# EDGAR Filing Document

**Accession Number:** 0000923084
**File Stem:** 0000923084-23-000017
**Filing Date:** 2023-1
**Character Count:** 756784
**Document Hash:** 9ac64b0dcb4c08fec10eb3d7040575c6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000923084-23-000017.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0000923084-23-000017

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price Spectrum Funds II, Inc.
- **CENTRAL INDEX KEY:** 0000923084
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07173
- **FILM NUMBER:** 23561255

**BUSINESS ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** T. Rowe Price Personal Strategy Funds, Inc.
- **DATE OF NAME CHANGE:** 20051028

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRICE T ROWE PERSONAL STRATEGY FUNDS INC
- **DATE OF NAME CHANGE:** 19940512

## Series and Classes Contracts Data

### T. Rowe Price Spectrum Conservative Allocation Fund (Series ID: S000002139)

| Class ID   | Class Name                                                  | Ticker Symbol   |
|:---|:---|:---|
| C000005534 | T. Rowe Price Spectrum Conservative Allocation Fund         | PRSIX           |
| C000169940 | T. Rowe Price Spectrum Conservative Allocation Fund-I Class | PPIPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE SPECTRUM FUNDS II, INC.

- **b. Investment Company Act file number:** 811-07173

- **c. CIK number of Registrant:** 0000923084

- **d. LEI of Registrant:** 549300A8BZJXQVJCNM56

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

  - **Street Address 1:** 100 East Pratt Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21202

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

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

- **a. Name of Series:** T. Rowe Price Spectrum Conservative Allocation Fund

- **b. EDGAR series identifier (if any):** S000002139

- **c. LEI of Series:** 123UYQVEAGVMJ6ZNXH55

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $2158109712.15

**Total Liabilities:** $29760258.22

**Net Assets:** $2128349453.93

**Assets Attributable to Miscellaneous Securities:** $288208.20

**Stand-by Commitments:** $22296154.15

**Cash Not Reported:** $133457.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -52.283447 | **1-Year:** -10962.727547 | **5-Year:** -64438.985571 | **10-Year:** -62785.032717 | **30-Year:** -5726.579100

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

- **3-Month:** 0.000000 | **1-Year:** -20.641284 | **5-Year:** -348.301209 | **10-Year:** -146.557917 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000005534 | -5.40%               | 1.72%                | 4.33%                |
| Class ID C000169940 | -5.40%               | 1.78%                | 4.34%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-7508780.85             | $-111580095.56                             |
| Month 2  | $-7845480.11             | $42486779.31                               |
| Month 3  | $-7567285.48             | $91412002.85                               |

