        | CUSIP: 31412QEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32789 | PA      | $31379.22     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 932584 FN 12/35 FIXED 5                          | CUSIP: 31412RCV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    811416 | PA      | $793949.19    | 0.02%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 939484 FN 06/37 FIXED 5                          | CUSIP: 31413AFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6027 | PA      | $5905.88      | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 944066 FN 07/37 FIXED 6.5                        | CUSIP: 31413FJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1678 | PA      | $1691.51      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 968312 FN 02/38 FIXED 4.5                        | CUSIP: 31414KGV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6689 | PA      | $6439.91      | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 993203 FN 06/39 FIXED 4.5                        | CUSIP: 31415YKQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25445 | PA      | $25073.26     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 995952 FN 02/38 FIXED VAR                        | CUSIP: 31416CL95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3066 | PA      | $3132.99      | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB1465 FN 09/40 FIXED 4.5                        | CUSIP: 31416WTX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8457 | PA      | $8391.25      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB2953 FN 09/23 FIXED 4.5                        | CUSIP: 31416YH76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       249 | PA      | $248.09       | 0.00%             | 2023-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB3085 FN 06/51 FIXED 4.5                        | CUSIP: 31416YNB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    165036 | PA      | $157776.51    | 0.00%             | 2051-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB3272 FN 07/41 FIXED 4.5                        | CUSIP: 31416YT65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1909544 | PA      | $1894765.77   | 0.06%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB3804 FN 10/26 FIXED 4                          | CUSIP: 31417AGN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66872 | PA      | $64864.23     | 0.00%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AC3943 FN 01/40 FIXED 4                          | CUSIP: 31417NLZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13782 | PA      | $12934.42     | 0.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AC5864 FN 05/40 FIXED 4                          | CUSIP: 31417SQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11194 | PA      | $10537.41     | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AD0070 FN 12/37 FIXED VAR                        | CUSIP: 31418MCG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2786 | PA      | $2880.99      | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AD8319 FN 07/40 FIXED 4.5                        | CUSIP: 31418WG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    269765 | PA      | $267262.29    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AE5917 FN 10/25 FIXED 4                          | CUSIP: 31419GSF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18415 | PA      | $18154.23     | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AK6081 FN 02/42 FIXED 4                          | CUSIP: 3138EAXK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    103245 | PA      | $99969.95     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AK9126 FN 02/42 FIXED 4                          | CUSIP: 3138EED89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    108883 | PA      | $105798.28    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL3453 FN 09/37 FIXED VAR                        | CUSIP: 3138EKZT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    434127 | PA      | $439389.36    | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL5540 FN 07/44 FIXED VAR                        | CUSIP: 3138ENEN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    229536 | PA      | $226127.84    | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS0857 FN 10/43 FIXED 4                          | CUSIP: 3138W95T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3213878 | PA      | $3087438.89   | 0.10%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS3096 FN 07/44 FIXED 4                          | CUSIP: 3138WCNN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    255241 | PA      | $239545.46    | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS3308 FN 09/44 FIXED 4.5                        | CUSIP: 3138WCVA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    391621 | PA      | $383685.47    | 0.01%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AV5397 FN 12/28 FIXED 4                          | CUSIP: 3138XG7K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188378 | PA      | $185662.35    | 0.01%             | 2028-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AV8867 FN 11/44 FIXED 4.5                        | CUSIP: 3138XLZ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    207096 | PA      | $202899.66    | 0.01%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AW9120 FN 10/44 FIXED 4.5                        | CUSIP: 3138XZD24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    102027 | PA      | $99959.61     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AX3123 FN 10/44 FIXED 4                          | CUSIP: 3138Y4PH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    270687 | PA      | $258780.90    | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AX6047 FN 10/44 FIXED 4.5                        | CUSIP: 3138Y7WH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    432489 | PA      | $425598.94    | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AY5622 FN 06/45 FIXED 3.5                        | CUSIP: 3138YKG80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28528589 | PA      | $26584269.62  | 0.83%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AZ5730 FN 09/45 FIXED 3.5                        | CUSIP: 3138YXLL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1827845 | PA      | $1709958.61   | 0.05%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AZ9228 FN 10/45 FIXED 4                          | CUSIP: 3140E2HE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1948904 | PA      | $1873126.47   | 0.06%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BA2923 FN 12/45 FIXED 4                          | CUSIP: 3140E7G95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5393696 | PA      | $5213713.61   | 0.16%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BA4783 FN 01/46 FIXED 4                          | CUSIP: 3140E9J56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3975751 | PA      | $3794065.54   | 0.12%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC1904 FN 02/46 FIXED 4                          | CUSIP: 3140EWDJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18762 | PA      | $18018.63     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC5341 FN 02/46 FIXED 3.5                        | CUSIP: 3140F05B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1103023 | PA      | $1026129.46   | 0.03%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC6044 FN 06/46 FIXED 4                          | CUSIP: 3140F1WE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2700059 | PA      | $2588764.38   | 0.08%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BD6487 FN 09/46 FIXED 4                          | CUSIP: 3140FEF58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    996326 | PA      | $958415.92    | 0.03%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE0214 FN 01/47 FIXED 3.5                        | CUSIP: 3140FKGY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    702101 | PA      | $655362.65    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE0961 FN 11/46 FIXED 4                          | CUSIP: 3140FLB72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    679912 | PA      | $649501.67    | 0.02%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE3009 FN 12/46 FIXED 4                          | CUSIP: 3140FNKX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    632895 | PA      | $610990.08    | 0.02%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE7182 FN 03/47 FIXED 3.5                        | CUSIP: 3140FS6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1793802 | PA      | $1677194.80   | 0.05%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE7191 FN 03/47 FIXED 4                          | CUSIP: 3140FS7D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800245 | PA      | $1720543.61   | 0.05%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE8245 FN 03/47 FIXED 4                          | CUSIP: 3140FUET1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    995608 | PA      | $957724.64    | 0.03%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH0452 FN 05/47 FIXED 4                          | CUSIP: 3140GNQE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1019940 | PA      | $981123.54    | 0.03%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH1121 FN 04/47 FIXED 4                          | CUSIP: 3140GPG77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5442796 | PA      | $5206043.27   | 0.16%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH1140 FN 05/47 FIXED 4                          | CUSIP: 3140GPHS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3401827 | PA      | $3262891.98   | 0.10%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH1156 FN 05/47 FIXED 3.5                        | CUSIP: 3140GPJA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3495771 | PA      | $3268525.57   | 0.10%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC                                              | PNC FINANCIAL SERVICES JR SUBORDINA 12/99 VAR              | CUSIP: 693475BC8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EP               | CORP              | US        |   5000000 | NS      | $3965350.00   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM1168 FN 09/46 FIXED VAR                        | CUSIP: 3140J5JN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6398761 | PA      | $6311031.05   | 0.20%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM5485 FN 02/49 FIXED VAR                        | CUSIP: 3140JACX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    980157 | PA      | $906234.69    | 0.03%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BN1628 FN 11/48 FIXED 4.5                        | CUSIP: 3140JHY23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5721447 | PA      | $5601785.83   | 0.17%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BN6161 FN 03/49 FIXED 4                          | CUSIP: 3140JNZ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2762654 | PA      | $2623216.48   | 0.08%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA3209 FN 03/49 FIXED 4                          | CUSIP: 3140QAR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2979898 | PA      | $2839057.51   | 0.09%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3241 FN 03/50 FIXED VAR                        | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13145191 | PA      | $11669305.08  | 0.36%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FS2334 FN 09/46 FIXED VAR                        | CUSIP: 3140XHSY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30625879 | PA      | $29364713.33  | 0.91%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FS2784 FN 06/52 FIXED VAR                        | CUSIP: 3140XJCW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  83946189 | PA      | $73755019.10  | 2.30%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0206 FN 09/24 FIXED 4.5                        | CUSIP: 31417YGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7307 | PA      | $7215.70      | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0250 FN 11/39 FIXED 5                          | CUSIP: 31417YH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32416 | PA      | $32015.32     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0254 FN 10/49 FIXED 4.5                        | CUSIP: 31417YH83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6287 | PA      | $6010.47      | 0.00%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0316 FN 12/49 FIXED 4.5                        | CUSIP: 31417YK63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39701 | PA      | $37956.69     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0415 FN 05/40 FIXED 4.5                        | CUSIP: 31417YN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41398 | PA      | $39403.53     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0455 FN 05/50 FIXED 4.5                        | CUSIP: 31417YQH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5784 | PA      | $5540.70      | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0594 FN 10/40 FIXED 4.5                        | CUSIP: 31417YUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89489 | PA      | $87920.27     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0853 FN 09/41 FIXED 4.5                        | CUSIP: 31417Y5P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    123184 | PA      | $117305.98    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA1501 FN 05/23 FIXED 4                          | CUSIP: 31418AU30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1813 | PA      | $1806.51      | 0.00%             | 2023-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA1618 FN 10/43 FIXED 4                          | CUSIP: 31418AYQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     96655 | PA      | $89356.29     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA1795 FN 01/24 FIXED 4                          | CUSIP: 31418A7H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17048 | PA      | $16936.74     | 0.00%             | 2024-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA2054 FN 08/24 FIXED 4                          | CUSIP: 31418BH82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9769 | PA      | $9678.21      | 0.00%             | 2024-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3210 FN 12/47 FIXED 3.5                        | CUSIP: 31418CR89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10767454 | PA      | $9968906.29   | 0.31%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3443 FN 08/48 FIXED 4                          | CUSIP: 31418CZH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1581976 | PA      | $1505775.20   | 0.05%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3467 FN 09/48 FIXED 4                          | CUSIP: 31418CZ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1508679 | PA      | $1438883.51   | 0.04%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3494 FN 10/48 FIXED 3.5                        | CUSIP: 31418C3C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3217635 | PA      | $2978958.93   | 0.09%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3495 FN 10/48 FIXED 4                          | CUSIP: 31418C3D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2614472 | PA      | $2495329.10   | 0.08%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3638 FN 04/49 FIXED 4                          | CUSIP: 31418DBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1421636 | PA      | $1356058.26   | 0.04%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3664 FN 05/49 FIXED 4                          | CUSIP: 31418DCA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    959506 | PA      | $913396.47    | 0.03%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3692 FN 07/49 FIXED 3.5                        | CUSIP: 31418DC67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1349412 | PA      | $1243040.77   | 0.04%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/25 2.3            | CUSIP: 345397B85<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3018114.00   | 0.09%             | 2025-02-10      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/29 2.9            | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1600070.00   | 0.05%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 2.7            | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3130740.00   | 0.10%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2577                                                              | FREDDIE MAC FHR 2577 LO                                    | CUSIP: 31393LCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    370857 | PA      | $327881.71    | 0.01%             | 2033-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2613                                                              | FREDDIE MAC FHR 2613 LL                                    | CUSIP: 31393RFB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $24877.90     | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2665                                                              | FREDDIE MAC FHR 2665 LL                                    | CUSIP: 31394GYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19000 | PA      | $19003.28     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3117                                                              | FREDDIE MAC FHR 3117 EO                                    | CUSIP: 31396HUN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7512 | PA      | $6309.08      | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3117                                                              | FREDDIE MAC FHR 3117 OK                                    | CUSIP: 31396HVU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5958 | PA      | $4964.28      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3545                                                              | FREDDIE MAC FHR 3545 AO                                    | CUSIP: 31398E3C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10417 | PA      | $8838.98      | 0.00%             | 2039-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2601                                                       | FREDDIE MAC FHR 2601 LL                                    | CUSIP: 31393PV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23000 | PA      | $22974.68     | 0.00%             | 2033-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3549                                                       | FREDDIE MAC FHR 3549 PO                                    | CUSIP: 31398EPR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23607 | PA      | $20030.98     | 0.00%             | 2039-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3772                                                       | FREDDIE MAC FHR 3772 ES                                    | CUSIP: 3137A4HD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1216410 | PA      | $46041.60     | 0.00%             | 2040-12-15      | Floating      | 0.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3785                                                       | FREDDIE MAC FHR 3785 LS                                    | CUSIP: 3137A5L77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3901078 | PA      | $3355417.84   | 0.10%             | 2041-01-15      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3852                                                       | FREDDIE MAC FHR 3852 SG                                    | CUSIP: 3137ABAR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    827468 | PA      | $662573.41    | 0.02%             | 2041-05-15      | Floating      | 0.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4061                                                       | FREDDIE MAC FHR 4061 SL                                    | CUSIP: 3137ARCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49569 | PA      | $23499.68     | 0.00%             | 2042-06-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4158                                                       | FREDDIE MAC FHR 4158 KZ                                    | CUSIP: 3137AXUV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $28.74        | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4165                                                       | FREDDIE MAC FHR 4165 KZ                                    | CUSIP: 3137AYRT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       219 | PA      | $148.47       | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4304                                                       | FREDDIE MAC FHR 4304 TI                                    | CUSIP: 3137B7SE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    733251 | PA      | $30952.88     | 0.00%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4473                                                       | FREDDIE MAC FHR 4473 BI                                    | CUSIP: 3137BJAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8576236 | PA      | $313000.87    | 0.01%             | 2040-06-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                       | FREDDIE MAC FHR 5051 SX                                    | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20874799 | PA      | $645417.47    | 0.02%             | 2048-11-15      | Floating      | 0.44%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1599                                                              | FREDDIE MAC FHR 1599 S                                     | CUSIP: 3133T1FW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8223 | PA      | $8073.12      | 0.00%             | 2023-10-15      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2614                                                              | FREDDIE MAC FHR 2614 SJ                                    | CUSIP: 31393QNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29045 | PA      | $28219.94     | 0.00%             | 2033-05-15      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3891                                                              | FREDDIE MAC FHR 3891 ZD                                    | CUSIP: 3137ADWV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     92641 | PA      | $87855.15     | 0.00%             | 2041-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORPORATION                                                  | FREEDOM MORTGAGE CORP SR UNSECURED 144A 04/25 8.25         | CUSIP: 35640YAB3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |   1564000 | PA      | $1409253.10   | 0.04%             | 2025-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-3                                                | FREMONT HOME LOAN TRUST FHLT 2004 3 M2                     | CUSIP: 35729PFM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    442790 | PA      | $412698.40    | 0.01%             | 2034-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-D                                                | FREMONT HOME LOAN TRUST FHLT 2004 D M1                     | CUSIP: 35729PGC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6050124 | PA      | $5188936.67   | 0.16%             | 2034-11-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                           | FS KKR CAPITAL CORP SR UNSECURED 01/27 2.625               | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5016740.22   | 0.16%             | 2027-01-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                           | FS KKR CAPITAL CORP SR UNSECURED 10/24 1.65                | CUSIP: 302635AJ6<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $903281.12    | 0.03%             | 2024-10-12      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                           | FS KKR CAPITAL CORP SR UNSECURED 10/28 3.125               | CUSIP: 302635AK3<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $969457.28    | 0.03%             | 2028-10-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/26 1.625           | CUSIP: 36143L2A2<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    700000 | PA      | $622302.09    | 0.02%             | 2026-01-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25            | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $6612005.93   | 0.21%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GALAXY XV CLO LTD 2013-15A                                                    | GALAXY CLO LTD GALXY 2013 15A ARR 144A                     | CUSIP: 36318WAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $684627.38    | 0.02%             | 2030-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GCAT 2020-3 LLC                                                               | GCAT GCAT 2020 3 A1 144A                                   | CUSIP: 36168CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2277977 | PA      | $2206607.75   | 0.07%             | 2025-09-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC COMPANY                                                      | GENERAL ELECTRIC CO SR UNSECURED 05/40 4.25                | CUSIP: 369604BX0<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $4904567.40   | 0.15%             | 2040-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO COMPANY GUAR 01/23 VAR              | CUSIP: 37045XCE4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499962.42    | 0.02%             | 2023-01-05      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY (THE)                                                   | GEORGETOWN UNIVERSITY UNSECURED 12/99 5.215                | CUSIP: 37310PAB7<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |   6560000 | PA      | $5773306.24   | 0.18%             | 2099-12-31      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                                         | GEORGIA POWER CO SR UNSECURED 03/42 4.3                    | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    200000 | PA      | $172617.78    | 0.01%             | 2042-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC (FIN) COMPANY                                                 | GLOBAL ATLANTIC FIN CO COMPANY GUAR 144A 10/29 4.4         | CUSIP: 37959GAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5034361.74   | 0.16%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PAYMENTS INC SR UNSECURED 08/29 3.2                 | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2215472.56   | 0.07%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PAYMENTS INC SR UNSECURED 08/32 5.4                 | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1432914.47   | 0.04%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3             | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $379246.00    | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 01/30 4               | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5100000 | PA      | $4475704.31   | 0.14%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 06/28 5.75            | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2954998.65   | 0.09%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004216 G2 08/38 FIXED 6                       | CUSIP: 36202EVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12679 | PA      | $13156.28     | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004239 G2 09/38 FIXED 6                       | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8056 | PA      | $8111.87      | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004284 G2 11/38 FIXED 5.5                     | CUSIP: 36202EXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6717 | PA      | $6789.82      | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004308 G2 12/38 FIXED 5                       | CUSIP: 36202EYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13184 | PA      | $13124.79     | 0.00%             | 2038-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004311 G2 12/38 FIXED 6.5                     | CUSIP: 36202EYG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25304 | PA      | $25123.08     | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004364 G2 02/39 FIXED 6                       | CUSIP: 36202EZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34105 | PA      | $34340.77     | 0.00%             | 2039-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004384 G2 03/39 FIXED 4.5                     | CUSIP: 36202E2R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16096 | PA      | $15730.13     | 0.00%             | 2039-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004462 G2 06/39 FIXED 5                       | CUSIP: 36202E5X3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32480 | PA      | $32433.46     | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004488 G2 07/39 FIXED 4.5                     | CUSIP: 36202E6Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33066 | PA      | $32578.64     | 0.00%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004489 G2 07/39 FIXED 5                       | CUSIP: 36202E7A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23606 | PA      | $23547.82     | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004512 G2 08/39 FIXED 4.5                     | CUSIP: 36202FAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     88004 | PA      | $86041.96     | 0.00%             | 2039-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004532 G2 09/39 FIXED 4.5                     | CUSIP: 36202FA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11750 | PA      | $11576.15     | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004553 G2 10/39 FIXED 4.5                     | CUSIP: 36202FBW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119398 | PA      | $116765.24    | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004554 G2 10/39 FIXED 5                       | CUSIP: 36202FBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33720 | PA      | $33863.27     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004593 G2 12/39 FIXED 5                       | CUSIP: 36202FC61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32221 | PA      | $32174.55     | 0.00%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004673 G2 04/40 FIXED 4.5                     | CUSIP: 36202FFN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    240446 | PA      | $235084.75    | 0.01%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004674 G2 04/40 FIXED 5                       | CUSIP: 36202FFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8541 | PA      | $8564.93      | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004689 G2 05/40 FIXED 4.5                     | CUSIP: 36202FF68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69706 | PA      | $68158.37     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004691 G2 05/40 FIXED 4.5                     | CUSIP: 36202FF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1098 | PA      | $1081.64      | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004709 G2 06/40 FIXED 4.5                     | CUSIP: 36202FGS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236425 | PA      | $231154.70    | 0.01%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004767 G2 08/40 FIXED 4.5                     | CUSIP: 36202FJL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20652 | PA      | $20201.11     | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004795 G2 09/40 FIXED 4                       | CUSIP: 36202FKG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43209 | PA      | $41161.67     | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004796 G2 09/40 FIXED 4.5                     | CUSIP: 36202FKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20075 | PA      | $19627.17     | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004879 G2 12/40 FIXED 4                       | CUSIP: 36202FM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45685 | PA      | $43520.60     | 0.00%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004880 G2 12/40 FIXED 4.5                     | CUSIP: 36202FM52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37328 | PA      | $36495.80     | 0.00%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005123 G2 07/41 FIXED 4.5                     | CUSIP: 36202FVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48667 | PA      | $47568.14     | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORPORATION                                                      | STATE STREET CORP JR SUBORDINA 12/99 VAR                   | CUSIP: 857477BA0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | EP               | CORP              | US        |   5000000 | NS      | $4646550.00   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 627130 G2 03/34 FIXED 5                       | CUSIP: 36291FVX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    220313 | PA      | $216650.79    | 0.01%             | 2034-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 688058 G2 08/38 FIXED 4.5                     | CUSIP: 36296DMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73921 | PA      | $71606.88     | 0.00%             | 2038-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 784067 G2 10/45 FIXED 4                       | CUSIP: 3622A2QU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6318624 | PA      | $6110920.00   | 0.19%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 784295 G2 03/47 FIXED 3.5                     | CUSIP: 3622A2XY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8572045 | PA      | $7950347.98   | 0.25%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL AJ2513 G2 01/45 FIXED 4                       | CUSIP: 36182WYJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    436021 | PA      | $422969.17    | 0.01%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL AL6978 G2 03/45 FIXED 3.5                     | CUSIP: 36184DXF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    346994 | PA      | $315759.19    | 0.01%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0388 G2 09/42 FIXED 4                       | CUSIP: 36179MND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    140586 | PA      | $135182.29    | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0456 G2 10/42 FIXED 3.5                     | CUSIP: 36179MQH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    156606 | PA      | $142983.42    | 0.00%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0528 G2 11/42 FIXED 3.5                     | CUSIP: 36179MSR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180102 | PA      | $164398.90    | 0.01%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0928 G2 04/43 FIXED 4                       | CUSIP: 36179NA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67858 | PA      | $65242.16     | 0.00%             | 2043-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA1753 G2 03/44 FIXED 4.5                     | CUSIP: 36179N5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14894 | PA      | $14561.67     | 0.00%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA2217 G2 09/44 FIXED 4.5                     | CUSIP: 36179QPA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    108404 | PA      | $104245.88    | 0.00%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA3795 G2 07/46 FIXED 4.5                     | CUSIP: 36179SGC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    142945 | PA      | $137458.99    | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA3996 G2 10/46 FIXED 4.5                     | CUSIP: 36179SNM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    159158 | PA      | $156840.79    | 0.00%             | 2046-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA4253 G2 02/47 FIXED 4.5                     | CUSIP: 36179SWN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25080 | PA      | $24320.27     | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  65000000 | PA      | $59730301.80  | 1.86%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  37800000 | PA      | $34762046.13  | 1.08%             | 2053-02-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                                           | SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR                 | CUSIP: 78486QAG6<br>LEI: 549300D2KJ20JMXE7542 | Long             | EP               | CORP              | US        |   2800000 | NS      | $1630496.00   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL BA5040 GN 06/47 FIXED 4                          | CUSIP: 3617AHS59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2347835 | PA      | $2247825.30   | 0.07%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL BA5051 GN 06/47 FIXED 4                          | CUSIP: 3617AHTG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4659085 | PA      | $4472621.71   | 0.14%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/26 FIXED 2.158    | CUSIP: 38122NC59<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4800000 | PA      | $4315026.24   | 0.13%             | 2026-06-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/41 FIXED 3.714    | CUSIP: 38122ND58<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3700000 | PA      | $2780576.64   | 0.09%             | 2041-06-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85     | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4750000 | PA      | $4208882.38   | 0.13%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR             | CUSIP: 38141GZS6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5419969.28   | 0.17%             | 2028-03-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR             | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   7600000 | PA      | $7073184.19   | 0.22%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 08/28 VAR             | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $11520764.04  | 0.36%             | 2028-08-23      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC INC                                                         | GOLUB CAPITAL BDC SR UNSECURED 02/27 2.05                  | CUSIP: 38173MAC6<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1221655.13   | 0.04%             | 2027-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC INC                                                         | GOLUB CAPITAL BDC SR UNSECURED 08/26 2.5                   | CUSIP: 38173MAB8<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2550571.77   | 0.08%             | 2026-08-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE THREE LLC                                                  | GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7           | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4520516.55   | 0.14%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GOVERNEMENT NATIONAL MTG ASSOC 2007-41                                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 41 PC              | CUSIP: 38375KXH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5771 | PA      | $5865.73      | 0.00%             | 2037-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2004-26                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 26 ED              | CUSIP: 38374F3T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22109 | PA      | $22415.90     | 0.00%             | 2034-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-131                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 131 PZ             | CUSIP: 38377XL59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    111126 | PA      | $107002.45    | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2005-3                                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2005 3 LZ               | CUSIP: 38374KSP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46763 | PA      | $46601.39     | 0.00%             | 2035-01-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2X                                              | GREAT HALL MORTGAGES PLC GHM 2007 2X AC REGS               | CUSIP: B1Z97QII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1010358 | PA      | $991051.07    | 0.03%             | 2039-06-18      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2022-GTWY                                      | GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A         | CUSIP: 36266DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2320979.22   | 0.07%             | 2039-08-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-3                                                 | GSAA HOME EQUITY TRUST GSAA 2007 3 A4A                     | CUSIP: 3622EAAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3018355 | PA      | $1212317.25   | 0.04%             | 2047-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AR2                                                          | GSAMP TRUST GSAMP 2004 AR2 M5                              | CUSIP: 36242DDT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4885393 | PA      | $4616341.52   | 0.14%             | 2034-08-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-FM2                                                          | GSAMP TRUST GSAMP 2004 FM2 M1                              | CUSIP: 36228FN28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1044279 | PA      | $997481.69    | 0.03%             | 2034-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE4                                                          | GSAMP TRUST GSAMP 2005 HE4 M3                              | CUSIP: 362341KE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2632956 | PA      | $2567100.70   | 0.08%             | 2045-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                            | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF1 144A         | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2079129 | PA      | $1727493.39   | 0.05%             | 2036-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                               | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1                    | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127405 | PA      | $120345.41    | 0.00%             | 2034-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                              | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                   | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7305 | PA      | $6481.30      | 0.00%             | 2035-11-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 3F 3A1                    | CUSIP: 362334HG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4171615 | PA      | $1685939.68   | 0.05%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-4F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 4F 6A1                    | CUSIP: 362650BB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645078 | PA      | $213589.51    | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                              | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A4                   | CUSIP: 3623414D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1109515 | PA      | $1067895.92   | 0.03%             | 2036-01-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                    | US BANCORP JR SUBORDINA 12/99 VAR                          | CUSIP: 902973AZ9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EP               | CORP              | US        |    700000 | NS      | $610806.