**Designated Index Information**

- **Index Name:** Benchmark for PSFI

- **Index Identifier:** PSFI_BMRK

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                             | US ULTRA BOND CBT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         6 | NC      | $9239.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US ULTRA BOND CBT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        10 | NC      | $15398.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US ULTRA BOND CBT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        74 | NC      | $113950.71    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 10YR ULTRA FUT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        13 | NC      | $15740.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 10YR ULTRA FUT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        69 | NC      | $83543.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 10YR NOTE (CBT)MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $889.20       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        35 | NC      | $18295.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        40 | NC      | $20909.43     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        31 | NC      | $16204.81     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | SERVICETITAN INC PP                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       204 | NS      | $14057.64     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | GRASSHOPPER BANCORP VOTING SHS PP                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4129 | NS      | $16516.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CAVA GROUP SER F CVT PFD STOCK PP                                               | CUSIP: TC9O58TL3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      2763 | NS      | $161524.98    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Sound Bank                                                                      | DOGWOOD ST BANK WTS 5/24 PP                                                     | CUSIP: 000000000<br>LEI: 549300D3SGJ9UCUF2779 | Long             | EC               | CORP              | US        |       360 | NS      | $2905.20      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | FLAME BIOSCIENCES INC PP                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3075 | NS      | $14114.25     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | SOCURE SERIES E CVT PFD STOCK PP                                                | CUSIP: TC9LW24E5<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      2353 | NS      | $17600.44     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | HONOR TECHNOLOGY SER D CVT PFD PP                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     34928 | NS      | $100941.92    | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Sound Bank                                                                      | DOGWOOD STATE BANK PP                                                           | CUSIP: 000000000<br>LEI: 549300D3SGJ9UCUF2779 | Long             | EC               | CORP              | US        |      1185 | NS      | $21330.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | PLEX SYSTEMS AMOUNT HELD IN ESCROW PP                                           | CUSIP: TC9IQFPL1<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |       245 | NS      | $241.33       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | KOBOLD METALS SER B-1 CVT PFD STOCK PP                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1739 | NS      | $47667.56     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | 1661 INC D/B/A GOAT SER F CVT PFD STOCK                                         | CUSIP: TC912VAO9<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     14624 | NS      | $26908.16     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | THEMIS SOL (CLIO) SR B CVT PFD STOCK PP                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        20 | NS      | $406.00       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | SOCURE SERIES A-1 CVT PFD STOCK PP                                              | CUSIP: TC8GIS7E3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1015 | NS      | $7592.20      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | SOCURE INC PP                                                                   | CUSIP: TC7Z586M3<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1018 | NS      | $7614.64      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | THEMIS SOL (CLIO) SR AA CVT PFD STOCK PP                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       220 | NS      | $4466.00      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Sound Bank                                                                      | DOGWOOD ST BANK NON-VOTING COMMON STK PP                                        | CUSIP: 000000000<br>LEI: 549300D3SGJ9UCUF2779 | Long             | EC               | CORP              | US        |      2412 | NS      | $43416.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | BLACKSTONE PARTNERS OFFSHORE FD-E1                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     61990 | NS      | $134052213.09 | 6.30%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                             | INSCRIPTA SERIES E CVT PFD STOCK PP                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      5249 | NS      | $29289.42     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | NURO SERIES D CVT PFD STOCK PP                                                  | CUSIP: TC7AXBYR8<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      2102 | NS      | $29175.76     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CHECKR INC                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      6984 | NS      | $53776.80     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CRB Group Inc                                                                   | CRB GROUP                                                                       | CUSIP: TC6YQ2VO5<br>LEI: 549300BLONX7RHTYWF68 | Long             | EP               | CORP              | US        |       699 | NS      | $73492.86     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | DATABRICKS SER G CVY PFD STCK PP                                                | CUSIP: TC6XLXUH0<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1581 | NS      | $73880.13     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CELLINK CORP SERIES D CVT PFD STOCK PP                                          | CUSIP: TC6UJP4F9<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      2189 | NS      | $45583.52     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| PAX Labs Inc                                                                    | PAX LABS CLASS A COMMON PP                                                      | CUSIP: 000000000<br>LEI: 549300FKJA0AEKUHVG68 | Long             | EC               | CORP              | US        |     30352 | NS      | $20032.32     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | ABL SPACE SYSTEMS SER B CVT PFD STOCK PP                                        | CUSIP: TC6KIBHA0<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1042 | NS      | $70851.94     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | EPIRUS INC SERIERS C-2 CVT PFD STOCK PP                                         | CUSIP: TC6I72JG2<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     16618 | NS      | $92791.59     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | GUSTO INC PP                                                                    | CUSIP: TC6CSL955<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3136 | NS      | $59050.88     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | HAUL HUB SERIES C CVT PFD STOCK PP                                              | CUSIP: TC65RM9G5<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       777 | NS      | $14661.99     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | SOCURE SERIES B CVT PFD STOCK PP                                                | CUSIP: TC60C9PB4<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        18 | NS      | $134.64       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | GRASSHOPPER BANCORP WTS 10/28 PP                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       803 | NS      | $578.16       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | SILA NANO SER F CVT PFD STOCK PP                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1910 | NS      | $59534.70     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Seismic Software Inc                                                            | SEISMIC SOFTWARE SER F CVT PFD STOCK PP                                         | CUSIP: 000000000<br>LEI: 254900747XH47G3UTN18 | Long             | EP               | CORP              | US        |       705 | NS      | $7296.75      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CHECKR INC CVT PFD SR D PP                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      9798 | NS      | $75444.60     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CAVA GROUP SER E CVT PFD                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      6334 | NS      | $370285.64    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | ROVER GROUP EARNOUT SHS 16.00 PP                                                | CUSIP: TC5I02VQ4<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6383 | NS      | $205.49       | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| N/A                                                                             | SERVICETITAN INC SR A-1 CVT PFD STOCK PP                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |         3 | NS      | $206.73       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | SERVICETITAN INC SR F CVT PFD STOCK PP                                          | CUSIP: TC55OKSU1<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        75 | NS      | $5168.25      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Ant Group Co Ltd                                                                | ANT International                                                               | CUSIP: 000000000<br>LEI: 30030071TC2VB5OCSC22 | Long             | EC               | CORP              | US        |    126309 | NS      | $179358.78    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CONVOY SERIES D CVT PFD STOCK PP                                                | CUSIP: TC4TYZUT6<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      6236 | NS      | $32302.48     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | HAUL HUB SER B CVT PFD STOCK PP                                                 | CUSIP: TC4OO9IF0<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      2473 | NS      | $46665.51     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | PLEX SYSTEMS HOLD BACK AMOUNT PP                                                | CUSIP: TC4N9R779<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |      1715 | NS      | $1629.25      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FARMERS BUSINESS NETWORK INC                                                    | FARMERS BUSINESS NETWORK INC CVT SR D PP                                        | CUSIP: 000000000<br>LEI: 5493003KO0NA75DM0Y81 | Long             | EP               | CORP              | US        |      5409 | NS      | $336211.54    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CRB Group Inc                                                                   | CRB GROUP INC PP                                                                | CUSIP: TC3WQ1RM3<br>LEI: 549300BLONX7RHTYWF68 | Long             | EC               | CORP              | US        |       199 | NS      | $20922.86     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | FLEXE SERIES D CVT PFD STOCK PP                                                 | CUSIP: TC3VQOQZ7<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1206 | NS      | $24595.90     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | SOCURE SERIES A CVT PFD STOCK PP                                                | CUSIP: TC3RC4MW6<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1237 | NS      | $9252.76      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Venture Global LNG Inc                                                          | VENTURE GLOBAL LNG INC SR B PP                                                  | CUSIP: 000000000<br>LEI: 54930011XLBUWMQUC829 | Long             | EC               | CORP              | US        |         3 | NS      | $44385.72     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | FLEXE SERIES C CVT PFD STOCK                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      3599 | NS      | $73400.20     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Scholar Rock Holding Corp                                                       | SCHOLAR ROCK WTS 12.25 PP                                                       | CUSIP: TC2K72CM5<br>LEI: 549300Z1FLPGL4OWJ459 | Long             | EC               | CORP              | US        |       740 | NS      | $3396.90      | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| N/A                                                                             | DATABRICKS SER H CVT PFD STOCK PP                                               | CUSIP: TC2K5K6F9<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      3552 | NS      | $165984.96    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CONVOY SERIES C CVT PFD STOCK PP                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      9621 | NS      | $49836.78     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | REDWOOD MATERIALS SER C CVT STOCK PP                                            | CUSIP: TC25HIZF2<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1182 | NS      | $92196.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | THEMIS SOL (CLIO) SR E CVT PFD STOCK PP                                         | CUSIP: TC1Y9MK33<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      2730 | NS      | $55419.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | NATIONAL RESILIENCE SER C CVT PFD STOCK                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      2075 | NS      | $126014.75    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SecurityScorecard Inc                                                           | SECURITYSCORECARD SER E CVT PFD STOCK PP                                        | CUSIP: TC1O63I58<br>LEI: 5493003XGHFYU1H38919 | Long             | EP               | CORP              | US        |      8514 | NS      | $41548.32     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | NATIONAL RESILIENCE SER B CVT PFD STOCK                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      4451 | NS      | $270309.23    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Venture Global LNG Inc                                                          | VENTURE GLOBAL LNG INC SR C PP                                                  | CUSIP: 000000000<br>LEI: 54930011XLBUWMQUC829 | Long             | EC               | CORP              | US        |        37 | NS      | $547423.88    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CANVA COMMON STOCK PP                                                           | CUSIP: TC1HS9QX6<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       166 | NS      | $91598.80     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CLEERLY SER C CVT PFD STK PP                                                    | CUSIP: TC1A1CZJ4<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      3497 | NS      | $41196.76     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | GUSTO INC SER E CVT PFD PP                                                      | CUSIP: TC18PZKC3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      4351 | NS      | $81929.33     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | NURO SERIES C CVT PFD STOCK                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      7799 | NS      | $108250.12    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CARIS LIFE SER D CVT PFD STOCK PP                                               | CUSIP: TC13PNHL5<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      7833 | NS      | $51541.14     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Seismic Software Inc                                                            | SEISMIC SOFTWARE SER E CVT PFD STOCK PP                                         | CUSIP: 000000000<br>LEI: 254900747XH47G3UTN18 | Long             | EP               | CORP              | US        |      9270 | NS      | $95944.50     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CARIS LIFE SCIENCES SER C CVT PFD PP                                            | CUSIP: TC104V422<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     14745 | NS      | $97022.10     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | THEMIS SOL (CLIO) SR AB CVT PFD STOCK PP                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        20 | NS      | $406.00       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CHECKR INC COMMON STOCK PP                                                      | CUSIP: TC0RNCX31<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4755 | NS      | $36613.50     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | CANVA SERIES A CVT PFD STOCK PP                                                 | CUSIP: TC0R8VGD3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        10 | NS      | $5518.00      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | SERVICETITAN INC SR D CVT PFD STOCK PP                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1534 | NS      | $105707.94    | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | THEMIS SOLUTION INC PP                                                          | CUSIP: TC0IKXPT0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       960 | NS      | $19488.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | KARDIUM SERIES D6 CVT PFD STOCK PP                                              | CUSIP: TC0GUUWU8<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     44249 | NS      | $44949.90     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Mexico Government International Bond                                            | ICE_MEXICO CDS 12/20/2027                                                       | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-56722.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Indonesia Treasury Bond                                                         | ICE_INDONESIA CDS 12/20/2027                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | N/A              | DCR              | CORP              | US        |         1 | NC      | $11481.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | BARCLAYS BANK PLC SNR OPCO CDS 06/20/2024                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $582.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | MSCI EAFE DEC22                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       -53 | NC      | $-374923.78   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | LONG GILT FUTURE MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |       -36 | NC      | $7033.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | S&P500 EMINI FUT DEC22                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        17 | NC      | $133763.46    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | S&P500 EMINI FUT DEC22                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       170 | NC      | $1337634.60   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ING Groep NV                                                                    | ING GROEP NV                                                                    | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | EC               | CORP              | NL        |    174596 | NS      | $2117295.23   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Johnson Matthey PLC                                                             | JOHNSON MATTHEY PLC                                                             | CUSIP: 000000000<br>LEI: 2138001AVBSD1HSC6Z10 | Long             | EC               | CORP              | GB        |     34911 | NS      | $886223.14    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Adyen NV                                                                        | ADYEN NV                                                                        | CUSIP: 000000000<br>LEI: 724500973ODKK3IFQ447 | Long             | EC               | CORP              | NL        |       633 | NS      | $997176.81    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Linde PLC                                                                       | LINDE PLC                                                                       | CUSIP: 000000000<br>LEI: 8945002PAZHZLBGKGF02 | Long             | EC               | CORP              | IE        |      4067 | NS      | $1368464.16   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Covestro AG                                                                     | COVESTRO AG                                                                     | CUSIP: 000000000<br>LEI: 3912005AWHKLQ1CPLV11 | Long             | EC               | CORP              | DE        |     18852 | NS      | $757628.39    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Direct Line Insurance Group PLC                                                 | DIRECT LINE INSURANCE GROUP PLC                                                 | CUSIP: 000000000<br>LEI: 213800FF2R23ALJQOP04 | Long             | EC               | CORP              | GB        |    179320 | NS      | $453791.