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-1                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1A           | CUSIP: 41161PLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854681 | PA      | $821638.62    | 0.03%             | 2035-03-19      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A          | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2230700 | PA      | $1839495.50   | 0.06%             | 2036-12-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2A          | CUSIP: 41162DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3160092 | PA      | $2777385.82   | 0.09%             | 2038-01-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 144A 03/32 3.625                      | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2546472.90   | 0.08%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                 | HEALTHCARE RLTY HLDGS LP COMPANY GUAR 07/27 3.75           | CUSIP: 42225UAF1<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   4600000 | PA      | $4282733.26   | 0.13%             | 2027-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC 2022-1A                                           | HERTZ VEHICLE FINANCING LLC HERTZ 2022 1A A 144A           | CUSIP: 42806MAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2113800.97   | 0.07%             | 2026-06-25      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC 2022-2A                                           | HERTZ VEHICLE FINANCING LLC HERTZ 2022 2A A 144A           | CUSIP: 42806MAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4129049.64   | 0.13%             | 2028-06-26      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                | HOME DEPOT INC SR UNSECURED 09/56 3.5                      | CUSIP: 437076BP6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    600000 | PA      | $450214.27    | 0.01%             | 2056-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2007-3                                                | HOME EQUITY ASSET TRUST HEAT 2007 3 2A3                    | CUSIP: 43710TAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768569 | PA      | $753490.50    | 0.02%             | 2037-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR                | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |   5300000 | NS      | $4699934.00   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE I LTD 2019-1                                         | HORIZON AIRCRAFT FINANCE II LL HORZN 2019 1 A 144A         | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3967245 | PA      | $3129686.77   | 0.10%             | 2039-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR                   | CUSIP: 404280BL2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2600000 | PA      | $2392805.30   | 0.07%             | 2027-05-22      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR                   | CUSIP: 404280BN8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $195419.09    | 0.01%             | 2023-03-23      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR                   | CUSIP: 404280BP3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3300000 | PA      | $3045637.12   | 0.09%             | 2028-03-23      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 05/32 VAR                   | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   9000000 | PA      | $6983899.74   | 0.22%             | 2032-05-24      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR                   | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5300000 | PA      | $4888932.32   | 0.15%             | 2029-06-19      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 11/27 VAR                   | CUSIP: 404280CX5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4000000 | PA      | $3469414.80   | 0.11%             | 2027-11-22      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 04/25 5.875      | CUSIP: 44891ABK2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6028547.34   | 0.19%             | 2025-04-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL SERVICES                                                      | HYUNDAI CAPITAL SERVICES SR UNSECURED 144A 09/23 0.75      | CUSIP: 44920UAQ1<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |   5000000 | PA      | $4809001.00   | 0.15%             | 2023-09-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                   | ILLINOIS ST ILS 07/35 FIXED 7.35                           | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |   6314286 | PA      | $6649629.23   | 0.21%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY JR SUBORDINA 12/49 VAR               | CUSIP: 949746RG8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |  15000000 | NS      | $13619550.00  | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-3                                              | IMPAC SECURED ASSETS CORP. IMSA 2006 3 A6                  | CUSIP: 45255RAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590294 | PA      | $579174.74    | 0.02%             | 2036-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)               | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5        | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4591979.55   | 0.14%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)               | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/29 3.875      | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2571997.53   | 0.08%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR25                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR25 3A1          | CUSIP: 45661HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1536297 | PA      | $1044578.12   | 0.03%             | 2036-09-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A4            | CUSIP: 43709LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6128775 | PA      | $4911918.88   | 0.15%             | 2036-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 1A2            | CUSIP: 43710EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8122765 | PA      | $3332693.30   | 0.10%             | 2037-07-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| INFOR INC                                                                     | INFOR INC SR UNSECURED 144A 07/25 1.75                     | CUSIP: 45674CAA1<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2351462.13   | 0.07%             | 2025-07-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV JR SUBORDINA 12/99 VAR                        | CUSIP: 456837AY9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $440171.58    | 0.01%             | 2027-05-16      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV JR SUBORDINA 12/99 VAR                        | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $413253.78    | 0.01%             | 2031-05-16      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A                                     | VOYA CLO LTD INGIM 2012 4A A1R3 144A                       | CUSIP: 92916GBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2946663.33   | 0.09%             | 2030-10-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                           | INTESA SANPAOLO SPA SUBORDINATED 144A 06/42 VAR            | CUSIP: 46115HBS5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   8000000 | PA      | $5159029.92   | 0.16%             | 2042-06-01      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                        | IPALCO ENTERPRISES INC SR SECURED 09/24 3.7                | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $969657.72    | 0.03%             | 2024-09-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRIC CORPORATION LTD                                               | ISRAEL ELECTRIC CORP LTD SECURED 144A REGS 02/32 3.75      | CUSIP: ACI23Q596<br>LEI: 254900JW7GE35YNJGJ55 | Long             | DBT              | CORP              | IL        |   6300000 | PA      | $5536818.00   | 0.17%             | 2032-02-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2005-HE4                                       | IXIS REAL ESTATE CAPITAL TRUST IXIS 2005 HE4 M1            | CUSIP: 45071KCN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    271177 | PA      | $285375.26    | 0.01%             | 2036-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| JFIN CLO LTD 2017-2A                                                          | APEX CREDIT CLO LLC JFIN 2017 2A AR 144A                   | CUSIP: 46593CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2468496 | PA      | $2428629.53   | 0.08%             | 2029-09-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TR 2005-A2                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 A2 2A1           | CUSIP: 46627MBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502799 | PA      | $366625.07    | 0.01%             | 2035-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 01/33 VAR                 | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2449523.34   | 0.08%             | 2033-01-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 02/28 VAR                 | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  13000000 | PA      | $12164620.13  | 0.38%             | 2028-02-01      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR                 | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $11478362.64  | 0.36%             | 2028-04-26      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/29 VAR                 | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5561670.24   | 0.17%             | 2029-04-23      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 06/30 VAR                 | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $11316194.28  | 0.35%             | 2030-06-14      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 A4           | CUSIP: 46645UAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3456289.88   | 0.11%             | 2049-12-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CH1                                         | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M4           | CUSIP: 46629TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1041339.97   | 0.03%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| 510 ASSET BACKED 2021-NPL1 TRUST                                              | 510 ASSETS BACKED TRUST FTAB 2021 NPL1 A1 144A             | CUSIP: 33835CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2438392 | PA      | $2239968.43   | 0.07%             | 2061-06-25      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A1                 | CUSIP: 466247ZN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5049902 | PA      | $2747722.72   | 0.09%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A4                 | CUSIP: 466247E90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795766 | PA      | $622265.97    | 0.02%             | 2036-02-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                                                 | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A                  | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4400000 | PA      | $4322581.82   | 0.13%             | 2031-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3                 | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14348 | PA      | $13309.89     | 0.00%             | 2035-07-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A8                 | CUSIP: 46631NAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    808186 | PA      | $448652.26    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M1          | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2735563 | PA      | $2666273.27   | 0.08%             | 2035-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE2                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE2 M1           | CUSIP: 46625SAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1510000 | PA      | $1362227.17   | 0.04%             | 2036-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                                     | AMERICAN AIRLINES, INC. 2021 TERM LOAN                     | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |   3700000 | PA      | $3690176.50   | 0.11%             | 2028-04-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| KB HOME                                                                       | KB HOME COMPANY GUAR 06/31 4                               | CUSIP: 48666KAZ2<br>LEI: 549300LGUCWQURMWLG09 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3220500.00   | 0.10%             | 2031-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KDAC AIRCRAFT FINANCE LTD 2017-1A                                             | KDAC AVIATION FINANCE LIMITED KDAC 2017 1A A 144A          | CUSIP: 48244XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3393027 | PA      | $2612698.84   | 0.08%             | 2042-12-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| KEY COMMERCIAL MORTGAGE SECURITIES TRUST 2020-S3                              | KEY COMMERCIAL MORTGAGE TRUST KCM 2020 S3 A3 144A          | CUSIP: 49308VAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8186110.00   | 0.25%             | 2052-09-16      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                             | KINDER MORGAN INC COMPANY GUAR 01/32 7.75                  | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3382607.79   | 0.11%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| KKR CLO 9 LTD                                                                 | KKR FINANCIAL CLO LTD KKR 9 AR2 144A                       | CUSIP: 48250LAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9281682 | PA      | $9113147.92   | 0.28%             | 2030-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL HOLDINGS LLC                                                    | KKR FINANCIAL HOLDINGS SR UNSECURED 144A 05/33 5.4         | CUSIP: 48248AAG3<br>LEI: 549300U5WMP5TYFNKW68 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5603722.50   | 0.17%             | 2033-05-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO VI LLC                                                   | KKR GRP FIN CO VI LLC COMPANY GUAR 144A 07/29 3.75         | CUSIP: 48252AAA9<br>LEI: 549300TUJWGHJM3FSJ07 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1126744.51   | 0.04%             | 2029-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO X LLC                                                    | KKR GROUP FIN CO X LLC COMPANY GUAR 144A 12/51 3.25        | CUSIP: 48255BAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $637121.71    | 0.02%             | 2051-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | LAS VEGAS SANDS CORP SR UNSECURED 08/24 3.2                | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3404840.22   | 0.11%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | LAS VEGAS SANDS CORP SR UNSECURED 08/26 3.5                | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $994454.16    | 0.03%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCCM 2021-FL2 TRUST                                                           | LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL2 A 144A        | CUSIP: 50202KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2900000 | PA      | $2813894.65   | 0.09%             | 2038-12-13      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| LCCM 2021-FL3 TRUST                                                           | LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL3 A 144A        | CUSIP: 50190FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2882145.60   | 0.09%             | 2038-11-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| LCM XV LP 15A                                                                 | LCM LTD PARTNERSHIP LCM 15A AR2 144A                       | CUSIP: 50184NAR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9631634 | PA      | $9487538.17   | 0.30%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| LEASEPLAN CORPORATION NV                                                      | LEASEPLAN CORPORATION NV SR UNSECURED 144A 10/24 2.875     | CUSIP: 52206AAD2<br>LEI: 724500C60L930FVHS484 | Long             | DBT              | CORP              | NL        |   3300000 | PA      | $3098715.15   | 0.10%             | 2024-10-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A          | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1680452 | PA      | $1543857.56   | 0.05%             | 2066-10-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A          | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1316351 | PA      | $1196338.80   | 0.04%             | 2061-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                    | ABBVIE INC SR UNSECURED 11/42 4.4                          | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    300000 | PA      | $261595.97    | 0.01%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS5                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A          | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2241645 | PA      | $2017850.95   | 0.06%             | 2067-07-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-SL1                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 SL1 A 144A           | CUSIP: 52475PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685094 | PA      | $672211.82    | 0.02%             | 2060-09-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-SL2                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 SL2 A 144A           | CUSIP: 52476TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3766411 | PA      | $3390280.31   | 0.11%             | 2068-10-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-5N                                                       | LEHMAN XS TRUST LXS 2005 5N 3A1B                           | CUSIP: 86359DUS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15206 | PA      | $14833.24     | 0.00%             | 2035-11-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                        | LEHMAN XS TRUST LXS 2005 6 3A3A                            | CUSIP: 525221DJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3376443 | PA      | $1701177.75   | 0.05%             | 2035-11-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                      | LEHMAN XS TRUST LXS 2006 16N A4A                           | CUSIP: 52522DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2922946 | PA      | $2467642.11   | 0.08%             | 2046-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-18N                                                      | LEHMAN XS TRUST LXS 2006 18N A3                            | CUSIP: 52522GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2545677 | PA      | $2389742.99   | 0.07%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                                        | LEHMAN XS TRUST LXS 2006 8 3A4                             | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2239115 | PA      | $2207570.58   | 0.07%             | 2036-06-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| LIBERTY LENDING ABS TRUST 2021-1A                                             | REACH FINANCIAL LLC REACH 2021 1A A 144A                   | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    675049 | PA      | $651980.20    | 0.02%             | 2029-05-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                      | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 02/61 4.3       | CUSIP: 53079EBL7<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   4800000 | PA      | $2934528.00   | 0.09%             | 2061-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                      | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 12/51 VAR       | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3263840.12   | 0.10%             | 2051-12-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| LIFE STORAGE LP                                                               | LIFE STORAGE LP COMPANY GUAR 12/27 3.875                   | CUSIP: 53227JAA2<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1946665.50   | 0.06%             | 2027-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR            | CUSIP: 539439AU3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4836035.60   | 0.15%             | 2025-09-27      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 07/25 VAR            | CUSIP: 53944YAL7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1452676.74   | 0.05%             | 2025-07-09      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 11/28 VAR            | CUSIP: 539439AQ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  16300000 | PA      | $14685068.54  | 0.46%             | 2028-11-07      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE6                                                 | LOANCORE 2021 CRE6 ISSUER, LTD LNCR 2021 CRE6 A 144A       | CUSIP: 53948HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3155713.11   | 0.10%             | 2038-11-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LOEWS CORPORATION                                                             | LOEWS CORP SR UNSECURED 05/30 3.2                          | CUSIP: 540424AT5<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $1812693.93   | 0.06%             | 2030-05-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                          | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4           | CUSIP: 542514LL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4686912 | PA      | $4539143.91   | 0.14%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-5                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 5 M2             | CUSIP: 542514HE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705182 | PA      | $682555.90    | 0.02%             | 2034-09-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| LOW INCOME INVESTMENT FUND                                                    | LOW INCOME INVESTMENT UNSECURED 07/29 3.711                | CUSIP: 54750AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2346947.33   | 0.07%             | 2029-07-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| LUNAR AIRCRAFT 2020-1A                                                        | LUNAR AIRCRAFT 2020 1 LIMITED LUNRR 2020 1A A 144A         | CUSIP: 55037LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2103459 | PA      | $1729447.16   | 0.05%             | 2045-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LUXE TRUST 2021-TRIP                                                          | LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP A 144A       | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2284259 | PA      | $2188279.31   | 0.07%             | 2038-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                          | LXP INDUSTRIAL TRUST COMPANY GUAR 10/31 2.375              | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $2662435.41   | 0.08%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                | WARNERMEDIA HOLDINGS INC COMPANY GUAR 144A 03/62 5.391     | CUSIP: 55903VAS2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $807418.82    | 0.03%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XVIII LTD 2016-18A                                                  | MAGNETITE CLO LTD MAGNE 2016 18A AR2 144A                  | CUSIP: 55953TAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3280176 | PA      | $3244591.48   | 0.10%             | 2028-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MAPLE GROVE FUNDING TRUST I                                                   | MAPLE GROVE FUNDING TR I SR UNSECURED 144A 08/51 4.161     | CUSIP: 565130AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5500000 | PA      | $3710337.24   | 0.12%             | 2051-08-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO IX LTD 2017-9A                                                   | MARATHON CLO LTD MCLO 2017 9A A1AR 144A                    | CUSIP: 56577PAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2185440 | PA      | $2171797.84   | 0.07%             | 2029-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO X LTD 2017-1A                                                | MARBLE POINT CLO X LTD MP10 2017 1A AR 144A                | CUSIP: 566061AL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4200000 | PA      | $4118886.28   | 0.13%             | 2030-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                                    | MARRIOTT INTERNATIONAL SR UNSECURED 10/33 2.75             | CUSIP: 571903BH5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $995472.11    | 0.03%             | 2033-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COMPANIES INC                                                | MARSH + MCLENNAN COS INC SR UNSECURED 11/52 6.25           | CUSIP: 571748BS0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    600000 | PA      | $669306.91    | 0.02%             | 2052-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                         | MASS INSTITUTE OF TECH UNSECURED 12/99 4.678               | CUSIP: 575718AB7<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1166672.15   | 0.04%             | 2099-12-31      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY                                   | MASS MUTUAL LIFE INS CO SUBORDINATED 144A 02/69 VAR        | CUSIP: 575767AM0<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |   3250000 | PA      | $2902607.50   | 0.09%             | 2069-02-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 1A1             | CUSIP: 576433KM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334665 | PA      | $276677.59    | 0.01%             | 2034-04-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-2                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 2 5A1             | CUSIP: 576433XY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29008 | PA      | $27999.28     | 0.00%             | 2035-03-25      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-8                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 8 3A1             | CUSIP: 576433E77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3557611 | PA      | $3435723.05   | 0.11%             | 2035-12-25      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                                  | ACE SECURITIES CORP. ACE 2006 HE4 A2D                      | CUSIP: 00442BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4705880 | PA      | $1854332.86   | 0.06%             | 2036-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                                                              | MDC HOLDINGS INC COMPANY GUAR 01/43 6                      | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |    500000 | PA      | $408014.28    | 0.01%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                                                              | MDC HOLDINGS INC COMPANY GUAR 08/61 3.966                  | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $2810363.20   | 0.09%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                                 | MELCO RESORTS FINANCE SR UNSECURED 144A 07/28 5.75         | CUSIP: 58547DAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    200000 | PA      | $167543.84    | 0.01%             | 2028-07-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                                 | MELCO RESORTS FINANCE SR UNSECURED REGS 07/28 5.75         | CUSIP: G5975LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    200000 | PA      | $167543.84    | 0.01%             | 2028-07-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM1                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM1 A2B           | CUSIP: 59020U5D3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12360255 | PA      | $1758641.79   | 0.05%             | 2037-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 LTD                                                            | ACREC 2021 FL1 LTD. ACREC 2021 FL1 A 144A                  | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1928012.60   | 0.06%             | 2036-10-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| METAL CAYMAN 2017-1 LLC                                                       | METAL CAYMAN METAL 2017 1 A 144A                           | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2928772 | PA      | $1539297.97   | 0.05%             | 2042-10-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN EDISON COMPANY                                                   | METROPOLITAN EDISON CO SR UNSECURED 144A 01/29 4.3         | CUSIP: 591894CC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $564511.88    | 0.02%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                            | MET LIFE GLOB FUNDING I SECURED 144A 01/27 1.875           | CUSIP: 59217GER6<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1328947.29   | 0.04%             | 2027-01-11      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                            | MET LIFE GLOB FUNDING I SECURED 144A 08/25 4.05            | CUSIP: 59217GFC8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2446762.70   | 0.08%             | 2025-08-25      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ADANI ELECTRICITY MUMBAI LIMITED                                              | ADANI ELECTRICITY MUMBAI SR SECURED 144A 02/30 3.949       | CUSIP: 00654GAA1<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | IN        |   2700000 | PA      | $2068543.52   | 0.06%             | 2030-02-12      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 12/99 5.75              | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   4000000 | PA      | $3380417.96   | 0.11%             | 2099-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MF1 2020-FL4 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A         | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5358529 | PA      | $5290093.65   | 0.16%             | 2035-11-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A         | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7300000 | PA      | $7032538.95   | 0.22%             | 2037-02-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A1 144A                          | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4004146 | PA      | $3609644.74   | 0.11%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A2 144A                          | CUSIP: 552751AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1655060 | PA      | $1493707.78   | 0.05%             | 2065-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                           | MFRA TRUST MFRA 2020 NQM3 A1 144A                          | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2220162 | PA      | $2035370.28   | 0.06%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                           | MFRA TRUST MFRA 2020 NQM3 A2 144A                          | CUSIP: 552757AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    604608 | PA      | $555203.34    | 0.02%             | 2065-01-26      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                           | MFRA TRUST MFRA 2020 NQM3 A3 144A                          | CUSIP: 552757AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1161715 | PA      | $1068664.40   | 0.03%             | 2065-01-26      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| MGM CHINA HOLDINGS LIMITED                                                    | MGM CHINA HOLDINGS LTD SR UNSECURED 144A 06/25 5.25        | CUSIP: 55300RAE1<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $376807.14    | 0.01%             | 2025-06-18      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MGM CHINA HOLDINGS LIMITED                                                    | MGM CHINA HOLDINGS LTD SR UNSECURED REGS 05/26 5.875       | CUSIP: G60744AB8<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $187081.27    | 0.01%             | 2026-05-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                         | MICRON TECHNOLOGY INC SR UNSECURED 02/27 4.185             | CUSIP: 595112BP7<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5689593.48   | 0.18%             | 2027-02-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS LP                                                     | MID AMERICA APARTMENTS SR UNSECURED 11/25 4                | CUSIP: 59523UAM9<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3890311.16   | 0.12%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE TRANSMISSION LLC                                      | MID ATLANTIC INTERSTATE SR UNSECURED 144A 05/28 4.1        | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $848587.32    | 0.03%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECTUAL PROPERTY ASSETS LTD     | MILEAGE PLUS HLDINGS LLC SR SECURED 144A 06/27 6.5         | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4590296 | PA      | $4573779.24   | 0.14%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS1                                        | MILL CITY MORTGAGE TRUST MCMLT 2019 GS1 A1 144A            | CUSIP: 59981BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3004704 | PA      | $2805978.30   | 0.09%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                        | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A            | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826350 | PA      | $776451.09    | 0.02%             | 2059-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 01/28 VAR              | CUSIP: 606822CC6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   8500000 | PA      | $7493325.11   | 0.23%             | 2028-01-19      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 07/29 3.195            | CUSIP: 606822BM5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1312899.03   | 0.04%             | 2029-07-18      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| MKS CLO LTD 2017-1A                                                           | MKS CLO LTD MKS 2017 1A AR 144A                            | CUSIP: 55317AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3788090 | PA      | $3721796.91   | 0.12%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-B                                            | MLCC MORTGAGE INVESTORS INC MLCC 2004 B A3                 | CUSIP: 59020UBW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10986 | PA      | $10206.11     | 0.00%             | 2029-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-C                                            | MLCC MORTGAGE INVESTORS INC MLCC 2004 C A1                 | CUSIP: 59020UDN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176726 | PA      | $165342.04    | 0.01%             | 2029-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| MMCAPS FUNDING XVIII LTD                                                      | MMCAPS FUND XVIII LTD SR SECURED 144A 12/39 VAR            | CUSIP: 60688HAA3<br>LEI: 549300ZF6EZYDGUCIW80 | Long             | DBT              | CORP              | KY        |    565888 | PA      | $536179.28    | 0.02%             | 2039-12-26      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 01/29 VAR                      | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5046126.03   | 0.16%             | 2029-01-24      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 01/30 VAR                      | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1772178.47   | 0.06%             | 2030-01-23      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 10/28 VAR                      | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $20681554.00  | 0.64%             | 2028-10-18      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 10/32 VAR                      | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $1727524.48   | 0.05%             | 2032-10-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED REGS 04/32 VAR                 | CUSIP: U6S771NR6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $5140190.43   | 0.16%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                        | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M1               | CUSIP: 61746RHS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    834833 | PA      | $813397.20    | 0.03%             | 2034-07-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M3               | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121926 | PA      | $117275.28    | 0.00%             | 2035-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D               | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13760587 | PA      | $7170138.13   | 0.22%             | 2036-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP              | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73843 | PA      | $35407.38     | 0.00%             | 2036-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C               | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294765 | PA      | $145884.49    | 0.00%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2D              | CUSIP: 61749KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520511 | PA      | $624535.93    | 0.02%             | 2036-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C               | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1812228 | PA      | $897808.39    | 0.03%             | 2037-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A2                | CUSIP: 61755CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119244 | PA      | $104512.35    | 0.00%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 A2C               | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6420000 | PA      | $5344582.59   | 0.17%             | 2037-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D               | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2977249 | PA      | $1487144.14   | 0.05%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE7                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M2                | CUSIP: 61744CWM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5019631 | PA      | $4766267.89   | 0.15%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A3            | CUSIP: 61749LAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2693639 | PA      | $2572095.78   | 0.08%             | 2036-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1            | CUSIP: 61752JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2855590 | PA      | $1094238.58   | 0.03%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LLC 2017-1A                                                 | MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A                     | CUSIP: 62432HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3643309 | PA      | $3604483.72   | 0.11%             | 2029-10-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                       | MPLX LP SR UNSECURED 12/27 4.25                            | CUSIP: 55336VBN9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $3975881.07   | 0.12%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                       | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M2              | CUSIP: 00764MFS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186612 | PA      | $178858.92    | 0.01%             | 2035-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA                                       | MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.637         | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |   1087000 | PA      | $1165571.29   | 0.04%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS COMPANY                                                     | NATIONAL FUEL GAS CO SR UNSECURED 03/31 2.95               | CUSIP: 636180BR1<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3065163.50   | 0.10%             | 2031-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL A 144A       | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $847341.99    | 0.03%             | 2038-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC JR SUBORDINA 12/99 VAR                   | CUSIP: 639057AD0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $143685.61    | 0.00%             | 2031-06-28      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 03/25 VAR                   | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   3500000 | PA      | $3424239.39   | 0.11%             | 2025-03-22      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 04/26 4.8                   | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $979143.18    | 0.03%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 01/28 3.875          | CUSIP: 00774MAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2100000 | PA      | $1892155.55   | 0.06%             | 2028-01-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 06/24 VAR                   | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4954484.55   | 0.15%             | 2024-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA                             | NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A            | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375640 | PA      | $1235620.82   | 0.04%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A           | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1329820 | PA      | $1311537.92   | 0.04%             | 2040-07-16      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A          | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3739376 | PA      | $3190418.54   | 0.10%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-2                                        | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 2 M1             | CUSIP: 64352VGA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    744802 | PA      | $717340.74    | 0.02%             | 2034-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NEW YORK & PRESBYTERIAN HOSPITAL                                              | NY + PRESBYTERIAN HOSPIT UNSECURED 08/16 4.763             | CUSIP: 649322AE4<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2485871.58   | 0.08%             | 2116-08-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY INDUSTRIAL DEVELOPMENT AGENCY                                   | NEW YORK CITY NY INDL DEV AGY NYCDEV 01/46 FIXED 6.027     | CUSIP: 64971PEC5<br>LEI: 549300XR20ZR5DHL9534 | Long             | DBT              | MUN               | US        |    600000 | PA      | $583096.62    | 0.02%             | 2046-01-01      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE COMPANY                                               | NEW YORK LIFE INSURANCE SUBORDINATED 144A 05/69 4.45       | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3067206.98   | 0.10%             | 2069-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                                              | NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A1 144A              | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3516311 | PA      | $3169091.26   | 0.10%             | 2061-08-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                                               | NGPL PIPECO LLC SR UNSECURED 144A 08/27 4.875              | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3044667.17   | 0.09%             | 2027-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NIPPON LIFE INSURANCE COMPANY                                                 | NIPPON LIFE INSURANCE SUBORDINATED 144A 01/51 VAR          | CUSIP: 654579AH4<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |   5750000 | PA      | $4622181.89   | 0.14%             | 2051-01-21      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/23 3.875      | CUSIP: 654740BL2<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3730782.58   | 0.12%             | 2023-09-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 2.45       | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $778779.27    | 0.02%             | 2028-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/23 3.043              | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $980048.82    | 0.03%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/25 3.522              | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   3800000 | PA      | $3533532.98   | 0.11%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345              | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   2500000 | PA      | $2270791.65   | 0.07%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-2                                           | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 2 A3               | CUSIP: 655378AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5913833 | PA      | $5198536.88   | 0.16%             | 2037-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 01/27 2.329               | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1315199.09   | 0.04%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 01/29 2.71                | CUSIP: 65535HBB4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    950000 | PA      | $793346.85    | 0.02%             | 2029-01-22      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 07/26 1.653               | CUSIP: 65535HAW9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   3000000 | PA      | $2614523.73   | 0.08%             | 2026-07-14      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 07/31 2.608               | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   9300000 | PA      | $7214725.36   | 0.22%             | 2031-07-14      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-FM1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M3              | CUSIP: 65536HAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1253426 | PA      | $1220467.38   | 0.04%             | 2035-05-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                                                    | AIR CANADA 2021 TERM LOAN B                                | CUSIP: C0102MAP0<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | CA        |   2593500 | PA      | $2571208.87   | 0.08%             | 2028-08-11      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2010-5RA                                        | NOMURA RESECURITIZATION TRUST NMRR 2010 5RA 1A7 144A       | CUSIP: 65539GBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1882502 | PA      | $954635.00    | 0.03%             | 2037-10-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                               | NORDEA BANK ABP JR SUBORDINA 144A 12/49 VAR                | CUSIP: 65557CAN3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    550000 | PA      | $533213.84    | 0.02%             | 2024-09-23      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                               | NORDEA BANK ABP JR SUBORDINA 144A 12/99 VAR                | CUSIP: 65559CAA9<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   5600000 | PA      | $5527549.16   | 0.17%             | 2026-03-26      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                               | NORDEA BANK ABP JR SUBORDINA 144A 12/99 VAR                | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   5000000 | PA      | $3872764.45   | 0.12%             | 2029-03-01      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                                                    | AIR CANADA SR SECURED 144A 08/26 3.875                     | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $887432.69    | 0.03%             | 2026-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2 CLASS A PASS THROUGH TRUST                                  | AIR CANADA 2020 2A PTT PASS THRU CE 144A 10/30 5.25        | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1946343 | PA      | $1841732.07   | 0.06%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                        | NXP BV/NXP FDG/NXP USA COMPANY GUAR 05/27 3.15             | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    700000 | PA      | $635994.61    | 0.02%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                        | NXP BV/NXP FDG/NXP USA COMPANY GUAR 05/30 3.4              | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $866419.25    | 0.03%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                             | AIRCASTLE LTD SR UNSECURED 06/26 4.25                      | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   3800000 | PA      | $3578327.27   | 0.11%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                                   | AKER BP ASA COMPANY GUAR 144A 07/31 3.1                    | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $164520.44    | 0.01%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2021-2A                                              | OCTANE RECEIVABLES TRUST OCTL 2021 2A A 144A               | CUSIP: 67578AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4665249 | PA      | $4437193.62   | 0.14%             | 2028-09-20      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| OHIO NATIONAL FINANCIAL SERVICES INC                                          | OHIO NAT FINANCIAL SRVS SR UNSECURED 144A 01/30 5.8        | CUSIP: 67740QAH9<br>LEI: 549300K609B872PZT291 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3039413.29   | 0.09%             | 2030-01-24      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                | OMEGA HLTHCARE INVESTORS COMPANY GUAR 01/26 5.25           | CUSIP: 681936BH2<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196068.81    | 0.01%             | 2026-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                | OMEGA HLTHCARE INVESTORS COMPANY GUAR 01/28 4.75           | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   3350000 | PA      | $3092828.71   | 0.10%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                            | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A        | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6100000 | PA      | $5766339.76   | 0.18%             | 2036-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                     | ONEOK INC COMPANY GUAR 01/51 7.15                          | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102130.61    | 0.00%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-2                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 2 2A3            | CUSIP: 68402CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100309 | PA      | $1213475.80   | 0.04%             | 2036-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A2            | CUSIP: 68402BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300108 | PA      | $1109990.05   | 0.03%             | 2037-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORPORATION                                                  | OWL ROCK CAPITAL CORP SR UNSECURED 06/28 2.875             | CUSIP: 69121KAG9<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |   6300000 | PA      | $4956573.64   | 0.15%             | 2028-06-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5              | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $1867599.91   | 0.06%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORPORATION                                                     | ALCON FINANCE CORP COMPANY GUAR 144A 05/30 2.6             | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $2725834.27   | 0.08%             | 2030-05-27      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 11A                                              | ALESCO PREFERRED FUNDING LTD ALESC 11A A1A 144A            | CUSIP: 01450AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1051938 | PA      | $988296.21    | 0.03%             | 2036-12-23      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45             | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1495859.68   | 0.05%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/32 5.9              | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1468046.21   | 0.05%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55             | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   7200000 | PA      | $6542926.70   | 0.20%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING XVII LTD 17A                                         | ALESCO PREFERRED FUNDING LTD ALESC 17A A1 144A             | CUSIP: 01450NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2260250 | PA      | $2145203.15   | 0.07%             | 2038-09-23      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5              | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1334862.30   | 0.04%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/40 3.3              | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $2858008.31   | 0.09%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/50 3.5              | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $312456.58    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3              | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88415.85     | 0.00%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE INSURANCE COMPANY                                                | PACIFIC LIFE INSURANCE C SUBORDINATED 144A 06/39 9.25      | CUSIP: 694475AA2<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $6622106.45   | 0.21%             | 2039-06-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE PTY LTD                                              | PACIFIC NATIONAL FINANCE COMPANY GUAR REGS 03/28 4.75      | CUSIP: BYVTPZII5<br>LEI: 213800SSTRDXLWWVF948 | Long             | DBT              | CORP              | AU        |   4300000 | PA      | $3818937.50   | 0.12%             | 2028-03-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2021-3                                         | PAGAYA AI DEBT SELECTION TRUST PAID 2021 3 A 144A          | CUSIP: 69546RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1107419 | PA      | $1079149.70   | 0.03%             | 2029-05-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2020-1 LTD                                         | PALMER SQUARE LOAN FUNDING LTD PSTAT 2020 1A A1 144A       | CUSIP: 69701EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2340797 | PA      | $2325237.45   | 0.07%             | 2028-02-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-4                                             | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 4A A1 144A       | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4890151 | PA      | $4819067.01   | 0.15%             | 2029-10-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ELECTRIC COMPANY                                                 | PENNSYLVANIA ELECTRIC CO SR UNSECURED 144A 03/28 3.25      | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $990190.43    | 0.03%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ELECTRIC COMPANY                                                 | PENNSYLVANIA ELECTRIC CO SR UNSECURED 144A 06/29 3.6       | CUSIP: 708696BZ1<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1799506.18   | 0.06%             | 2029-06-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC)                       | PERRIGO FINANCE UNLIMITE COMPANY GUAR 03/26 4.375          | CUSIP: 71429MAB1<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $185789.99    | 0.01%             | 2026-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC)                       | PERRIGO FINANCE UNLIMITE COMPANY GUAR 06/30 4.4            | CUSIP: 71429MAC9<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |   1900000 | PA      | $1621416.89   | 0.05%             | 2030-06-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                   | PETROLEOS MEXICANOS COMPANY GUAR 01/27 6.49                | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    311000 | PA      | $284100.89    | 0.01%             | 2027-01-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                   | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                 | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   4600000 | PA      | $3621129.20   | 0.11%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PHYSICIANS REALTY LP                                                          | PHYSICIANS REALTY LP COMPANY GUAR 03/27 4.3                | CUSIP: 71951QAA0<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1888920.50   | 0.06%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PORT AUTHORITY OF NEW YORK & NEW JERSEY                                       | PORT AUTH OF NEW YORK   NEW JE PORTRN 08/69 FIXED 3.287    | CUSIP: 73358W3L6<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   7500000 | PA      | $4909332.00   | 0.15%             | 2069-08-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| PORT AUTHORITY OF NEW YORK & NEW JERSEY                                       | PORT AUTH OF NEW YORK   NEW JE PORTRN 10/65 FIXED 4.81     | CUSIP: 73358WXQ2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   1000000 | PA      | $929557.90    | 0.03%             | 2065-10-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC         | PREFERRED TERM XXIV SR SECURED 144A 03/37 VAR              | CUSIP: 74043CAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1862858 | PA      | $1709171.92   | 0.05%             | 2037-03-22      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL3 A1 144A      | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3892808 | PA      | $3455180.89   | 0.11%             | 2051-07-25      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| ALT-2 STRUCTURED TRUST                                                        | CASTLELAKE LP FIRST LIEN TERM LOAN                         | CUSIP: 937CJTII1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   6076552 | PA      | $5499279.46   | 0.17%             | 2031-05-13      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN1 A1 144A       | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1580292 | PA      | $1432245.16   | 0.04%             | 2061-02-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                                 | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A       | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1369947 | PA      | $1243544.59   | 0.04%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4                                 | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN4 A1 144A       | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165987 | PA      | $1025620.57   | 0.03%             | 2051-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL2                                | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 NPL2 A1 144A      | CUSIP: 693971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6236021 | PA      | $6021497.45   | 0.19%             | 2052-04-25      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                     | PROSUS NV SR UNSECURED 144A 01/27 3.257                    | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   2500000 | PA      | $2238336.95   | 0.07%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                     | PROSUS NV SR UNSECURED 144A 01/30 3.68                     | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   2700000 | PA      | $2250516.42   | 0.07%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                     | PROSUS NV SR UNSECURED 144A 01/32 4.193                    | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   2300000 | PA      | $1909831.29   | 0.06%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| PRPM-2022-1                                                                   | PRESTON RIDGE PARTNERS MORTGAG PRPM 2022 1 A1 144A         | CUSIP: 693582AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4126331 | PA      | $3877286.31   | 0.12%             | 2027-02-25      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                              | PUGET ENERGY INC SR SECURED 03/32 4.224                    | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2671346.88   | 0.08%             | 2032-03-15      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                           | QUANTA SERVICES INC SR UNSECURED 10/30 2.9                 | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   4850000 | PA      | $3998944.55   | 0.12%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| RAPTOR AIRCRAFT FINANCE LLC 2019-1                                            | RAPTOR AIRCRAFT FINANCE LLC RPTOR 2019 1 A 144A            | CUSIP: 75383HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2114685 | PA      | $1543408.99   | 0.05%             | 2044-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2005-RP1                             | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2005 RP1 1F 144A      | CUSIP: 74927UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1438043 | PA      | $1285322.28   | 0.04%             | 2034-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC                                | READYCAP COMMERCIAL MORTGAGE T RCMT 2022 FL10 A 144A       | CUSIP: 755931AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5392333 | PA      | $5384185.36   | 0.17%             | 2039-10-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                     | REALTY INCOME CORP SR UNSECURED 12/29 3.1                  | CUSIP: 756109BK9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3491517.24   | 0.11%             | 2029-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| REGENTS OF THE UNIVERSITY OF CALIFORNIA MEDICAL CENTER POOLED REVENUE         | UNIV OF CALIFORNIA CA RGTS MED UNVHGR 05/20 FIXED 3.706    | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6000000 | PA      | $3783220.20   | 0.12%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC (AKA: REED ELSEVIER CAPITAL INC)                             | RELX CAPITAL INC COMPANY GUAR 05/30 3                      | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |    500000 | PA      | $427219.10    | 0.01%             | 2030-05-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2005-3                                          | RENAISSANCE HOME EQUITY LOAN T RAMC 2005 3 AV3             | CUSIP: 75970NBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    869541 | PA      | $741443.86    | 0.02%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF3             | CUSIP: 759950GV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13877845 | PA      | $6479243.85   | 0.20%             | 2036-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3             | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661992 | PA      | $247872.97    | 0.01%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF4             | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12194900 | PA      | $4741189.19   | 0.15%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF5             | CUSIP: 75971EAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165959 | PA      | $476134.11    | 0.01%             | 2036-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF1             | CUSIP: 75970QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2721990 | PA      | $871708.56    | 0.03%             | 2037-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                                     | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF4             | CUSIP: 759676AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8664451 | PA      | $3702256.54   | 0.12%             | 2036-08-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| REPERFORMING LOAN REMIC TRUST 2006-R1                                         | COUNTRYWIDE HOME LOANS CWHL 2006 R1 AF1 144A               | CUSIP: 12669UCN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1346858 | PA      | $1280947.45   | 0.04%             | 2036-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2013-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 13 1 A PASS T AMER AIRLN 13 1 A PASS T          | CUSIP: 023772AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2466140 | PA      | $2142239.47   | 0.07%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7               | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1784766 | PA      | $1543833.71   | 0.05%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A8           | CUSIP: 74922EAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1391855 | PA      | $1124661.69   | 0.04%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375             | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8479576 | PA      | $7087981.95   | 0.22%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS17                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS17 A4           | CUSIP: 74922SAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1079767 | PA      | $853602.04    | 0.03%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS9                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS9 A33           | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2398005 | PA      | $1920252.75   | 0.06%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC3                                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC3 M1            | CUSIP: 76112B4P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1505296 | PA      | $1446761.03   | 0.05%             | 2036-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2002-RS2                                       | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2002 RS2 MII2          | CUSIP: 760985JT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910716 | PA      | $801907.19    | 0.02%             | 2032-03-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS2 AI4           | CUSIP: 74924WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4598641 | PA      | $4367030.39   | 0.14%             | 2037-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2003-A9                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A9 A3             | CUSIP: 45660NSY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22160 | PA      | $19528.74     | 0.00%             | 2033-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2004-A4                                | RESIDENTIAL ASSET SECURITIZATI RAST 2004 A4 A11            | CUSIP: 45660NK46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1504676 | PA      | $1425677.30   | 0.04%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S5                                         | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S5 A10            | CUSIP: 74957EAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477927 | PA      | $398319.21    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                         | REYNOLDS AMERICAN INC COMPANY GUAR 08/45 5.85              | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    710000 | PA      | $607708.89    | 0.02%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                            | RGA GLOBAL FUNDING SR SECURED 144A 01/29 2.7               | CUSIP: 76209PAB9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2462643.55   | 0.08%             | 2029-01-18      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                  | ROCKIES EXPRESS PIPELINE SR UNSECURED 144A 05/25 3.6       | CUSIP: 77340RAS6<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2837610.00   | 0.09%             | 2025-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                            | ROYALTY PHARMA PLC COMPANY GUAR 09/27 1.75                 | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1271904.05   | 0.04%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| RUTGERS THE STATE UNIVERSITY                                                  | RUTGERS NJ ST UNIV RUTHGR 12/99 FIXED 3.915                | CUSIP: 783186TP4<br>LEI: 549300BOYDHNW8J60112 | Long             | DBT              | MUN               | US        |   5400000 | PA      | $3577881.24   | 0.11%             | 2099-12-31      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                               | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5         | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3757265.85   | 0.12%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                               | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/29 5.75        | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1282065.18   | 0.04%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                      | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375          | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2227263.47   | 0.07%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 01/26 4.3                     | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    800000 | PA      | $739320.77    | 0.02%             | 2026-01-08      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 03/27 2.8                     | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    900000 | PA      | $772011.00    | 0.02%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 03/29 3.35                    | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   2000000 | PA      | $1636624.16   | 0.05%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/25 5.625                   | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    800000 | PA      | $765913.66    | 0.02%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/28 5.9                     | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   2300000 | PA      | $2156624.90   | 0.07%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/31 3.75                    | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   1800000 | PA      | $1418860.96   | 0.04%             | 2031-08-08      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SR UNSECURED 01/28 VAR              | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   5400000 | PA      | $4640271.73   | 0.14%             | 2028-01-06      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| SANTANDER REVOLVING AUTO LOAN TRUST 2019-A                                    | SANTANDER REVOLVING AUTO LOAN SREV 2019 A A 144A           | CUSIP: 80286JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3299634.45   | 0.10%             | 2032-01-26      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 01/24 VAR            | CUSIP: 80281LAH8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2900000 | PA      | $2900000.00   | 0.09%             | 2024-01-05      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 01/28 VAR            | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1282925.12   | 0.04%             | 2028-01-11      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 06/27 VAR            | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   6500000 | PA      | $5534398.42   | 0.17%             | 2027-06-14      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 11/26 VAR            | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   3500000 | PA      | $3549052.50   | 0.11%             | 2026-11-21      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 11/28 VAR            | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4476115.35   | 0.14%             | 2028-11-03      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE I LIMITED 2018-1A                                   | SAPPHIRE AVIATION FINANCE I LI SAPA 2018 1A A 144A         | CUSIP: 80306AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2438726 | PA      | $1895017.81   | 0.06%             | 2040-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                                       | SARANAC CLO LTD SRANC 2018 6A A1R 144A                     | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   8500000 | PA      | $8236803.96   | 0.26%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-3                                              | SAXON ASSET SECURITIES TRUST SAST 2004 3 M5                | CUSIP: 805564QZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1772862 | PA      | $1342361.21   | 0.04%             | 2034-12-26      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                           | SAXON ASSET SECURITIES TRUST SAST 2004 1 M1                | CUSIP: 805564PN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416730 | PA      | $403426.76    | 0.01%             | 2035-03-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-1                                           | SAXON ASSET SECURITIES TRUST SAST 2005 1 M3                | CUSIP: 805564RP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    594588 | PA      | $451838.81    | 0.01%             | 2035-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                           | SAXON ASSET SECURITIES TRUST SAST 2007 4 A1 144A           | CUSIP: 80557CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    609519 | PA      | $562646.69    | 0.02%             | 2037-12-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-NC1                             | SECURITIZED ASSET BACKED RECEI SABR 2004 NC1 M1            | CUSIP: 81375WAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2483180 | PA      | $2390607.55   | 0.07%             | 2034-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM1                             | SECURITIZED ASSET BACKED RECEI SABR 2006 WM1 A2C           | CUSIP: 81375WKD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1863999 | PA      | $1791402.83   | 0.06%             | 2035-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                 | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                     | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19136 | PA      | $17435.30     | 0.00%             | 2033-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2005 1 A2                      | CUSIP: 81744FGN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    487975 | PA      | $437936.97    | 0.01%             | 2035-02-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| SES SA                                                                        | SES SA COMPANY GUAR 144A 04/23 3.6                         | CUSIP: 78413HAA7<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |   1700000 | PA      | $1688896.64   | 0.05%             | 2023-04-04      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SHACKLETON 2015-VIII CLO LTD 2015-8A                                          | SHACKLETON CLO LTD SHACK 2015 8A A1R 144A                  | CUSIP: 81882EAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    612692 | PA      | $609670.40    | 0.02%             | 2027-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| SIGNAL PEAK CLO 6 LTD 2018-5A                                                 | SIGNAL PEAK CLO, LLC SPEAK 2018 5A A 144A                  | CUSIP: 56844YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3750000 | PA      | $3690751.80   | 0.11%             | 2031-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3                                | AMERICAN HOME MORTGAGE INVESTM AHM 2006 3 11A1             | CUSIP: 026929AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3211004 | PA      | $2622434.66   | 0.08%             | 2046-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SKY LEASE AVIATION 2017-1                                                     | S JETS LIMITED SJETS 2017 1 A 144A                         | CUSIP: 784309AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   3912105 | PA      | $3041108.49   | 0.09%             | 2042-08-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                               | SKYMILES IP LTD. 2020 SKYMILES TERM LOAN B                 | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | US        |   4900000 | PA      | $5003831.00   | 0.16%             | 2027-10-20      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-A                                                 | SLM STUDENT LOAN TRUST SLMA 2005 A A4                      | CUSIP: 78443CBV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436053 | PA      | $415761.12    | 0.01%             | 2038-12-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-2                                                 | SLM STUDENT LOAN TRUST SLMA 2008 2 A3                      | CUSIP: 784442AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2453242 | PA      | $2374700.10   | 0.07%             | 2023-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-5                                                 | SLM STUDENT LOAN TRUST SLMA 2008 5 A4                      | CUSIP: 78444YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1586906 | PA      | $1571584.30   | 0.05%             | 2023-07-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-7                                                 | SLM STUDENT LOAN TRUST SLMA 2008 7 A4                      | CUSIP: 78445FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3665551 | PA      | $3630212.32   | 0.11%             | 2023-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-8                                                 | SLM STUDENT LOAN TRUST SLMA 2008 8 A4                      | CUSIP: 78445GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1613837 | PA      | $1610471.43   | 0.05%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-9                                                 | SLM STUDENT LOAN TRUST SLMA 2008 9 A                       | CUSIP: 78445JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    803171 | PA      | $795954.94    | 0.02%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2010-C                                                 | SLM STUDENT LOAN TRUST SLMA 2010 C A5 144A                 | CUSIP: 78445QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3586047 | PA      | $3850325.20   | 0.12%             | 2041-10-15      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                     | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB A2B 144A       | CUSIP: 78449DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3027708 | PA      | $2932278.31   | 0.09%             | 2054-09-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                      | AMERICAN HOMES 4 RENT SR UNSECURED 02/28 4.25              | CUSIP: 02666TAA5<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2686555.53   | 0.08%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR               | CUSIP: 83367TBV0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1300000 | PA      | $1247124.02   | 0.04%             | 2023-10-04      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR               | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3200000 | PA      | $2600437.70   | 0.08%             | 2030-11-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO IX LTD 2015-2A                                                | SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A                | CUSIP: 83609GBN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13000000 | PA      | $12560846.09  | 0.39%             | 2032-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XII LTD 2016-2A                                               | SOUND POINT CLO LTD SNDPT 2016 2A AR2 144A                 | CUSIP: 83610CAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12395914 | PA      | $12297855.23  | 0.38%             | 2028-10-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XV LTD 2017-1A                                                | SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A                 | CUSIP: 83609RAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7467213 | PA      | $7374491.68   | 0.23%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVI LTD 2017-2A                                               | SOUND POINT CLO LTD SNDPT 2017 2A AR 144A                  | CUSIP: 83610KAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12100000 | PA      | $11918500.00  | 0.37%             | 2030-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A4          | CUSIP: 83613DAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4030219 | PA      | $3222609.83   | 0.10%             | 2037-07-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 03/27 3.65                | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3274144.37   | 0.10%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3            | SPECIALTY UNDERWRITING + RESID SURF 2006 AB3 A2B           | CUSIP: 84751XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6551721 | PA      | $4569906.13   | 0.14%             | 2037-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                                                              | SPIRIT REALTY LP COMPANY GUAR 09/26 4.45                   | CUSIP: 84861TAC2<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |    700000 | PA      | $669503.16    | 0.02%             | 2026-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 09/25 1.3                 | CUSIP: 03027XBB5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    500000 | PA      | $451826.00    | 0.01%             | 2025-09-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORPORATION                                                         | STARBUCKS CORP SR UNSECURED 08/49 4.45                     | CUSIP: 855244AU3<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    400000 | PA      | $342039.99    | 0.01%             | 2049-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A2 144A       | CUSIP: 85573EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688027 | PA      | $636293.39    | 0.02%             | 2055-11-25      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A3 144A       | CUSIP: 85573EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    888701 | PA      | $819359.06    | 0.03%             | 2055-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 10/26 3.375               | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3089855.60   | 0.10%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A        | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10100000 | PA      | $9792731.74   | 0.30%             | 2038-04-18      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SYSTEMS INCORPORATED                                    | AMERICAN TRANSMISSION SY SR UNSECURED 144A 09/44 5         | CUSIP: 030288AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $273984.82    | 0.01%             | 2044-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STONEPEAK 2021-1 ABS                                                          | STONEPEAK SALTT 2021 1A AA 144A                            | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    927303 | PA      | $826117.98    | 0.03%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                                      | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4              | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2420617 | PA      | $2278309.85   | 0.07%             | 2034-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 A11            | CUSIP: 86358EPB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4118494 | PA      | $4044613.12   | 0.13%             | 2034-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-9                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2005 9 M1              | CUSIP: 86358EYF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2531144 | PA      | $2445013.70   | 0.08%             | 2035-11-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A1              | CUSIP: 86360WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4949877 | PA      | $2936304.21   | 0.09%             | 2036-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC 2003-AR3                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2003 AR3 M4            | CUSIP: 03072SHJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3706754 | PA      | $3374084.19   | 0.11%             | 2033-06-25      | Floating      | 10.24%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-WF4                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 WF3 M3            | CUSIP: 86359DLN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3693123 | PA      | $3646224.85   | 0.11%             | 2035-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-WF4                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 WF3 M5            | CUSIP: 86359DLQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2915423 | PA      | $2790327.48   | 0.09%             | 2035-07-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| AMFAM HOLDINGS INC                                                            | AMFAM HOLDINGS INC SR UNSECURED 144A 03/31 2.805           | CUSIP: 03115AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $545596.65    | 0.02%             | 2031-03-11      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| STUDENT LOAN MARKETING ASSN 2006-B                                            | SLM STUDENT LOAN TRUST SLMA 2006 B A5                      | CUSIP: 78443CCU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2586816 | PA      | $2448423.54   | 0.08%             | 2039-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                                   | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 07/25 6          | CUSIP: 86389QAE2<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $173720.96    | 0.01%             | 2025-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                                   | SWEDBANK AB JR SUBORDINA REGS 12/99 VAR                    | CUSIP: ACI1ZXGT2<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    400000 | PA      | $309750.00    | 0.01%             | 2029-03-17      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNGENTA FINANCE NV                                                           | SYNGENTA FINANCE NV COMPANY GUAR 144A 04/23 4.441          | CUSIP: 87164KAH7<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | NL        |   5400000 | PA      | $5376489.43   | 0.17%             | 2023-04-24      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                                             | SYSCO CORPORATION COMPANY GUAR 04/50 6.6                   | CUSIP: 871829BN6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    700000 | PA      | $767109.10    | 0.02%             | 2050-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                              | T MOBILE USA INC COMPANY GUAR 01/33 5.2                    | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3479653.31   | 0.11%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                              | T MOBILE USA INC COMPANY GUAR 02/28 2.05                   | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3011863.65   | 0.09%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE COMPANY LLC                                            | TENNESSEE GAS PIPELINE COMPANY GUAR 144A 03/30 2.9         | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $6718414.16   | 0.21%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                              | TENN VALLEY AUTHORITY SR UNSECURED 09/65 4.25              | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  10000000 | PA      | $8694311.30   | 0.27%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                              | TVA PRIN STRIP BONDS 06/38 0.00000                         | CUSIP: 88059FBR1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   2500000 | PA      | $1184835.00   | 0.04%             | 2038-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TEXAS ELECTRIC MARKET STABILIZATION FUNDING N LLC                             | TEXAS ELECTRIC MKT STABL SR SECURED 144A 08/48 5.057       | CUSIP: 88240TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15500000 | PA      | $14663933.72  | 0.46%             | 2048-08-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| TEXAS PRIVATE ACTIVITY SURFACE TRANSPORTATION CORP                            | TEXAS ST PRIV ACTIVITY BOND SU TXSTRN 12/49 FIXED 3.922    | CUSIP: 882667AZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4200000 | PA      | $3193476.72   | 0.10%             | 2049-12-31      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| THE TRUSTEES OF THE UNIVERSITY OF PENNSYLVANIA                                | UNIVERSITY OF PENNSYLVAN SR UNSECURED 09/12 4.674          | CUSIP: 91481CAA8<br>LEI: 549300FG60YK9HZ7DS75 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1009644.26   | 0.03%             | 2112-09-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST 2021-1A                                                 | THEOREM FUNDING TRUST THRM 2021 1A A 144A                  | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894499 | PA      | $880228.17    | 0.03%             | 2027-12-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST 2022-1A                                                 | THEOREM FUNDING TRUST THRM 2022 1A A 144A                  | CUSIP: 88339XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029148 | PA      | $1003986.39   | 0.03%             | 2028-02-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER 2019-3 CLO LTD                                          | WIND RIVER CLO LTD WINDR 2019 3A AR 144A                   | CUSIP: 97314JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9000000 | PA      | $8758571.22   | 0.27%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-5                                       | THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1               | CUSIP: 88522RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1033751 | PA      | $963518.46    | 0.03%             | 2046-10-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A2A              | CUSIP: 88522WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240470 | PA      | $215492.44    | 0.01%             | 2037-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| TICP CLO III-2 LTD 2018-3R                                                    | TICP CLO LTD TICP 2018 3R A 144A                           | CUSIP: 87249FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2694135 | PA      | $2686059.20   | 0.08%             | 2028-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTERPRISES LLC                                             | TIME WARNER CABLE ENTRMN SR SECURED 07/33 8.375            | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $557082.30    | 0.02%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                         | TIME WARNER CABLE LLC SR SECURED 07/38 7.3                 | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2489438.70   | 0.08%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/35 FIXED 3        | CUSIP: 88880LAV5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    864194 | PA      | $776596.31    | 0.02%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/49 FIXED 4.875    | CUSIP: 88880LAW3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5000000 | PA      | $4277426.50   | 0.13%             | 2049-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON CO                                                              | TOLEDO EDISON COMPANY 1ST MORTGAGE 144A 05/28 2.65         | CUSIP: 889175BF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2918000 | PA      | $2554767.39   | 0.08%             | 2028-05-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4                                   | TPG REAL ESTATE FINANCE TRTX 2021 FL4 A 144A               | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8300000 | PA      | $8035437.50   | 0.25%             | 2038-03-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                   | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A               | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4884260.00   | 0.15%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                                       | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR        | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |   3300000 | NS      | $2863410.00   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKISH AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                            | TURKISH AIRLN 15 1 A PTT PASS THRU CE 144A 09/28 4.2       | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |   3047471 | PA      | $2669255.57   | 0.08%             | 2028-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG JR SUBORDINA REGS 12/49 VAR                   | CUSIP: ACI0BSPY0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $198375.00    | 0.01%             | 2025-02-19      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG JR SUBORDINA REGS 12/99 VAR                   | CUSIP: ACI1PGJL4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    800000 | PA      | $749960.00    | 0.02%             | 2026-07-29      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                       | UDR INC COMPANY GUAR 07/27 3.5                             | CUSIP: 90265EAM2<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2235400.61   | 0.07%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 252378000 | PA      | $213986637.21 | 6.66%             | 2053-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 179365910 | PA      | $157594343.11 | 4.91%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  95600000 | PA      | $86919630.90  | 2.71%             | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                             | CAPITAL ONE FINANCIAL CO JR SUBORDINA 12/99 VAR            | CUSIP: 14040HCF0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | EP               | CORP              | US        |   4000000 | NS      | $3159200.00   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 01/27 2.75              | CUSIP: 03666HAD3<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   4050000 | PA      | $3249408.68   | 0.10%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                 | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83                 | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   5000000 | PA      | $5052918.90   | 0.16%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 07/26 3.95              | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $866106.82    | 0.03%             | 2026-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 07/27 3.75              | CUSIP: 03666HAE1<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $2996211.35   | 0.09%             | 2027-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2016 1 A PTT PASS THRU CE 01/30 3.45            | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3091926 | PA      | $2608835.63   | 0.08%             | 2030-01-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                            | UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1            | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1030638 | PA      | $931171.48    | 0.03%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2019 1 A PTT PASS THRU CE 08/31 4.55            | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2090097 | PA      | $1762331.37   | 0.05%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                           | UNITED AIRLINES INC SR SECURED 144A 04/26 4.375            | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3157328.40   | 0.10%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                           | UNITED AIRLINES INC SR SECURED 144A 04/29 4.625            | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2181126.75   | 0.07%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                           | UNITED AIRLINES, INC. 2021 TERM LOAN B                     | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |   1969190 | PA      | $1949911.44   | 0.06%             | 2028-04-21      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 03/23 0.00000                                | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2968000 | PA      | $2940408.02   | 0.09%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 03/23 0.00000                                | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1517000 | PA      | $1506652.18   | 0.05%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST 2017-1A                           | AASET 2017 1 TRUST AASET 2017 1A A 144A                    | CUSIP: 000366AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1326760 | PA      | $1030125.68   | 0.03%             | 2042-05-16      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST 2018-1A                           | AASET 2018 1 TRUST AASET 2018 1A A 144A                    | CUSIP: 000367AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1597975 | PA      | $984218.17    | 0.03%             | 2038-01-16      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST 2021-2A                           | AASET 2021 2 TRUST AASET 2021 2A A 144A                    | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2819377 | PA      | $2276194.66   | 0.07%             | 2047-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/42 3.375                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300000000 | PA      | $268218750.00 | 8.35%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/24 4.5                                  | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36000000 | PA      | $36004218.84  | 1.12%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/27 3.875                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 130000000 | PA      | $129309375.00 | 4.03%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CALIFORNIA                                                      | UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858    | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7506000 | PA      | $6349305.88   | 0.20%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CALIFORNIA                                                      | UNIV OF CALIFORNIA CA REVENUES UNVHGR 12/99 FIXED 4.767    | CUSIP: 91412GC86<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2100000 | PA      | $1719091.08   | 0.05%             | 2099-12-31      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF MICHIGAN                                                        | UNIV OF MICHIGAN MI UNVHGR 04/22 FIXED 4.454               | CUSIP: 914455UJ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1627385.40   | 0.05%             | 2122-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF VIRGINIA                                                        | UNIV OF VIRGINIA VA UNIV REVEN UNIHGR 09/17 FIXED 4.179    | CUSIP: 915217WX7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    870000 | PA      | $665953.07    | 0.02%             | 2117-09-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF VIRGINIA                                                        | UNIV OF VIRGINIA VA UNIV REVEN UNIHGR 12/99 FIXED 3.227    | CUSIP: 915217XA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5300000 | PA      | $3109991.24   | 0.10%             | 2099-12-31      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1                          | ARBOR MULTIFAMILY MORTGAGE SEC AMMST 2020 MF1 A5 144A      | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $3924948.16   | 0.12%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2013-1 CLASS A PASS THROUGH TRUST                                  | US AIRWAYS 2013 1A PTT PASS THRU CE 05/27 3.95             | CUSIP: 90346WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1864090 | PA      | $1695850.16   | 0.05%             | 2027-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL 2022-1A                                              | VB S1 ISSUER LLC VBTEL 2022 1A C2II 144A                   | CUSIP: 91823AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $1904928.24   | 0.06%             | 2057-02-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| VENTURE CDO LTD 2016-25A                                                      | VENTURE CDO LTD VENTR 2016 25A ARR 144A                    | CUSIP: 92329VAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7484405 | PA      | $7410598.71   | 0.23%             | 2029-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2013-4A                                                       | VENTURE CDO LTD VENTR 2013 14A ARR 144A                    | CUSIP: 92328GBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11492988 | PA      | $11375545.69  | 0.35%             | 2029-08-28      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2014-17A                                                      | VENTURE CDO LTD VENTR 2014 17A ARR 144A                    | CUSIP: 92329YAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6150849 | PA      | $6141373.84   | 0.19%             | 2027-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                      | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                   | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4700000 | PA      | $4634156.34   | 0.14%             | 2031-07-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIV CLO LTD 2016-24A                                                 | VENTURE CDO LTD VENTR 2016 24A ARR 144A                    | CUSIP: 92330WBJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4948844 | PA      | $4888643.43   | 0.15%             | 2028-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                                                 | VENTURE CDO LTD VENTR 2017 29A AR 144A                     | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10650000 | PA      | $10455956.25  | 0.33%             | 2030-09-07      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                                | VENTURE CDO LTD VENTR 2017 27A AR 144A                     | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3797329 | PA      | $3710027.57   | 0.12%             | 2030-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVIII CLO LTD 2017-28A                                               | VENTURE CDO LTD VENTR 2017 28A A1R 144A                    | CUSIP: 92331AAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4912034.00   | 0.15%             | 2030-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ARCH CAPITAL GROUP LTD                                                        | ARCH CAPITAL GROUP LTD SR UNSECURED 06/50 3.635            | CUSIP: 03939AAA5<br>LEI: 549300AYR4P8AFKDCE43 | Long             | DBT              | CORP              | BM        |   6900000 | PA      | $4790902.53   | 0.15%             | 2050-06-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| VERTICAL BRIDGE HOLDINGS LLC  2020-2A                                         | VB S1 ISSUER LLC VBTOW 2020 2A A 144A                      | CUSIP: 92535VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7146584.00   | 0.22%             | 2050-09-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2020-INV1                                          | VERUS SECURITIZATION TRUST VERUS 2020 INV1 A2 144A         | CUSIP: 92537TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92295.73     | 0.00%             | 2060-03-25      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2020-INV1                                          | VERUS SECURITIZATION TRUST VERUS 2020 INV1 A3 144A         | CUSIP: 92537TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $272323.26    | 0.01%             | 