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Svenska Handelsbanken AB                                                        | SVENSKA HANDELSBANKEN AB                                                        | CUSIP: 000000000<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | EC               | CORP              | SE        |    125309 | NS      | $1272869.94   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| South32 Ltd                                                                     | SOUTH32 LTD                                                                     | CUSIP: 000000000<br>LEI: 213800LAZNPXSBKVHR17 | Long             | EC               | CORP              | AU        |    272926 | NS      | $758060.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TechnoPro Holdings Inc                                                          | TECHNOPRO HOLDINGS INC                                                          | CUSIP: 000000000<br>LEI: 3538001DJ8I5PJQNHU53 | Long             | EC               | CORP              | JP        |     37700 | NS      | $1056313.87   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Zalando SE                                                                      | ZALANDO SE                                                                      | CUSIP: 000000000<br>LEI: 529900YRFFGH5AXU4S86 | Long             | EC               | CORP              | DE        |     18283 | NS      | $575052.06    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Recruit Holdings Co Ltd                                                         | RECRUIT HOLDINGS CO LTD                                                         | CUSIP: 000000000<br>LEI: 353800R2LRSMVVC4I806 | Long             | EC               | CORP              | JP        |     35500 | NS      | $1148611.87   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomad Foods Ltd                                                                 | NOMAD FOODS LTD                                                                 | CUSIP: 000000000<br>LEI: 5493000ZZ1837DS2SI43 | Long             | EC               | CORP              | VG        |     16527 | NS      | $289057.23    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Woodside Energy Group Ltd                                                       | WOODSIDE ENERGY GROUP LTD                                                       | CUSIP: 000000000<br>LEI: 2549005ZC5RXAOO7FH41 | Long             | EC               | CORP              | AU        |      7630 | NS      | $188737.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Melrose Industries PLC                                                          | MELROSE INDUSTRIES PLC                                                          | CUSIP: 000000000<br>LEI: 213800RGNXXZY2M7TR85 | Long             | EC               | CORP              | GB        |    612495 | NS      | $990865.20    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                                    | DNB BANK ASA                                                                    | CUSIP: 000000000<br>LEI: 549300GKFG0RYRRQ1414 | Long             | EC               | CORP              | NO        |     98923 | NS      | $1931584.61   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Bridgepoint Group PLC                                                           | BRIDGEPOINT GROUP LTD                                                           | CUSIP: 000000000<br>LEI: 213800KFNMVI8PDZX472 | Long             | EC               | CORP              | GB        |    169951 | NS      | $407026.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Definity Financial Corp                                                         | DEFINITY FINANCIAL CORP                                                         | CUSIP: 000000000<br>LEI: 984500D5F3FC49D00C44 | Long             | EC               | CORP              | CA        |     11522 | NS      | $341338.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Flagship Communities REIT                                                       | FLAGSHIP COMMUNITIES REIT                                                       | CUSIP: 000000000<br>LEI: 894500P7IQ2SJ1DF2L20 | Long             | EC               | CORP              | CA        |      3683 | NS      | $59664.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Tencent Holdings Ltd                                                            | TENCENT HOLDINGS LTD                                                            | CUSIP: 000000000<br>LEI: 254900N4SLUMW4XUYY11 | Long             | EC               | CORP              | KY        |     28290 | NS      | $1069823.57   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| dentalcorp Holdings Ltd                                                         | DENTALCORP HOLDINGS LTD                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |     12367 | NS      | $83387.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: —       |
| Scentre Group                                                                   | SCENTRE GROUP                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |    423101 | NS      | $862995.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Dr Martens PLC                                                                  | DR. MARTENS PLC                                                                 | CUSIP: 000000000<br>LEI: 213800QPT8YM6NQZPH28 | Long             | EC               | CORP              | GB        |    120238 | NS      | $298711.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Constellium SE                                                                  | CONSTELLIUM SE                                                                  | CUSIP: 000000000<br>LEI: 724500KRJEMC79KAAU28 | Long             | EC               | CORP              | FR        |     29763 | NS      | $370549.35    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Netflix Inc                                                                     | NETFLIX INC                                                                     | CUSIP: AV1834432<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    655000 | PA      | $680713.75    | 0.03%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| XP Inc                                                                          | XP INC                                                                          | CUSIP: 000000000<br>LEI: 5493008KDA8NBZRJST80 | Long             | EC               | CORP              | KY        |     22870 | NS      | $400453.70    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Westlake Corp                                                                   | WESTLAKE CORP                                                                   | CUSIP: AZ5984929<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    215000 | PA      | $186757.78    | 0.01%             | 2029-07-17      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Alcon Inc                                                                       | ALCON INC                                                                       | CUSIP: 000000000<br>LEI: 549300LDT5AP8S0NBM78 | Long             | EC               | CORP              | CH        |      7670 | NS      | $528920.39    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Dr Ing hc F Porsche AG                                                          | DR ING HC F PORSCHE AG                                                          | CUSIP: 000000000<br>LEI: 529900EWEX125AULXI58 | Long             | EP               | CORP              | DE        |     10511 | NS      | $1190026.83   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Clarivate PLC                                                                   | CLARIVATE PLC                                                                   | CUSIP: 000000000<br>LEI: 549300WDHIIODXFO0R55 | Long             | EC               | CORP              | JE        |     28657 | NS      | $280552.03    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Kookmin Bank                                                                    | KOOKMIN BANK                                                                    | CUSIP: AW6616543<br>LEI: 549300XXMOJSIW8P4769 | Long             | DBT              | CORP              | KR        |    650000 | PA      | $608065.99    | 0.03%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Volkswagen Bank GmbH                                                            | VOLKSWAGEN BANK GMBH                                                            | CUSIP: AW8992017<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |    400000 | PA      | $395361.40    | 0.02%             | 2026-07-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Akzo Nobel NV                                                                   | AKZO NOBEL NV                                                                   | CUSIP: 000000000<br>LEI: 724500XYIJUGXAA5QD70 | Long             | EC               | CORP              | NL        |     14374 | NS      | $1034204.14   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Moncler SpA                                                                     | MONCLER SPA                                                                     | CUSIP: 000000000<br>LEI: 815600EBD7FB00525B20 | Long             | EC               | CORP              | IT        |     19824 | NS      | $1033306.85   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Essent Group Ltd                                                                | ESSENT GROUP LTD                                                                | CUSIP: 000000000<br>LEI: 254900QUO860OUT6ZF83 | Long             | EC               | CORP              | BM        |      4370 | NS      | $175193.30    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Great Portland Estates PLC                                                      | GREAT PORTLAND ESTATES PLC                                                      | CUSIP: 000000000<br>LEI: 213800JMEDD2Q4N1MC42 | Long             | EC               | CORP              | GB        |     85119 | NS      | $513648.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Umicore SA                                                                      | UMICORE SA                                                                      | CUSIP: 000000000<br>LEI: 529900F3AIQECS8ZSV61 | Long             | EC               | CORP              | BE        |     20705 | NS      | $747229.48    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ERO Copper Corp                                                                 | ERO COPPER CORP                                                                 | CUSIP: 000000000<br>LEI: 549300KL8A21SEIO8I47 | Long             | EC               | CORP              | CA        |      9210 | NS      | $116601.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| National Grid PLC                                                               | NATIONAL GRID PLC                                                               | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | EC               | CORP              | GB        |     98636 | NS      | $1213329.17   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CRISPR Therapeutics AG                                                          | CRISPR THERAPEUTICS AG                                                          | CUSIP: 000000000<br>LEI: 506700O6IRRIQLT3W370 | Long             | EC               | CORP              | CH        |      1974 | NS      | $108155.46    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Compass Group PLC                                                               | COMPASS GROUP PLC                                                               | CUSIP: 000000000<br>LEI: 2138008M6MH9OZ6U2T68 | Long             | EC               | CORP              | GB        |     70709 | NS      | $1612019.43   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Siemens Healthineers AG                                                         | SIEMENS HEALTHINEERS AG                                                         | CUSIP: 000000000<br>LEI: 529900QBVWXMWANH7H45 | Long             | EC               | CORP              | DE        |     27579 | NS      | $1469922.81   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| S&P 500 INDEX                                                                   | SPX US 12/16/22 C3875                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      -162 | NC      | $-3666870.00  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| KION Group AG                                                                   | KION GROUP AG                                                                   | CUSIP: 000000000<br>LEI: 5299005KY91C4C6U9H17 | Long             | EC               | CORP              | DE        |     17829 | NS      | $510010.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ASML Holding NV                                                                 | ASML HOLDING NV                                                                 | CUSIP: 000000000<br>LEI: 724500Y6DUVHQD6OXN27 | Long             | EC               | CORP              | NL        |      4719 | NS      | $2881044.62   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Prothena Corp PLC                                                               | PROTHENA CORP PLC                                                               | CUSIP: 000000000<br>LEI: 5299009ZXQ8NIIJ8OL30 | Long             | EC               | CORP              | IE        |      2162 | NS      | $135146.62    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ASML Holding NV                                                                 | ASML HOLDING NV                                                                 | CUSIP: 000000000<br>LEI: 724500Y6DUVHQD6OXN27 | Long             | EC               | CORP              | NL        |      5349 | NS      | $3252833.88   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Corp PLC                                                                  | EATON CORP PLC                                                                  | CUSIP: 000000000<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | IE        |     23433 | NS      | $3830123.85   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| TMX Group Ltd                                                                   | TMX GROUP LTD                                                                   | CUSIP: 000000000<br>LEI: 549300N65GFVKSHGJW59 | Long             | EC               | CORP              | CA        |      2439 | NS      | $255731.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WPP PLC                                                                         | WPP PLC                                                                         | CUSIP: 000000000<br>LEI: 549300LSGBXPYHXGDT93 | Long             | EC               | CORP              | JE        |    122169 | NS      | $1283956.93   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp                                                   | ELEMENT FLEET MANAGEMENT CORP                                                   | CUSIP: 000000000<br>LEI: 5493000PGBS1C22ELQ16 | Long             | EC               | CORP              | CA        |    112084 | NS      | $1588165.66   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Altus Group Ltd/Canada                                                          | ALTUS GROUP LTD/CANADA                                                          | CUSIP: 000000000<br>LEI: 54930041VO1EIY4IV355 | Long             | EC               | CORP              | CA        |      2383 | NS      | $94299.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TE Connectivity Ltd                                                             | TE CONNECTIVITY LTD                                                             | CUSIP: 000000000<br>LEI: 894500ZRIX9K13RHXR17 | Long             | EC               | CORP              | CH        |      9750 | NS      | $1229670.00   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Otsuka Holdings Co Ltd                                                          | OTSUKA HOLDINGS CO LTD                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     25100 | NS      | $860160.35    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NXP Semiconductors NV                                                           | NXP SEMICONDUCTORS NV                                                           | CUSIP: 000000000<br>LEI: 724500M9BY5293JDF951 | Long             | EC               | CORP              | NL        |      9116 | NS      | $1602957.44   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| AIA Group Ltd                                                                   | AIA GROUP LTD                                                                   | CUSIP: 000000000<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | EC               | CORP              | HK        |     51400 | NS      | $521946.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Julius Baer Group Ltd                                                           | JULIUS BAER GROUP LTD                                                           | CUSIP: 000000000<br>LEI: 5299007MF0604ZGJER92 | Long             | EC               | CORP              | CH        |     20662 | NS      | $1190179.71   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Samsonite International SA                                                      | SAMSONITE INTERNATIONAL SA                                                      | CUSIP: 000000000<br>LEI: 549300UULS5HYFJSEL12 | Long             | EC               | CORP              | LU        |    197100 | NS      | $534260.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Accenture PLC                                                                   | ACCENTURE PLC                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |      2802 | NS      | $843205.86    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Stroeer SE & Co KGaA                                                            | STROEER SE & CO KGAA                                                            | CUSIP: 000000000<br>LEI: 529900MBF3N1ATE55378 | Long             | EC               | CORP              | DE        |      7368 | NS      | $338521.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Amadeus IT Group SA                                                             | AMADEUS IT GROUP SA                                                             | CUSIP: 000000000<br>LEI: 9598004A3FTY3TEHHN09 | Long             | EC               | CORP              | ES        |     14352 | NS      | $775976.95    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Welcia Holdings Co Ltd                                                          | WELCIA HOLDINGS CO LTD                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     18900 | NS      | $416882.31    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chubb Ltd                                                                       | CHUBB LTD                                                                       | CUSIP: 000000000<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |     31957 | NS      | $7017437.63   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Franco-Nevada Corp                                                              | FRANCO-NEVADA CORP                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |       626 | NS      | $91441.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd                                                             | MACQUARIE GROUP LTD                                                             | CUSIP: 000000000<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | EC               | CORP              | AU        |      7857 | NS      | $966265.90    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Air Liquide SA                                                                  | AIR LIQUIDE SA                                                                  | CUSIP: 000000000<br>LEI: 969500MMPQVHK671GT54 | Long             | EC               | CORP              | FR        |      9508 | NS      | $1384280.28   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Prysmian SpA                                                                    | PRYSMIAN SPA                                                                    | CUSIP: 000000000<br>LEI: 529900X0H1IO3RS1A464 | Long             | EC               | CORP              | IT        |     35545 | NS      | $1252634.73   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Wilmar International Ltd                                                        | WILMAR INTERNATIONAL LTD                                                        | CUSIP: 000000000<br>LEI: 549300H2EAI4YRLWBB20 | Long             | EC               | CORP              | SG        |    443000 | NS      | $1343854.71   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| TotalEnergies SE                                                                | TOTALENERGIES SE                                                                | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |     45551 | NS      | $2846941.87   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Legrand SA                                                                      | LEGRAND SA                                                                      | CUSIP: 000000000<br>LEI: 969500XXRPGD7HCAFA90 | Long             | EC               | CORP              | FR        |     15483 | NS      | $1261568.66   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Unilever PLC                                                                    | UNILEVER PLC                                                                    | CUSIP: 000000000<br>LEI: 549300MKFYEKVRWML317 | Long             | EC               | CORP              | GB        |     60209 | NS      | $3010518.90   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Ipsen SA                                                                        | IPSEN SA                                                                        | CUSIP: 000000000<br>LEI: 549300M6SGDPB4Z94P11 | Long             | EC               | CORP              | FR        |      3416 | NS      | $381858.54    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Elekta AB                                                                       | ELEKTA AB                                                                       | CUSIP: 000000000<br>LEI: 54930044O54BK617EP80 | Long             | EC               | CORP              | SE        |     93913 | NS      | $558919.52    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Seven & i Holdings Co Ltd                                                       | SEVEN & I HOLDINGS CO LTD                                                       | CUSIP: 000000000<br>LEI: 52990037G8JRM3TWGY86 | Long             | EC               | CORP              | JP        |     41600 | NS      | $1692664.49   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Engie SA                                                                        | ENGIE SA                                                                        | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | EC               | CORP              | FR        |    135840 | NS      | $2065011.61   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Rentokil Initial PLC                                                            | RENTOKIL INITIAL PLC                                                            | CUSIP: 000000000<br>LEI: 549300VN4WV7Z6T14K68 | Long             | EC               | CORP              | GB        |     58510 | NS      | $385449.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bunzl PLC                                                                       | BUNZL PLC                                                                       | CUSIP: 000000000<br>LEI: 213800Q1Q9DV4L78UM09 | Long             | EC               | CORP              | GB        |     20523 | NS      | $759002.11    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Safran SA                                                                       | SAFRAN SA                                                                       | CUSIP: 000000000<br>LEI: 969500UIC89GT3UL7L24 | Long             | EC               | CORP              | FR        |      8096 | NS      | $1000549.81   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Electric Power Development Co Ltd                                               | ELECTRIC POWER DEVELOPMENT CO LTD                                               | CUSIP: 000000000<br>LEI: 549300KMHPUAQI8VEH90 | Long             | EC               | CORP              | JP        |     39200 | NS      | $604823.49    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Ping An Insurance Group Co of China Ltd                                         | PING AN INSURANCE GROUP CO OF CHINA LTD                                         | CUSIP: 000000000<br>LEI: 529900M9MC28JLN35U89 | Long             | EC               | CORP              | CN        |     67000 | NS      | $413658.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Zoetis Inc                                                                      | ZOETIS INC                                                                      | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |      9176 | NS      | $1414388.64   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Zentalis Pharmaceuticals Inc                                                    | ZENTALIS PHARMACEUTICALS INC                                                    | CUSIP: 98943L107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3692 | NS      | $81667.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Yum  Brands Inc                                                                 | YUM! BRANDS INC                                                                 | CUSIP: 988498101<br>LEI: 549300JE8XHZZ7OHN517 | Long             | EC               | CORP              | US        |      8721 | NS      | $1122043.86   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Xometry Inc                                                                     | XOMETRY INC                                                                     | CUSIP: 98423F109<br>LEI: 5493006JFRGU7YRRXE44 | Long             | EC               | CORP              | US        |      5945 | NS      | $251057.35    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Xencor Inc                                                                      | XENCOR INC                                                                      | CUSIP: 98401F105<br>LEI: 549300V5IF65437JKG30 | Long             | EC               | CORP              | US        |      6837 | NS      | $203195.64    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Xcel Energy Inc                                                                 | XCEL ENERGY INC                                                                 | CUSIP: 98389BAY6<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    475000 | PA      | $424296.13    | 0.02%             | 2030-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                                                 | XCEL ENERGY INC                                                                 | CUSIP: 98389B100<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | EC               | CORP              | US        |      9406 | NS      | $660489.32    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Xcel Energy Inc                                                                 | XCEL ENERGY INC                                                                 | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    210000 | PA      | $200410.14    | 0.01%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Wyndham Hotels & Resorts Inc                                                    | WYNDHAM HOTELS & RESORTS INC                                                    | CUSIP: 98311A105<br>LEI: 549300FE3MQ4RVXXC673 | Long             | EC               | CORP              | US        |      3600 | NS      | $263952.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Worldwide Plaza Trust 2017-WWP                                                  | WORLDWIDE PLAZA TRUST 2017-WWP                                                  | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102474 | PA      | $88511.02     | 0.00%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Workiva Inc                                                                     | WORKIVA INC                                                                     | CUSIP: 98139A105<br>LEI: 529900RTOQ8GRWHY1O58 | Long             | EC               | CORP              | US        |      5480 | NS      | $441468.80    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Workday Inc                                                                     | WORKDAY INC                                                                     | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    105000 | PA      | $96786.17     | 0.00%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Woodside Finance Ltd                                                            | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AP8<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    750000 | PA      | $675000.00    | 0.03%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Woodside Finance Ltd                                                            | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AN3<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    438000 | PA      | $409530.00    | 0.02%             | 2026-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Woodside Finance Ltd                                                            | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AM5<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   1345000 | PA      | $1291041.29   | 0.06%             | 2025-03-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| WillScot Mobile Mini Holdings Corp                                              | WILLSCOT MOBILE MINI HOLDINGS CORP                                              | CUSIP: 971378104<br>LEI: 549300HJ4VIXF476Q166 | Long             | EC               | CORP              | US        |      3100 | NS      | $149451.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Williams Cos Inc/The                                                            | WILLIAMS COS INC/THE                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $950580.26    | 0.04%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Weyerhaeuser Co                                                                 | WEYERHAEUSER CO                                                                 | CUSIP: 962166104<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | EC               | CORP              | US        |     36001 | NS      | $1177592.71   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Western Alliance Bancorp                                                        | WESTERN ALLIANCE BANCORP                                                        | CUSIP: 957638109<br>LEI: 5493003VJXZ5JXT9S762 | Long             | EC               | CORP              | US        |      9209 | NS      | $631184.86    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2021-SAVE                                 | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-SAVE                                 | CUSIP: 95003LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299977 | PA      | $267870.58    | 0.01%             | 2040-02-15      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2021-RR1 Trust                           | WELLS FARGO MORTGAGE BACKED SECURITIES 2021-RR1 TRUST                           | CUSIP: 95003JAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    727570 | PA      | $577119.46    | 0.03%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2019-JWDR                                 | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR                                 | CUSIP: 95002NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245000 | PA      | $212327.00    | 0.01%             | 2031-09-15      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C39                                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C39                                  | CUSIP: 95000XAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1335000 | PA      | $1188062.56   | 0.06%             | 2050-09-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2740000 | PA      | $2411895.96   | 0.11%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2333811.20   | 0.11%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $992530.50    | 0.05%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    370000 | PA      | $356488.71    | 0.02%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |    125660 | NS      | $6025397.00   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Wellfleet CLO 2017-2A Ltd                                                       | WELLFLEET CLO 2017-2A LTD                                                       | CUSIP: 94951MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    479129 | PA      | $471576.25    | 0.02%             | 2029-10-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Warby Parker Inc                                                                | WARBY PARKER INC                                                                | CUSIP: 93403J106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     19852 | NS      | $338079.56    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Walmart Inc                                                                     | WALMART INC                                                                     | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |     27960 | NS      | $4261663.20   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| WEC Energy Group Inc                                                            | WEC ENERGY GROUP INC                                                            | CUSIP: 92939U106<br>LEI: 549300IGLYTZUK3PVP70 | Long             | EC               | CORP              | US        |      3689 | NS      | $365727.46    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-C22                                        | WFRBS COMMERCIAL MORTGAGE TRUST 2014-C22                                        | CUSIP: 92890KBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $499303.51    | 0.02%             | 2057-09-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668BT8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $189850.40    | 0.01%             | 2029-06-08      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $168091.80    | 0.01%             | 2027-11-24      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668BB7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    970000 | PA      | $905972.24    | 0.04%             | 2026-09-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                              | VODAFONE GROUP PLC                                                              | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     99000 | PA      | $84031.20     | 0.00%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                              | VODAFONE GROUP PLC                                                              | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    255000 | PA      | $229178.96    | 0.01%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                              | VODAFONE GROUP PLC                                                              | CUSIP: 92857WBK5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    255000 | PA      | $252392.88    | 0.01%             | 2028-05-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                              | VODAFONE GROUP PLC                                                              | CUSIP: 92857W308<br>LEI: 213800TB53ELEUKM7Q61 | Long             | EC               | CORP              | GB        |     81314 | NS      | $913156.22    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAL6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    465000 | PA      | $454805.34    | 0.02%             | 2025-05-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    870000 | PA      | $830850.00    | 0.04%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                        | VISA INC                                                                        | CUSIP: 92826C839<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | EC               | CORP              | US        |     37043 | NS      | $8038331.00   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Vimeo Inc                                                                       | VIMEO INC                                                                       | CUSIP: 92719V100<br>LEI: 25490061AWYWC90UIJ68 | Long             | EC               | CORP              | US        |     19407 | NS      | $83061.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Verve Therapeutics Inc                                                          | VERVE THERAPEUTICS INC                                                          | CUSIP: 92539P101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3347 | NS      | $77750.81     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust 2021-5                                               | VERUS SECURITIZATION TRUST 2021-5                                               | CUSIP: 92538KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251461 | PA      | $195967.19    | 0.01%             | 2066-09-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2020-INV1                                            | VERUS SECURITIZATION TRUST 2020-INV1                                            | CUSIP: 92537TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $90991.47     | 0.00%             | 2060-03-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-4                                               | VERUS SECURITIZATION TRUST 2019-4                                               | CUSIP: 92537KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48345 | PA      | $45818.72     | 0.00%             | 2059-11-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-INV2                                            | VERUS SECURITIZATION TRUST 2019-INV2                                            | CUSIP: 92537HAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198611 | PA      | $191230.41    | 0.01%             | 2059-07-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Veritex Holdings Inc                                                            | VERITEX HOLDINGS INC                                                            | CUSIP: 923451108<br>LEI: 549300F3SMOML02SC814 | Long             | EC               | CORP              | US        |      8500 | NS      | $277610.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    872000 | PA      | $697127.38    | 0.03%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    890000 | PA      | $739331.90    | 0.03%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    315000 | PA      | $274987.13    | 0.01%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    440000 | PA      | $301676.76    | 0.01%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91641.00     | 0.00%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |     48457 | NS      | $1888853.86   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Veeva Systems Inc                                                               | VEEVA SYSTEMS INC                                                               | CUSIP: 922475108<br>LEI: 549300YZEXPDB92M2F02 | Long             | EC               | CORP              | US        |      3645 | NS      | $693862.20    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Vaxcyte Inc                                                                     | VAXCYTE INC                                                                     | CUSIP: 92243G108<br>LEI: 254900M7NMHTGASX8D95 | Long             | EC               | CORP              | US        |      1779 | NS      | $81940.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Utz Brands Inc                                                                  | UTZ BRANDS INC                                                                  | CUSIP: 918090101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     17052 | NS      | $325011.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Upwork Inc                                                                      | UPWORK INC                                                                      | CUSIP: 91688F104<br>LEI: 5493004QJ6WWBXVE2S70 | Long             | EC               | CORP              | US        |      7560 | NS      | $92610.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1032237.70   | 0.05%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |     21046 | NS      | $11528156.96  | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    415000 | PA      | $420252.34    | 0.02%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7215000 | PA      | $7302932.81   | 0.34%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2060000 | PA      | $1997234.38   | 0.09%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25260000 | PA      | $24529828.13  | 1.15%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3745000 | PA      | $3541365.63   | 0.17%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11995000 | PA      | $11219073.44  | 0.53%             | 2025-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4930000 | PA      | $4610320.31   | 0.22%             | 2024-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5710000 | PA      | $5325467.19   | 0.25%             | 2024-10-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6315000 | PA      | $6343614.84   | 0.30%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4175000 | PA      | $4339390.63   | 0.20%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11735000 | PA      | $10737525.00  | 0.50%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9160000 | PA      | $7840387.50   | 0.37%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND - WHEN ISSUED                                  | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6915000 | PA      | $6207292.97   | 0.29%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9340000 | PA      | $7762415.63   | 0.36%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United Airlines 2019-2 Class A Pass Through Trust                               | UNITED AIRLINES 2019-2 CLASS A PASS THROUGH TRUST                               | CUSIP: 90932MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    136227 | PA      | $110425.28    | 0.01%             | 2028-05-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United Airlines 2019-2 Class AA Pass Through Trust                              | UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     88452 | PA      | $72292.97     | 0.00%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                                              | UNION PACIFIC CORP                                                              | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |      6151 | NS      | $1337411.93   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Ultragenyx Pharmaceutical Inc                                                   | ULTRAGENYX PHARMACEUTICAL INC                                                   | CUSIP: 90400D108<br>LEI: 529900EV44GVDN1DCX77 | Long             | EC               | CORP              | US        |      2393 | NS      | $86865.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Ulta Beauty Inc                                                                 | ULTA BEAUTY INC                                                                 | CUSIP: 90384S303<br>LEI: 529900CIV6HN8M28YM82 | Long             | EC               | CORP              | US        |      2913 | NS      | $1354078.92   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| UWM Mortgage Trust 2021-INV2                                                    | UWM MORTGAGE TRUST 2021-INV2                                                    | CUSIP: 90354TAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406801 | PA      | $321436.00    | 0.02%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| US Physical Therapy Inc                                                         | US PHYSICAL THERAPY INC                                                         | CUSIP: 90337L108<br>LEI: 529900KL1UXQYFIOMY96 | Long             | EC               | CORP              | US        |      3115 | NS      | $269167.15    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| US Bancorp                                                                      | US BANCORP                                                                      | CUSIP: 902973304<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EC               | CORP              | US        |     42368 | NS      | $1923083.52   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $192309.00    | 0.01%             | 2028-05-12      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue 2017-280P Mortgage Trust                                        | 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                        | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369560 | PA      | $359131.94    | 0.02%             | 2034-09-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp                                                           | TRUIST FINANCIAL CORP                                                           | CUSIP: 89788MAG7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    490000 | PA      | $467339.46    | 0.02%             | 2028-06-06      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| TRK 2021-INV1 Trust                                                             | TRK 2021-INV1 TRUST                                                             | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262272 | PA      | $212950.76    | 0.01%             | 2056-07-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Inc                                                          | TRICON RESIDENTIAL INC                                                          | CUSIP: 89612W102<br>LEI: 984500EFFDE9C3A9G721 | Long             | EC               | CORP              | CA        |     30242 | NS      | $259173.94    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TreeHouse Foods Inc                                                             | TREEHOUSE FOODS INC                                                             | CUSIP: 89469A104<br>LEI: 5493007M7EVHE470Q576 | Long             | EC               | CORP              | US        |      4260 | NS      | $210571.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Travelers Cos Inc/The                                                           | TRAVELERS COS INC/THE                                                           | CUSIP: 89417E109<br>LEI: 549300Y650407RU8B149 | Long             | EC               | CORP              | US        |     27282 | NS      | $5178396.42   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Transurban Finance Co Pty Ltd                                                   | TRANSURBAN FINANCE CO PTY LTD                                                   | CUSIP: 89400PAK9<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    270000 | PA      | $213532.20    | 0.01%             | 2031-03-16      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Transurban Finance Co Pty Ltd                                                   | TRANSURBAN FINANCE CO PTY LTD                                                   | CUSIP: 89400PAG8<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    145000 | PA      | $132856.25    | 0.01%             | 2027-03-22      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TransUnion                                                                      | TRANSUNION                                                                      | CUSIP: 89400J107<br>LEI: 549300ZS772LUNUMRB03 | Long             | EC               | CORP              | US        |      5139 | NS      | $324168.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Transcontinental Gas Pipe Line Co LLC                                           | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $87718.20     | 0.00%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co LLC                                           | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $42695.55     | 0.00%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co LLC                                           | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    430000 | PA      | $405593.63    | 0.02%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-2                                                | TOWD POINT MORTGAGE TRUST 2017-2                                                | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8262 | PA      | $8136.11      | 0.00%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-1                                                | TOWD POINT MORTGAGE TRUST 2017-1                                                | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22671 | PA      | $22242.24     | 0.00%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-5                                                | TOWD POINT MORTGAGE TRUST 2017-5                                                | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39304 | PA      | $38667.82     | 0.00%             | 2057-02-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                                       | TORONTO-DOMINION BANK/THE                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    125000 | PA      | $119231.38    | 0.01%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Toro Co/The                                                                     | TORO CO/THE                                                                     | CUSIP: 891092108<br>LEI: YJKE4YIT6BWQHVEW0D14 | Long             | EC               | CORP              | US        |      3280 | NS      | $364047.20    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Toast Inc                                                                       | TOAST INC                                                                       | CUSIP: 888787108<br>LEI: 549300TN1PZNLCD4I551 | Long             | EC               | CORP              | US        |     26119 | NS      | $479544.84    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Thermon Group Holdings Inc                                                      | THERMON GROUP HOLDINGS INC                                                      | CUSIP: 88362T103<br>LEI: 529900ZNZBBLDE77MZ38 | Long             | EC               | CORP              | US        |      4344 | NS      | $88226.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Thermo Fisher Scientific Inc                                                    | THERMO FISHER SCIENTIFIC INC                                                    | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |      8814 | NS      | $4937779.08   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Texas Instruments Inc                                                           | TEXAS INSTRUMENTS INC                                                           | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |     20990 | NS      | $3787855.40   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Texas Capital Bancshares Inc                                                    | TEXAS CAPITAL BANCSHARES INC                                                    | CUSIP: 88224Q107<br>LEI: 549300466Q2SXRX0YM48 | Long             | EC               | CORP              | US        |      5887 | NS      | $353161.13    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Tetra Tech Inc                                                                  | TETRA TECH INC                                                                  | CUSIP: 88162G103<br>LEI: 549300UJ1LP7JGJC5P32 | Long             | EC               | CORP              | US        |      1586 | NS      | $245179.74    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Tesla Inc                                                                       | TESLA INC                                                                       | CUSIP: 88160R101<br>LEI: 54930043XZGB27CTOV49 | Long             | EC               | CORP              | US        |     29181 | NS      | $5681540.70   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Terreno Realty Corp                                                             | TERRENO REALTY CORP                                                             | CUSIP: 88146M101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3509 | NS      | $205767.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Tenaya Therapeutics Inc                                                         | TENAYA THERAPEUTICS INC                                                         | CUSIP: 87990A106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1032 | NS      | $2734.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Teleflex Inc                                                                    | TELEFLEX INC                                                                    | CUSIP: 879369106<br>LEI: UUL85LWXB4NGSWWXIQ25 | Long             | EC               | CORP              | US        |      1489 | NS      | $348604.68    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Teledyne Technologies Inc                                                       | TELEDYNE TECHNOLOGIES INC                                                       | CUSIP: 879360105<br>LEI: 549300VSMO9KYQWDND94 | Long             | EC               | CORP              | US        |      2086 | NS      | $876328.60    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| TC Energy Corp                                                                  | TC ENERGY CORP                                                                  | CUSIP: 87807B107<br>LEI: 549300UGKOFV2IWJJG27 | Long             | EC               | CORP              | CA        |     15862 | NS      | $705541.76    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp             | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP             | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $573000.00    | 0.03%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp             | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $168300.00    | 0.01%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co Ltd                                       | TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD                                       | CUSIP: 874039100<br>LEI: N/A                  | Long             | EC               | CORP              | TW        |      9408 | NS      | $780675.84    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Real Assets Fund Inc                                               | T ROWE PRICE REAL ASSETS FUND INC                                               | CUSIP: 87279W209<br>LEI: 5493008NLR7XEV5QEO07 | Long             | EC               | RF                | US        |   2989087 | NS      | $42654268.24  | 2.00%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Limited Duration Inflation Focused Bond Fund                       | T ROWE PR LTD DUR INFL FO-I                                                     | CUSIP: 872798202<br>LEI: 5493009ZRV6DHHWWGU69 | Long             | EC               | RF                | US        |     15092 | NS      | $70782.11     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| T-Mobile USA Inc                                                                | T-MOBILE USA INC                                                                | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    540000 | PA      | $465054.48    | 0.02%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                | T-MOBILE USA INC                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2140000 | PA      | $2024463.54   | 0.10%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Inc                                                                 | T-MOBILE US INC                                                                 | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |     15527 | NS      | $2351719.42   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| TJX Cos Inc/The                                                                 | TJX COS INC/THE                                                                 | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |     21629 | NS      | $1731401.45   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Symphony CLO XXXI Ltd                                                           | SYMPHONY CLO XXXI LTD                                                           | CUSIP: 87168YAE0<br>LEI: 549300OJB1EXT6QKOX87 | Long             | ABS-CBDO         | CORP              | BM        |    380000 | PA      | $361419.19    | 0.02%             | 2035-04-22      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                    | SYNOPSYS INC                                                                    | CUSIP: 871607107<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | EC               | CORP              | US        |      7791 | NS      | $2645356.14   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Stryker Corp                                                                    | STRYKER CORP                                                                    | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |      7140 | NS      | $1669974.60   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| StepStone Group Inc                                                             | STEPSTONE GROUP INC                                                             | CUSIP: 85914M107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10640 | NS      | $318987.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Stericycle Inc                                                                  | STERICYCLE INC                                                                  | CUSIP: 858912108<br>LEI: B8PTJH2P0AXSWSMP2136 | Long             | EC               | CORP              | US        |      7939 | NS      | $413860.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 85325WAA6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $184832.40    | 0.01%             | 2026-01-30      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    270000 | PA      | $255592.53    | 0.01%             | 2026-03-30      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1185000 | PA      | $1016188.46   | 0.05%             | 2028-01-12      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    275000 | PA      | $236203.83    | 0.01%             | 2027-01-14      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 853254BS8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    450000 | PA      | $403000.65    | 0.02%             | 2031-04-01      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Block Inc                                                                       | BLOCK INC                                                                       | CUSIP: 852234103<br>LEI: 549300OHIIUWSTIZME52 | Long             | EC               | CORP              | US        |     12155 | NS      | $823744.35    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Southwest Gas Holdings Inc                                                      | SOUTHWEST GAS HOLDINGS INC                                                      | CUSIP: 844895102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      8225 | NS      | $563083.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Southern Co/The                                                                 | SOUTHERN CO/THE                                                                 | CUSIP: 842587107<br>LEI: 549300FC3G3YU2FBZD92 | Long             | EC               | CORP              | US        |    102630 | NS      | $6941893.20   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Southern California Edison Co                                                   | SOUTHERN CALIFORNIA EDISON CO                                                   | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    315000 | PA      | $309968.82    | 0.01%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SouthState Corp                                                                 | SOUTHSTATE CORP                                                                 | CUSIP: 840441109<br>LEI: 549300JZUANXM0YQ4W53 | Long             | EC               | CORP              | US        |      4864 | NS      | $427302.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Snowflake Inc                                                                   | SNOWFLAKE INC                                                                   | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Long             | EC               | CORP              | US        |      3270 | NS      | $467283.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Skyline Champion Corp                                                           | SKYLINE CHAMPION CORP                                                           | CUSIP: 830830105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7165 | NS      | $372508.35    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Skechers USA Inc                                                                | SKECHERS USA INC                                                                | CUSIP: 830566105<br>LEI: 529900D2R54KZPA4XR56 | Long             | EC               | CORP              | US        |     10231 | NS      | $431441.27    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SiteOne Landscape Supply Inc                                                    | SITEONE LANDSCAPE SUPPLY INC                                                    | CUSIP: 82982L103<br>LEI: 5299008LX7SBD4HIAU03 | Long             | EC               | CORP              | US        |      4295 | NS      | $539151.35    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Simply Good Foods Co/The                                                        | SIMPLY GOOD FOODS CO/THE                                                        | CUSIP: 82900L102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4400 | NS      | $175560.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Signature Bank/New York NY                                                      | SIGNATURE BANK/NEW YORK NY                                                      | CUSIP: 82669G104<br>LEI: VLP5AP0XK2GM6GKD1007 | Long             | EC               | CORP              | US        |      3166 | NS      | $441657.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Shopify Inc                                                                     | SHOPIFY INC                                                                     | CUSIP: 82509L107<br>LEI: 549300HGQ43STJLLP808 | Long             | EC               | CORP              | CA        |     25887 | NS      | $1058260.56   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Shoals Technologies Group Inc                                                   | SHOALS TECHNOLOGIES GROUP INC                                                   | CUSIP: 82489W107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7120 | NS      | $206266.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Sherwin-Williams Co/The                                                         | SHERWIN-WILLIAMS CO/THE                                                         | CUSIP: 824348BJ4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    540000 | PA      | $476712.54    | 0.02%             | 2029-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co/The                                                         | SHERWIN-WILLIAMS CO/THE                                                         | CUSIP: 824348106<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | EC               | CORP              | US        |      8238 | NS      | $2052744.84   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| ServiceNow Inc                                                                  | SERVICENOW INC                                                                  | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |     12278 | NS      | $5111331.40   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| ServiceMaster Funding LLC                                                       | SERVICEMASTER FUNDING LLC                                                       | CUSIP: 81761TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523234 | PA      | $406514.46    | 0.02%             | 2051-07-30      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH4                                                 | SEQUOIA MORTGAGE TRUST 2018-CH4                                                 | CUSIP: 81747LAB7<br>LEI: 5493003EWUCLH0O45S72 | Long             | ABS-MBS          | CORP              | US        |      5876 | PA      | $5812.33      | 0.00%             | 2048-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH2                                                 | SEQUOIA MORTGAGE TRUST 2018-CH2                                                 | CUSIP: 81747EAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39817 | PA      | $37282.21     | 0.00%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH1                                                 | SEQUOIA MORTGAGE TRUST 2018-CH1                                                 | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |     15896 | PA      | $14450.88     | 0.00%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2017-CH2                                                 | SEQUOIA MORTGAGE TRUST 2017-CH2                                                 | CUSIP: 81746JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53904 | PA      | $50008.79     | 0.00%             | 2047-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2017-5                                                   | SEQUOIA MORTGAGE TRUST 2017-5                                                   | CUSIP: 81746DCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245187 | PA      | $209640.25    | 0.01%             | 2047-08-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-4                                                   | SEQUOIA MORTGAGE TRUST 2013-4                                                   | CUSIP: 81744YAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187323 | PA      | $173183.05    | 0.01%             | 2043-04-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                                                   | SEMPRA ENERGY                                                                   | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    135000 | PA      | $123548.76    | 0.01%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                                                   | SEMPRA ENERGY                                                                   | CUSIP: 816851109<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | EC               | CORP              | US        |     15041 | NS      | $2499663.79   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Selective Insurance Group Inc                                                   | SELECTIVE INSURANCE GROUP INC                                                   | CUSIP: 816300107<br>LEI: 549300R3WGJWLE40R258 | Long             | EC               | CORP              | US        |      9410 | NS      | $904489.20    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Seer Inc                                                                        | SEER INC                                                                        | CUSIP: 81578P106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3624 | NS      | $23411.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Sea Ltd                                                                         | SEA LTD                                                                         | CUSIP: 81141R100<br>LEI: 529900OM6JLLW44YKI15 | Long             | EC               | CORP              | KY        |     19737 | NS      | $1152048.69   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Charles Schwab Corp/The                                                         | CHARLES SCHWAB CORP/THE                                                         | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |     23520 | NS      | $1941340.80   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Scholar Rock Holding Corp                                                       | SCHOLAR ROCK HOLDING CORP                                                       | CUSIP: 80706P103<br>LEI: 549300Z1FLPGL4OWJ459 | Long             | EC               | CORP              | US        |      9611 | NS      | $74677.47     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Bank NA - SBCLN                                                       | SANTANDER BANK NA - SBCLN                                                       | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138797 | PA      | $133192.20    | 0.01%             | 2031-12-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-5                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5                                   | CUSIP: 80287HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385000 | PA      | $366625.14    | 0.02%             | 2028-10-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2021-3                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-3                                   | CUSIP: 80287EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $263921.54    | 0.01%             | 2027-09-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust 2021-A                                        | SANTANDER RETAIL AUTO LEASE TRUST 2021-A                                        | CUSIP: 80286TAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590000 | PA      | $547691.45    | 0.03%             | 2027-03-22      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2021-4                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4                                   | CUSIP: 80285VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $260547.31    | 0.01%             | 2027-10-15      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-3                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-3                                   | CUSIP: 80285UAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460000 | PA      | $440577.79    | 0.02%             | 2029-08-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA Inc                                                      | SANTANDER HOLDINGS USA INC                                                      | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    325000 | PA      | $282569.95    | 0.01%             | 2028-01-06      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                 | SANTANDER UK GROUP HOLDINGS PLC                                                 | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1205000 | PA      | $1057330.87   | 0.05%             | 2026-08-21      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Sanofi                                                                          | SANOFI                                                                          | CUSIP: 80105N105<br>LEI: 549300E9PC51EN656011 | Long             | EC               | CORP              | FR        |     18601 | NS      | $843555.35    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Sandy Spring Bancorp Inc                                                        | SANDY SPRING BANCORP INC                                                        | CUSIP: 800363103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2437 | NS      | $84856.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Saia Inc                                                                        | SAIA INC                                                                        | CUSIP: 78709Y105<br>LEI: 549300WNPG4N9GBOYB29 | Long             | EC               | CORP              | US        |      2054 | NS      | $500333.86    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                    | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     95000 | PA      | $89181.25     | 0.00%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                    | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    629000 | PA      | $636862.50    | 0.03%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                    | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1082900.00   | 0.05%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SPX Technologies Inc                                                            | SPX TECHNOLOGIES INC                                                            | CUSIP: 78473E103<br>LEI: P761FCI0CPOG24I8JE10 | Long             | EC               | CORP              | US        |      7787 | NS      | $520950.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SS&C Technologies Holdings Inc                                                  | SS&C TECHNOLOGIES HOLDINGS INC                                                  | CUSIP: 78467J100<br>LEI: 529900POY8H7NPPNKK71 | Long             | EC               | CORP              | US        |      8444 | NS      | $453949.44    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SMRT 2022-MINI                                                                  | SMRT 2022-MINI                                                                  | CUSIP: 78457JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $508864.09    | 0.02%             | 2039-01-15      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2018-B                                         | SMB PRIVATE EDUCATION LOAN TRUST 2018-B                                         | CUSIP: 78449LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373043 | PA      | $356858.35    | 0.02%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2016-A                                         | SMB PRIVATE EDUCATION LOAN TRUST 2016-A                                         | CUSIP: 78449FAB7<br>LEI: 54930039BHEBCRK29U41 | Long             | ABS-O            | CORP              | US        |     36544 | PA      | $34923.84     | 0.00%             | 2031-05-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-A                                         | SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                         | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $426874.13    | 0.02%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                               | SMBC AVIATION CAPITAL FINANCE DAC                                               | CUSIP: 78448TAE2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    520000 | PA      | $501333.04    | 0.02%             | 2024-04-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust 2019-3                                            | SG RESIDENTIAL MORTGAGE TRUST 2019-3                                            | CUSIP: 78432BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16333 | PA      | $15614.79     | 0.00%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| SJW Group                                                                       | SJW GROUP                                                                       | CUSIP: 784305104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4761 | NS      | $355599.09    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| S&P Global Inc                                                                  | S&P GLOBAL INC                                                                  | CUSIP: 78409V104<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | EC               | CORP              | US        |      4353 | NS      | $1535738.40   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    455000 | PA      | $358412.07    | 0.02%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560000 | PA      | $469252.31    | 0.02%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $124784.16    | 0.01%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Ruth s Hospitality Group Inc                                                    | RUTH'S HOSPITALITY GROUP INC                                                    | CUSIP: 783332109<br>LEI: 529900JQW9JP41OHOD14 | Long             | EC               | CORP              | US        |      7698 | NS      | $134791.98    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Rush Enterprises Inc                                                            | RUSH ENTERPRISES INC                                                            | CUSIP: 781846209<br>LEI: 529900V3XHTN7A6DFT17 | Long             | EC               | CORP              | US        |      5147 | NS      | $265224.91    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Shell PLC                                                                       | SHELL PLC                                                                       | CUSIP: 780259305<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |     22410 | NS      | $1310312.70   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Multi-Strategy Total Return Fund                                   | T ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND                                   | CUSIP: 77958R209<br>LEI: 549300KYJ7NTF2T39559 | Long             | EC               | RF                | US        |  10355208 | NS      | $98995787.80  | 4.65%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Inflation Protected Bond Fund Inc                                  | T ROWE PR INFL PROT BND-I                                                       | CUSIP: 77958D200<br>LEI: QTPF0SBNUVQ114GUHO71 | Long             | EC               | RF                | US        |       635 | NS      | $6866.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Institutional Floating Rate Fund                                   | T ROWE PR INST FLOAT RT-INV                                                     | CUSIP: 77958B402<br>LEI: 863VOPTBPYYVTH00FU88 | Long             | EC               | RF                | US        |   5537101 | NS      | $50941331.09  | 2.39%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Institutional High Yield Fund                                      | T ROWE PR INST HI YLD                                                           | CUSIP: 77958B204<br>LEI: E81VH37I6Q4XM5FXIK06 | Long             | EC               | RF                | US        |  13410435 | NS      | $99907738.24  | 4.69%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price US Treasury Long-Term Index Fund                                   | T ROWE PR US TRS LNG TRM-I                                                      | CUSIP: 77957T503<br>LEI: 81MQEQSHGI5PN6BWN277 | Long             | EC               | RF                | US        |   5266944 | NS      | $43083603.58  | 2.02%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Dynamic Global Bond Fund                                           | T ROWE PR DYN GLBL BND-I                                                        | CUSIP: 77956H468<br>LEI: 549300RBL73KV0WZZF27 | Long             | EC               | RF                | US        |  12774413 | NS      | $121995644.72 | 5.73%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price International Bond Fund - USD Hedged                               | T ROWE PR INTL BD USD HG-I                                                      | CUSIP: 77956H195<br>LEI: C339HPVTHLLM709WSU55 | Long             | EC               | RF                | US        |  13134292 | NS      | $115319086.78 | 5.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Ross Stores Inc                                                                 | ROSS STORES INC                                                                 | CUSIP: 778296AG8<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    480000 | PA      | $379085.28    | 0.02%             | 2031-04-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Ross Stores Inc                                                                 | ROSS STORES INC                                                                 | CUSIP: 778296103<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | EC               | CORP              | US        |     30448 | NS      | $3582816.16   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Roper Technologies Inc                                                          | ROPER TECHNOLOGIES INC                                                          | CUSIP: 776696106<br>LEI: 54930003T4SXCIWVXY35 | Long             | EC               | CORP              | US        |      4031 | NS      | $1769165.59   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Rogers Communications Inc                                                       | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    135000 | PA      | $109899.32    | 0.01%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc                                                       | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    275000 | PA      | $243335.40    | 0.01%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc                                                       | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    175000 | PA      | $163603.13    | 0.01%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Rivian Automotive Inc                                                           | RIVIAN AUTOMOTIVE INC                                                           | CUSIP: 76954A103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     21470 | NS      | $687898.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Reynolds American Inc                                                           | REYNOLDS AMERICAN INC                                                           | CUSIP: 761713BG0<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    710000 | PA      | $697621.86    | 0.03%             | 2025-06-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Rexford Industrial Realty Inc                                                   | REXFORD INDUSTRIAL REALTY INC                                                   | CUSIP: 76169C100<br>LEI: 549300MSLO0DF0EMX355 | Long             | EC               | CORP              | US        |      9146 | NS      | $505682.34    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund                                 | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND - Collateral                    | CUSIP: 76105YYY8<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        |   2393616 | NS      | $2393615.65   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| T. Rowe Price Treasury Reserve Fund                                             | T. Rowe Price Treasury Reserve Fund                                             | CUSIP: 76105Y208<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        | 115489766 | NS      | $115489766.05 | 5.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic Services Inc                                                           | REPUBLIC SERVICES INC                                                           | CUSIP: 760759100<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | EC               | CORP              | US        |      7751 | NS      | $1079636.79   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Replimune Group Inc                                                             | REPLIMUNE GROUP INC                                                             | CUSIP: 76029N106<br>LEI: 549300AY704NEIRC4K64 | Long             | EC               | CORP              | US        |      1942 | NS      | $39752.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Repare Therapeutics Inc                                                         | REPARE THERAPEUTICS INC                                                         | CUSIP: 760273102<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |      3408 | NS      | $54630.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Relay Therapeutics Inc                                                          | RELAY THERAPEUTICS INC                                                          | CUSIP: 75943R102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2872 | NS      | $53361.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Red Rock Resorts Inc                                                            | RED ROCK RESORTS INC                                                            | CUSIP: 75700L108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2783 | NS      | $125401.98    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Red Robin Gourmet Burgers Inc                                                   | RED ROBIN GOURMET BURGERS INC                                                   | CUSIP: 75689M101<br>LEI: 529900V6NUMBYX34LV46 | Long             | EC               | CORP              | US        |      4220 | NS      | $34983.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Reata Pharmaceuticals Inc                                                       | REATA PHARMACEUTICALS INC                                                       | CUSIP: 75615P103<br>LEI: 5299005F094GH9QDDD80 | Long             | EC               | CORP              | US        |      1804 | NS      | $71402.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Realty Income Corp                                                              | REALTY INCOME CORP                                                              | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    329000 | PA      | $312782.60    | 0.01%             | 2027-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| RBC Bearings Inc                                                                | RBC BEARINGS INC                                                                | CUSIP: 75524B104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1394 | NS      | $330336.18    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| RAPT Therapeutics Inc                                                           | RAPT THERAPEUTICS INC                                                           | CUSIP: 75382E109<br>LEI: 549300MB473BIU78ES48 | Long             | EC               | CORP              | US        |      4182 | NS      | $73937.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Rapid Micro Biosystems Inc                                                      | RAPID MICRO BIOSYSTEMS INC                                                      | CUSIP: 75340L104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13031 | NS      | $26713.55     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RH                                                                              | RH                                                                              | CUSIP: 74967X103<br>LEI: 5493008MTS3OGGMHGK69 | Long             | EC               | CORP              | US        |       611 | NS      | $175253.13    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Quaker Chemical Corp                                                            | QUAKER CHEMICAL CORP                                                            | CUSIP: 747316107<br>LEI: 549300PJQ1R3WCWCPS54 | Long             | EC               | CORP              | US        |      2465 | NS      | $485087.35    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Prometheus Biosciences Inc                                                      | PROMETHEUS BIOSCIENCES INC                                                      | CUSIP: 74349U108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1400 | NS      | $57554.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Prologis Inc                                                                    | PROLOGIS INC                                                                    | CUSIP: 74340W103<br>LEI: 529900DFH19P073LZ636 | Long             | EC               | CORP              | US        |     20844 | NS      | $2455214.76   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Progressive Corp/The                                                            | PROGRESSIVE CORP/THE                                                            | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |     32113 | NS      | $4243732.95   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Privia Health Group Inc                                                         | PRIVIA HEALTH GROUP INC                                                         | CUSIP: 74276R102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10982 | NS      | $262799.26    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PROCEPT BioRobotics Corp                                                        | PROCEPT BIOROBOTICS CORP                                                        | CUSIP: 74276L105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10185 | NS      | $436936.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Procter & Gamble Co/The                                                         | PROCTER & GAMBLE CO/THE                                                         | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |     27169 | NS      | $4052528.04   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price US Large-Cap Core Fund Inc                                         | T ROWE PRICE US LARGE-CAP CORE FUND INC                                         | CUSIP: 74149R305<br>LEI: 549300UPL95VCG3J6X04 | Long             | EC               | RF                | US        |    726795 | NS      | $23264713.77  | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Institutional Emerging Markets Bond Fund                           | T ROWE PR INST EM MRKT BND                                                      | CUSIP: 74144Q401<br>LEI: N/A                  | Long             | EC               | RF                | US        |  17846762 | NS      | $111542264.73 | 5.24%             |  |  |  | No            |                  1 | On Loan: No      |
| T. Rowe Price Global Funds Inc - T. Rowe Price Institutional Emerging Markets   | T. ROWE PRICE GLOBAL FUNDS INC - T. ROWE PRICE INSTITUTIONAL EMERGING MARKETS   | CUSIP: 74144Q203<br>LEI: GQU182N3UGI7FJWXW132 | Long             | EC               | RF                | US        |   1836933 | NS      | $62529213.53  | 2.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Post Holdings Partnering Corp                                                   | POST HOLDINGS PARTNERING CORP                                                   | CUSIP: 737465203<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6329 | NS      | $63163.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Post Holdings Inc                                                               | POST HOLDINGS INC                                                               | CUSIP: 737446104<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | EC               | CORP              | US        |      4718 | NS      | $441651.98    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Popular Inc                                                                     | POPULAR INC                                                                     | CUSIP: 733174700<br>LEI: 5493008CARDZMVQ3LO89 | Long             | EC               | CORP              | PR        |      3109 | NS      | $227019.18    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                                                  | BNP PARIBAS SA                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EC               | CORP              | FR        |     19834 | NS      | $1114512.16   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                                                | PLANET FITNESS MASTER ISSUER LLC                                                | CUSIP: 72703PAD5<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    517400 | PA      | $449082.50    | 0.02%             | 2051-12-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Pinnacle Financial Partners Inc                                                 | PINNACLE FINANCIAL PARTNERS INC                                                 | CUSIP: 72346Q104<br>LEI: 54930098EZ8JMSAZGS24 | Long             | EC               | CORP              | US        |      5512 | NS      | $462401.68    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EssilorLuxottica SA                                                             | ESSILORLUXOTTICA SA                                                             | CUSIP: 000000000<br>LEI: 549300M3VH1A3ER1TB49 | Long             | EC               | CORP              | FR        |      7361 | NS      | $1374565.56   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                                                 | PHILIP MORRIS INTERNATIONAL INC                                                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    130000 | PA      | $132199.86    | 0.01%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                                                 | PHILIP MORRIS INTERNATIONAL INC                                                 | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |     57021 | NS      | $5683283.07   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| PerkinElmer Inc                                                                 | PERKINELMER INC                                                                 | CUSIP: 714046AN9<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    190000 | PA      | $149655.97    | 0.01%             | 2031-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PerkinElmer Inc                                                                 | PERKINELMER INC                                                                 | CUSIP: 714046AM1<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    350000 | PA      | $288398.95    | 0.01%             | 2028-09-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| PerkinElmer Inc                                                                 | PERKINELMER INC                                                                 | CUSIP: 714046AG4<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    195000 | PA      | $170104.16    | 0.01%             | 2029-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PerkinElmer Inc                                                                 | PERKINELMER INC                                                                 | CUSIP: 714046109<br>LEI: 549300IKL1SDPFI7N655 | Long             | EC               | CORP              | US        |      7317 | NS      | $1022404.41   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Equinor ASA                                                                     | EQUINOR ASA                                                                     | CUSIP: 000000000<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | EC               | CORP              | NO        |     75741 | NS      | $2916846.76   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Nestle SA                                                                       | NESTLE SA                                                                       | CUSIP: 000000000<br>LEI: KY37LUS27QQX7BB93L28 | Long             | EC               | CORP              | CH        |     48325 | NS      | $5751815.65   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Roche Holding AG                                                                | ROCHE HOLDING AG                                                                | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |     10372 | NS      | $3387743.02   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| ABB Ltd                                                                         | ABB LTD                                                                         | CUSIP: 000000000<br>LEI: 5493000LKVGOO9PELI61 | Long             | EC               | CORP              | CH        |     54798 | NS      | $1722201.86   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Novartis AG                                                                     | NOVARTIS AG                                                                     | CUSIP: 000000000<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |     31630 | NS      | $2813632.57   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Penumbra Inc                                                                    | PENUMBRA INC                                                                    | CUSIP: 70975L107<br>LEI: 549300RGE06P3ECANU72 | Long             | EC               | CORP              | US        |      1628 | NS      | $341082.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| PennyMac Financial Services Inc                                                 | PENNYMAC FINANCIAL SERVICES INC                                                 | CUSIP: 70932M107<br>LEI: 549300W1D516HBDEU871 | Long             | EC               | CORP              | US        |     11051 | NS      | $659302.66    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AXA SA                                                                          | AXA SA                                                                          | CUSIP: 000000000<br>LEI: F5WCUMTUM4RKZ1MAIE39 | Long             | EC               | CORP              | FR        |     96193 | NS      | $2719237.85   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Pennant Group Inc/The                                                           | PENNANT GROUP INC/THE                                                           | CUSIP: 70805E109<br>LEI: 5493007H2OYR6BYLDA64 | Long             | EC               | CORP              | US        |      7206 | NS      | $74510.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Payoneer Global Inc                                                             | PAYONEER GLOBAL INC                                                             | CUSIP: 70451X104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     55775 | NS      | $301185.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PayPal Holdings Inc                                                             | PAYPAL HOLDINGS INC                                                             | CUSIP: 70450Y103<br>LEI: 5493005X2GO78EFZ3E94 | Long             | EC               | CORP              | US        |      6971 | NS      | $546596.11    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Paycor HCM Inc                                                                  | PAYCOR HCM INC                                                                  | CUSIP: 70435P102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10631 | NS      | $307448.52    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Paycom Software Inc                                                             | PAYCOM SOFTWARE INC                                                             | CUSIP: 70432V102<br>LEI: 254900LSB0HNJUDC6Q18 | Long             | EC               | CORP              | US        |      1234 | NS      | $418449.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Parsons Corp                                                                    | PARSONS CORP                                                                    | CUSIP: 70202L102<br>LEI: 549300ZXH0VRBSEPX752 | Long             | EC               | CORP              | US        |      9580 | NS      | $474210.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Parker-Hannifin Corp                                                            | PARKER-HANNIFIN CORP                                                            | CUSIP: 701094AS3<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    170000 | PA      | $164605.22    | 0.01%             | 2029-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp                                                            | PARKER-HANNIFIN CORP                                                            | CUSIP: 701094AR5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    155000 | PA      | $150503.14    | 0.01%             | 2027-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PAR Technology Corp                                                             | PAR TECHNOLOGY CORP                                                             | CUSIP: 698884103<br>LEI: 549300HYPTHBJQINVG57 | Long             | EC               | CORP              | US        |      9093 | NS      | $221596.41    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Papa John s International Inc                                                   | PAPA JOHN'S INTERNATIONAL INC                                                   | CUSIP: 698813102<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | EC               | CORP              | US        |      9026 | NS      | $751504.76    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Astellas Pharma Inc                                                             | ASTELLAS PHARMA INC                                                             | CUSIP: 000000000<br>LEI: 529900IB708DY2HBBB35 | Long             | EC               | CORP              | JP        |    131700 | NS      | $2042618.22   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square CLO 2022-1 Ltd                                                    | PALMER SQUARE CLO 2022-1 LTD                                                    | CUSIP: 69689QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    445000 | PA      | $429322.45    | 0.02%             | 2035-04-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Pacific Premier Bancorp Inc                                                     | PACIFIC PREMIER BANCORP INC                                                     | CUSIP: 69478X105<br>LEI: 549300Q1KIC3KLI0XG98 | Long             | EC               | CORP              | US        |      9127 | NS      | $337242.65    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145395.75    | 0.01%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    400000 | PA      | $366019.20    | 0.02%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    445000 | PA      | $349250.69    | 0.02%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    220000 | PA      | $186977.12    | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Pacific Biosciences of California Inc                                           | PACIFIC BIOSCIENCES OF CALIFORNIA INC                                           | CUSIP: 69404D108<br>LEI: 529900F1BWRE1M0KZN89 | Long             | EC               | CORP              | US        |     18006 | NS      | $193564.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| P10 Inc                                                                         | P10 INC                                                                         | CUSIP: 69376K106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     16204 | NS      | $165766.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PRA Group Inc                                                                   | PRA GROUP INC                                                                   | CUSIP: 69354N106<br>LEI: 549300Q5HW3JSSB86K27 | Long             | EC               | CORP              | US        |      7795 | NS      | $267992.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PNC Financial Services Group Inc/The                                            | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475BE4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    130000 | PA      | $120691.61    | 0.01%             | 2033-06-06      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc/The                                            | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475AZ8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    150000 | PA      | $127504.65    | 0.01%             | 2030-01-22      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| United Overseas Bank Ltd                                                        | UNITED OVERSEAS BANK LTD                                                        | CUSIP: 000000000<br>LEI: IO66REGK3RCBAMA8HR66 | Long             | EC               | CORP              | SG        |     68900 | NS      | $1588660.36   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Outset Medical Inc                                                              | OUTSET MEDICAL INC                                                              | CUSIP: 690145107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12922 | NS      | $272395.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Toyota Motor Corp                                                               | TOYOTA MOTOR CORP                                                               | CUSIP: 000000000<br>LEI: 5493006W3QUS5LMH6R84 | Long             | EC               | CORP              | JP        |    159000 | NS      | $2340751.85   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Tosoh Corp                                                                      | TOSOH CORP                                                                      | CUSIP: 000000000<br>LEI: 529900YSLFVJF2MDBX02 | Long             | EC               | CORP              | JP        |      8400 | NS      | $99733.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Tokyo Electron Ltd                                                              | TOKYO ELECTRON LTD                                                              | CUSIP: 000000000<br>LEI: 549300H5LSF8DP3RIJ34 | Long             | EC               | CORP              | JP        |      3000 | NS      | $1018114.57   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co Ltd                                       | TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | TW        |    207719 | NS      | $3335936.74   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| THK Co Ltd                                                                      | THK CO LTD                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     20700 | NS      | $408316.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Suzuki Motor Corp                                                               | SUZUKI MOTOR CORP                                                               | CUSIP: 000000000<br>LEI: 353800D83H0V3ZV1SV24 | Long             | EC               | CORP              | JP        |     19800 | NS      | $714264.43    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Origin Bancorp Inc                                                              | ORIGIN BANCORP INC                                                              | CUSIP: 68621T102<br>LEI: 54930055DO2Z4KO3NB45 | Long             | EC               | CORP              | US        |      7443 | NS      | $304567.56    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Sumitomo Rubber Industries Ltd                                                  | SUMITOMO RUBBER INDUSTRIES LTD                                                  | CUSIP: 000000000<br>LEI: 353800JD4V72SJ3EOX37 | Long             | EC               | CORP              | JP        |     28200 | NS      | $245556.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Corp                                                                   | SUMITOMO CORP                                                                   | CUSIP: 000000000<br>LEI: V82KK8NH1P0JS71FJC05 | Long             | EC               | CORP              | JP        |     62400 | NS      | $1023002.19   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Stanley Electric Co Ltd                                                         | STANLEY ELECTRIC CO LTD                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     23300 | NS      | $479085.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Option Care Health Inc                                                          | OPTION CARE HEALTH INC                                                          | CUSIP: 68404L201<br>LEI: 549300DI3Q5ACSYJRI17 | Long             | EC               | CORP              | US        |     12026 | NS      | $362102.86    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Oracle Corp                                                                     | ORACLE CORP                                                                     | CUSIP: 68389XCJ2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     95000 | PA      | $99900.29     | 0.00%             | 2032-11-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                     | ORACLE CORP                                                                     | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    305000 | PA      | $263971.71    | 0.01%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Onto Innovation Inc                                                             | ONTO INNOVATION INC                                                             | CUSIP: 683344105<br>LEI: 254900RXZVN73CHOO062 | Long             | EC               | CORP              | US        |      4589 | NS      | $366890.55    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ONE Gas Inc                                                                     | ONE GAS INC                                                                     | CUSIP: 68235P108<br>LEI: 549300HXDWI0LATTX840 | Long             | EC               | CORP              | US        |      2476 | NS      | $215288.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Sony Group Corp                                                                 | SONY GROUP CORP                                                                 | CUSIP: 000000000<br>LEI: 529900R5WX9N2OI2N910 | Long             | EC               | CORP              | JP        |     16500 | NS      | $1366862.88   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Ollie s Bargain Outlet Holdings Inc                                             | OLLIE'S BARGAIN OUTLET HOLDINGS INC                                             | CUSIP: 681116109<br>LEI: 529900YO5DSQCPEFDZ05 | Long             | EC               | CORP              | US        |     13367 | NS      | $814050.30    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Olink Holding AB                                                                | OLINK HOLDING AB                                                                | CUSIP: 680710100<br>LEI: 8945004Z7ZHV3LML4J27 | Long             | EC               | CORP              | SE        |      7160 | NS      | $170622.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Old Dominion Freight Line Inc                                                   | OLD DOMINION FREIGHT LINE INC                                                   | CUSIP: 679580100<br>LEI: 5299009TWK32WE417T96 | Long             | EC               | CORP              | US        |      2803 | NS      | $848215.83    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Samsung Electronics Co Ltd                                                      | SAMSUNG ELECTRONICS CO LTD                                                      | CUSIP: 000000000<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |     43015 | NS      | $2066825.66   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| SoftBank Group Corp                                                             | SOFTBANK GROUP CORP                                                             | CUSIP: 000000000<br>LEI: 5493003BZYYYCDIO0R13 | Long             | EC               | CORP              | JP        |     12800 | NS      | $560877.07    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SMC Corp                                                                        | SMC CORP                                                                        | CUSIP: 000000000<br>LEI: 353800O40V08DOZ70X62 | Long             | EC               | CORP              | JP        |      1000 | NS      | $456310.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 29 Ltd                                              | OCTAGON INVESTMENT PARTNERS 29 LTD                                              | CUSIP: 67591JAL6<br>LEI: 5493003U22XL00FIHD56 | Long             | ABS-CBDO         | CORP              | KY        |    825000 | PA      | $799816.89    | 0.04%             | 2033-01-24      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP1 Trust                                                             | OBX 2020-EXP1 TRUST                                                             | CUSIP: 67448TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241844 | PA      | $213833.96    | 0.01%             | 2060-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Challenger Ltd                                                                  | CHALLENGER LTD                                                                  | CUSIP: 000000000<br>LEI: 529900ACCCAOHJ2V3169 | Long             | EC               | CORP              | AU        |     83651 | NS      | $418473.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2021-NQM3 Trust                                                             | OBX 2021-NQM3 TRUST                                                             | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277389 | PA      | $208142.40    | 0.01%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP2 Trust                                                             | OBX 2019-EXP2 TRUST                                                             | CUSIP: 67113KAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85760 | PA      | $77923.88     | 0.00%             | 2059-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP3 Trust                                                             | OBX 2019-EXP3 TRUST                                                             | CUSIP: 67113AAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56439 | PA      | $52234.07     | 0.00%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OZLM VII Ltd                                                                    | OZLM VII LTD                                                                    | CUSIP: 67108WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    463028 | PA      | $455727.14    | 0.02%             | 2029-07-17      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2014-7 Ltd                                                              | OCP CLO 2014-7 LTD                                                              | CUSIP: 67107KBB1<br>LEI: 254900NUK1R46EK6YF62 | Long             | ABS-CBDO         | CORP              | KY        |    475000 | PA      | $454119.84    | 0.02%             | 2029-07-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2014-7 Ltd                                                              | OCP CLO 2014-7 LTD                                                              | CUSIP: 67107KAZ9<br>LEI: 254900NUK1R46EK6YF62 | Long             | ABS-CBDO         | CORP              | KY        |    778626 | PA      | $765218.54    | 0.04%             | 2029-07-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| O Reilly Automotive Inc                                                         | O'REILLY AUTOMOTIVE INC                                                         | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    140000 | PA      | $136647.98    | 0.01%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Nurix Therapeutics Inc                                                          | NURIX THERAPEUTICS INC                                                          | CUSIP: 67080M103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1552 | NS      | $19229.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Nutrien Ltd                                                                     | NUTRIEN LTD                                                                     | CUSIP: 67077M108<br>LEI: 5493002QQ7GD21OWF963 | Long             | EC               | CORP              | CA        |     31784 | NS      | $2555433.60   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA Corp                                                                     | NVIDIA CORP                                                                     | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |     38470 | NS      | $6510278.10   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| PICC Property & Casualty Co Ltd                                                 | PICC PROPERTY & CASUALTY CO LTD                                                 | CUSIP: 000000000<br>LEI: 300300F1000311000017 | Long             | EC               | CORP              | CN        |    848000 | NS      | $859115.29    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Nucor Corp                                                                      | NUCOR CORP                                                                      | CUSIP: 670346AV7<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    155000 | PA      | $132432.16    | 0.01%             | 2032-04-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Novanta Inc                                                                     | NOVANTA INC                                                                     | CUSIP: 67000B104<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |      2170 | NS      | $342317.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Northrop Grumman Corp                                                           | NORTHROP GRUMMAN CORP                                                           | CUSIP: 666807102<br>LEI: RIMU48P07456QXSO0R61 | Long             | EC               | CORP              | US        |      2402 | NS      | $1280962.58   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Omron Corp                                                                      | OMRON CORP                                                                      | CUSIP: 000000000<br>LEI: 549300ZHW0TR2QZ0NY83 | Long             | EC               | CORP              | JP        |      8300 | NS      | $431693.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Nippon Telegraph & Telephone Corp                                               | NIPPON TELEGRAPH & TELEPHONE CORP                                               | CUSIP: 000000000<br>LEI: 353800VHQU5VIXVUA841 | Long             | EC               | CORP              | JP        |    118100 | NS      | $3274795.97   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Denso Corp                                                                      | DENSO CORP                                                                      | CUSIP: 000000000<br>LEI: 549300RYPA10CQM3QK38 | Long             | EC               | CORP              | JP        |     12400 | NS      | $684237.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Renesas Electronics Corp                                                        | RENESAS ELECTRONICS CORP                                                        | CUSIP: 000000000<br>LEI: 5299000EPC47VJQOFB81 | Long             | EC               | CORP              | JP        |     49500 | NS      | $485481.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Murata Manufacturing Co Ltd                                                     | MURATA MANUFACTURING CO LTD                                                     | CUSIP: 000000000<br>LEI: 529900QZG6DL8ZRI7140 | Long             | EC               | CORP              | JP        |     19600 | NS      | $1075124.42   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Mitsui Fudosan Co Ltd                                                           | MITSUI FUDOSAN CO LTD                                                           | CUSIP: 000000000<br>LEI: 353800ND4ZKNZDYKMF33 | Long             | EC               | CORP              | JP        |     68300 | NS      | $1384651.81   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi Electric Corp                                                        | MITSUBISHI ELECTRIC CORP                                                        | CUSIP: 000000000<br>LEI: 549300TRXM9Y6561AX39 | Long             | EC               | CORP              | JP        |    127800 | NS      | $1280783.85   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi Corp                                                                 | MITSUBISHI CORP                                                                 | CUSIP: 000000000<br>LEI: KVIPTY4PULAPGC1VVD26 | Long             | EC               | CORP              | JP        |     28500 | NS      | $959856.08    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Panasonic Holdings Corp                                                         | PANASONIC HOLDINGS CORP                                                         | CUSIP: 000000000<br>LEI: 254900GE1G59KGWPHX32 | Long             | EC               | CORP              | JP        |    105900 | NS      | $988858.95    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Worley Ltd                                                                      | WORLEY LTD                                                                      | CUSIP: 000000000<br>LEI: 549300XDR86FY8OLGP97 | Long             | EC               | CORP              | AU        |    105804 | NS      | $1073115.25   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| NAVER Corp                                                                      | NAVER CORP                                                                      | CUSIP: 000000000<br>LEI: 988400ULUQYDB2HQYJ61 | Long             | EC               | CORP              | KR        |      3439 | NS      | $499905.39    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp                                                           | NORFOLK SOUTHERN CORP                                                           | CUSIP: 655844108<br>LEI: 54930036C8MWP850MI84 | Long             | EC               | CORP              | US        |      7269 | NS      | $1864498.50   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Nordea Bank Abp                                                                 | NORDEA BANK ABP                                                                 | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    330000 | PA      | $330568.26    | 0.02%             | 2027-09-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nkarta Inc                                                                      | NKARTA INC                                                                      | CUSIP: 65487U108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5768 | NS      | $48912.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NiSource Inc                                                                    | NISOURCE INC                                                                    | CUSIP: 65473P105<br>LEI: 549300D8GOWWH0SJB189 | Long             | EC               | CORP              | US        |      2134 | NS      | $59623.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NIKE Inc                                                                        | NIKE INC                                                                        | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |     16646 | NS      | $1825899.74   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| NextEra Energy Partners LP                                                      | NEXTERA ENERGY PARTNERS LP                                                      | CUSIP: 65341B106<br>LEI: 5493008F4ZOQFNG3WN54 | Long             | EC               | CORP              | US        |      4325 | NS      | $348119.25    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                             | NEXTERA ENERGY CAPITAL HOLDINGS INC                                             | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    130000 | PA      | $129370.15    | 0.01%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                             | NEXTERA ENERGY CAPITAL HOLDINGS INC                                             | CUSIP: 65339KCA6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    385000 | PA      | $263443.95    | 0.01%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                             | NEXTERA ENERGY CAPITAL HOLDINGS INC                                             | CUSIP: 65339KBZ2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    535000 | PA      | $434450.50    | 0.02%             | 2032-01-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| NexTier Oilfield Solutions Inc                                                  | NEXTIER OILFIELD SOLUTIONS INC                                                  | CUSIP: 65290C105<br>LEI: 529900L27H2D4QT0IT24 | Long             | EC               | CORP              | US        |     40356 | NS      | $411227.64    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Tokio Marine Holdings Inc                                                       | TOKIO MARINE HOLDINGS INC                                                       | CUSIP: 000000000<br>LEI: 5299009QN2NZ191KLS29 | Long             | EC               | CORP              | JP        |     83500 | NS      | $1722502.80   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| KT Corp                                                                         | KT CORP                                                                         | CUSIP: 000000000<br>LEI: 9884005ACF8449EANY26 | Long             | EC               | CORP              | KR        |     24584 | NS      | $701793.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Kirin Holdings Co Ltd                                                           | KIRIN HOLDINGS CO LTD                                                           | CUSIP: 000000000<br>LEI: 353800GBVL72LLMTYM96 | Long             | EC               | CORP              | JP        |     38400 | NS      | $606167.28    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2021-INV2                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                                   | CUSIP: 64831GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314787 | PA      | $249277.36    | 0.01%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Largan Precision Co Ltd                                                         | LARGAN PRECISION CO LTD                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | TW        |      5000 | NS      | $376728.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| IGO Ltd                                                                         | IGO LTD                                                                         | CUSIP: 000000000<br>LEI: 2549005DZO8VGXM5QN07 | Long             | EC               | CORP              | AU        |    242982 | NS      | $2594977.18   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                                          | NEW ECONOMY ASSETS PHASE 1 SPONSOR LLC                                          | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257659 | PA      | $217847.08    | 0.01%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Honda Motor Co Ltd                                                              | HONDA MOTOR CO LTD                                                              | CUSIP: 000000000<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | EC               | CORP              | JP        |     16500 | NS      | $402131.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Holdings Inc                                              | SUMITOMO MITSUI TRUST HOLDINGS INC                                              | CUSIP: 000000000<br>LEI: 353800P843RLCDBLNT17 | Long             | EC               | CORP              | JP        |     18089 | NS      | $580126.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers Clo 43 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD                                       | CUSIP: 64134AAA0<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |    370000 | PA      | $359144.78    | 0.02%             | 2035-06-18      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 32 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 32 LTD                                       | CUSIP: 64132DAJ7<br>LEI: 5493007YBEOXQIHH3C54 | Long             | ABS-CBDO         | CORP              | KY        |   1190000 | PA      | $1161455.28   | 0.05%             | 2032-01-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 29 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 29 LTD                                       | CUSIP: 64130XAA4<br>LEI: 549300BLCSV170UP8R47 | Long             | ABS-CBDO         | CORP              | KY        |    470000 | PA      | $460529.88    | 0.02%             | 2031-10-19      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                                                     | NETFLIX INC                                                                     | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |      7124 | NS      | $2176595.72   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Hamamatsu Photonics KK                                                          | HAMAMATSU PHOTONICS KK                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     17300 | NS      | $913515.96    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NeoGenomics Inc                                                                 | NEOGENOMICS INC                                                                 | CUSIP: 64049M209<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     11400 | NS      | $127794.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| nCino Inc                                                                       | NCINO INC                                                                       | CUSIP: 63947X101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1858 | NS      | $48530.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2022-A                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2022-A                                | CUSIP: 63942MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    892879 | PA      | $776614.99    | 0.04%             | 2070-07-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-C                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C                                | CUSIP: 63941KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $351533.34    | 0.02%             | 2068-11-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-B                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-B                                | CUSIP: 63941GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216191 | PA      | $195990.18    | 0.01%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust 2018-B                                     | NAVIENT PRIVATE EDUCATION LOAN TRUST 2018-B                                     | CUSIP: 63940QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219676 | PA      | $212837.33    | 0.01%             | 2059-12-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-F                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-F                                | CUSIP: 63935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312353 | PA      | $288736.76    | 0.01%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-H                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H                                | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148821 | PA      | $133526.96    | 0.01%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                               | NATWEST GROUP PLC                                                               | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    240000 | PA      | $249628.80    | 0.01%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: —       |
| Mitsubishi UFJ Financial Group Inc                                              | MITSUBISHI UFJ FINANCIAL GROUP INC                                              | CUSIP: 000000000<br>LEI: 353800V2V8PUY9TK3E06 | Long             | EC               | CORP              | JP        |    150200 | NS      | $819122.38    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAE5<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $161658.60    | 0.01%             | 2031-04-03      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAD7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    625000 | PA      | $528937.50    | 0.02%             | 2028-04-03      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     95000 | PA      | $86485.25     | 0.00%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     50000 | PA      | $46893.95     | 0.00%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC                                                        | NXP BV / NXP FUNDING LLC                                                        | CUSIP: 62947QBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    205000 | PA      | $204668.72    | 0.01%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc                                                                  | NRG ENERGY INC                                                                  | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    260000 | PA      | $235950.00    | 0.01%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NBN Co Ltd                                                                      | NBN CO LTD                                                                      | CUSIP: 62878U2B7<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |    410000 | PA      | $330796.61    | 0.02%             | 2031-05