2060-03-25      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-8                                             | VERUS SECURITIZATION TRUST VERUS 2021 8 A1 144A            | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3172539 | PA      | $2686707.39   | 0.08%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO VII LTD                                                           | VIBRANT CLO LTD VIBR 2017 7A A1R 144A                      | CUSIP: 92558BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8963816 | PA      | $8821788.65   | 0.27%             | 2030-09-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                     | VMED O2 UK FINAN SR SECURED 144A 07/31 4.75                | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |   3900000 | PA      | $3175789.50   | 0.10%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                    | VMWARE INC SR UNSECURED 05/30 4.7                          | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   6700000 | PA      | $6248297.73   | 0.19%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)                   | WESTINGHOUSE AIR BRAKE COMPANY GUAR 06/25 3.2              | CUSIP: 960386AQ3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2073236.84   | 0.06%             | 2025-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)                   | WESTINGHOUSE AIR BRAKE COMPANY GUAR 09/28 4.95             | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   6130000 | PA      | $5897134.36   | 0.18%             | 2028-09-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORPORATION                                                      | ARES CAPITAL CORP SR UNSECURED 06/27 2.875                 | CUSIP: 04010LBD4<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5093722.14   | 0.16%             | 2027-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORPORATION                                                      | ARES CAPITAL CORP SR UNSECURED 06/28 2.875                 | CUSIP: 04010LBB8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $4820730.24   | 0.15%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                       | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A            | CUSIP: 93364EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2121871 | PA      | $1932932.89   | 0.06%             | 2037-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2           | CUSIP: 93364FAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2175999 | PA      | $1978673.89   | 0.06%             | 2037-07-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-8                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 8 A6             | CUSIP: 93935EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7613975 | PA      | $2810569.31   | 0.09%             | 2036-10-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| ARES FINANCE CO II LLC                                                        | ARES FINANCE CO II LLC COMPANY GUAR 144A 06/30 3.25        | CUSIP: 04015KAB6<br>LEI: 54930012GWL4VKKENG46 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $2895882.26   | 0.09%             | 2030-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A           | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054508 | PA      | $935645.81    | 0.03%             | 2046-10-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1          | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2716515 | PA      | $2332037.27   | 0.07%             | 2037-01-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2005-AR1                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 AR1 A1A          | CUSIP: 93934FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7309260 | PA      | $6229529.95   | 0.19%             | 2035-12-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A          | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405167 | PA      | $320900.37    | 0.01%             | 2046-05-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| WAVE TRUST 2019-1                                                             | WAVE USA WAAV 2019 1 A 144A                                | CUSIP: 94354KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4052487 | PA      | $3086190.54   | 0.10%             | 2044-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP PLC                                                                | WEIR GROUP PLC (THE) SR UNSECURED 144A 05/26 2.2           | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $1776029.34   | 0.06%             | 2026-05-13      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO LTD 2015-1                                                      | WELLFLEET CLO LTD WELF 2015 1A AR4 144A                    | CUSIP: 949496BJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    728129 | PA      | $718716.57    | 0.02%             | 2029-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO LTD 2017-1A                                                     | WELLFLEET CLO LTD WELF 2017 1A A1RR 144A                   | CUSIP: 94950GAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1109991 | PA      | $1096671.07   | 0.03%             | 2029-04-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 02/31 VAR               | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   9500000 | PA      | $7887328.55   | 0.25%             | 2031-02-11      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR               | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1503653.81   | 0.05%             | 2031-04-04      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 05/28 VAR               | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  17250000 | PA      | $16043145.32  | 0.50%             | 2028-05-22      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 07/33 VAR               | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4762525.80   | 0.15%             | 2033-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C27                                | WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 C27 A5            | CUSIP: 94989DAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3332545.30   | 0.10%             | 2048-02-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C56                                | WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 C56 A5            | CUSIP: 95002RAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13900000 | PA      | $11570093.12  | 0.36%             | 2053-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                                 | ARGENT SECURITIES INC. ARSI 2005 W5 A2C                    | CUSIP: 040104QN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5280512 | PA      | $4752158.94   | 0.15%             | 2036-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY ABS SER 2004-1                                        | WELLS FARGO HOME EQUITY TRUST WFHET 2004 1 1A              | CUSIP: 86359BMW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74734 | PA      | $71004.25     | 0.00%             | 2034-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-1                                          | WELLS FARGO HOME EQUITY TRUST WFHET 2005 1 M9              | CUSIP: 9497ERAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130907 | PA      | $127563.80    | 0.00%             | 2035-04-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-4                                          | WELLS FARGO HOME EQUITY TRUST WFHET 2005 4 M3              | CUSIP: 9497EMAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3024329.93   | 0.09%             | 2035-12-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR9                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR9 A1           | CUSIP: 94986GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1478042 | PA      | $1282766.09   | 0.04%             | 2037-12-28      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR11                                          | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR11 A1          | CUSIP: 94984CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302352 | PA      | $277640.89    | 0.01%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| WESLEYAN UNIVERSITY                                                           | WESLEYAN UNIVERSITY UNSECURED 07/16 4.781                  | CUSIP: 95101VAA7<br>LEI: MR0KVN5WYB7MX4TE2T37 | Long             | DBT              | CORP              | US        |   3248000 | PA      | $2547854.40   | 0.08%             | 2116-07-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                      | WILLIS NORTH AMERICA INC COMPANY GUAR 09/29 2.95           | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1095512.80   | 0.03%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W1                                                 | ARGENT SECURITIES INC. ARSI 2006 W1 A2C                    | CUSIP: 040104RF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3454373 | PA      | $2989090.36   | 0.09%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                                | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A                  | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8900000 | PA      | $7656682.46   | 0.24%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                  | WP CAREY INC SR UNSECURED 02/31 2.4                        | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3116611.76   | 0.10%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| WRKCO INC                                                                     | WRKCO INC COMPANY GUAR 06/28 3.9                           | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    500000 | PA      | $460418.00    | 0.01%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                            | WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5                 | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $183784.00    | 0.01%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                            | WYNN MACAU LTD SR UNSECURED REGS 01/26 5.5                 | CUSIP: G98149AG5<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $183784.00    | 0.01%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                            | WYNN MACAU LTD SR UNSECURED REGS 08/28 5.625               | CUSIP: G98149AH3<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $856295.00    | 0.03%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                            | WYNN MACAU LTD SR UNSECURED REGS 10/27 5.5                 | CUSIP: G98149AD2<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $175134.00    | 0.01%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ZEPHYRUS CAPITAL AVIATION PARTNERS LTD 2018-1                                 | ZEPHYRUS CAPITAL AVIATION PART TERM LOAN                   | CUSIP: 933QMTII0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2147679 | PA      | $1836988.42   | 0.06%             | 2038-10-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | FIXED INC CLEARING CORP.REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   1226140 | PA      | $1226140.18   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | NOMURA REPO                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  21700000 | PA      | $21700000.00  | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | PARIBAS REPO                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        | 149400000 | PA      | $149400000.00 | 4.65%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AES CORPORATION SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $436231.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AMERICAN INTERNATIONAL GROUP  SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $11150.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AT&T INC SNR S* ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $2694.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                                         | ARROW ELECTRONICS INC SR UNSECURED 01/28 3.875             | CUSIP: 042735BF6<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2275461.30   | 0.07%             | 2028-01-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-11959.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1925.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-53847.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $3313.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BRITISH TELECOMMUNICATIONS PL SNR SE ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-4989.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BRITISH TELECOMMUNICATIONS PL SNR SE ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-282933.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BRITISH TELECOMMUNICATIONS PL SNR SE ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-34932.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                           | ASHTEAD CAPITAL INC COMPANY GUAR 144A 11/29 4.25           | CUSIP: 045054AL7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4492470.65   | 0.14%             | 2029-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP/THE                                                       | CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR                 | CUSIP: 808513AR6<br>LEI: 549300VSGCJ7E698NM85 | Long             | EP               | CORP              | US        |   5500000 | NS      | $4600695.00   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP/THE                                                       | CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR                 | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | EP               | CORP              | US        |  11000000 | NS      | $8767880.00   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C           | CUSIP: 00075WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1964181 | PA      | $1166696.97   | 0.04%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT1                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT1 A3D          | CUSIP: 00075QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3913000 | PA      | $3708382.19   | 0.12%             | 2036-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A2           | CUSIP: 00075XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1314533 | PA      | $1191701.96   | 0.04%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                        | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M3           | CUSIP: 04541GUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2510497 | PA      | $2454100.54   | 0.08%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE2                                        | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE2 M1           | CUSIP: 04541GHW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749570 | PA      | $696090.81    | 0.02%             | 2034-04-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE3                                        | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1           | CUSIP: 04541GJT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2620531 | PA      | $2431825.23   | 0.08%             | 2034-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2002-HE2                  | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE2 B            | CUSIP: 045413CW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365160 | PA      | $335222.83    | 0.01%             | 2032-08-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEVON ENERGY CORPORATION SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-7023.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEVON ENERGY CORPORATION SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-8787.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ENERGY TRANSFER LP  SNR S* ICE                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $8020.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $21065.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | GENERAL ELECTRIC COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $3551.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | GENERAL MOTORS COMPANY SNR S* ICE                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $607607.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                                      | AT+T INC SR UNSECURED 09/55 3.55                           | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     60000 | PA      | $40304.42     | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                      | AT+T INC SR UNSECURED 09/59 3.65                           | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     98000 | PA      | $66047.01     | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                      | AT+T INC SR UNSECURED 12/57 3.8                            | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    602000 | PA      | $418131.09    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2017-8A                                            | ATLAS SENIOR LOAN FUND LTD ATCLO 2017 8A A 144A            | CUSIP: 04943AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6856800 | PA      | $6784061.50   | 0.21%             | 2030-01-16      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | HESS CORPORATION SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1810.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $20418.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-4847.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATRIUM XII 12A                                                                | ATRIUM CDO CORP ATRM 12A AR 144A                           | CUSIP: 04965CAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1589328 | PA      | $1573277.27   | 0.05%             | 2027-04-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-34028.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $4355.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVALONBAY COMMUNITIES INC                                                     | AVALONBAY COMMUNITIES SR UNSECURED 01/31 2.45              | CUSIP: 05348EBH1<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2114866.55   | 0.07%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                    | AVIATION CAPITAL GROUP SR UNSECURED 144A 11/27 3.5         | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $437505.46    | 0.01%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                    | AVIATION CAPITAL GROUP SR UNSECURED 144A 12/24 5.5         | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1474597.92   | 0.05%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)                                 | PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 02/24 5.5        | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    699000 | PA      | $690197.04    | 0.02%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-216314.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-71572.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-138576.83   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 02/25 2.875     | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3900000 | PA      | $3605740.55   | 0.11%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 07/24 3.95      | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3500000 | PA      | $3352545.81   | 0.10%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1993000 | PA      | $1595931.08   | 0.05%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                                | AVOLON TLB BORROWER 1 (US) LLC 2021 TERM LOAN B5           | CUSIP: 05400KAH3<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |   1280402 | PA      | $1279832.24   | 0.04%             | 2027-12-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | STELLANTIS NV SNR SE ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |         1 | NC      | $110376.52    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BACARDI LIMITED                                                               | BACARDI LTD COMPANY GUAR 144A 05/25 4.45                   | CUSIP: 067316AE9<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |   5000000 | PA      | $4855992.50   | 0.15%             | 2025-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BACARDI LIMITED                                                               | BACARDI LTD COMPANY GUAR 144A 05/38 5.15                   | CUSIP: 067316AG4<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |   1200000 | PA      | $1089506.23   | 0.03%             | 2038-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BALLYS CORPORATION                                                            | TWIN RIVER WORLDWIDE HLDGS INC 2021 TERM LOAN B            | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |   3970000 | PA      | $3684160.00   | 0.11%             | 2028-10-02      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-09

**Name of Applicant:** PIMCO ETF Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer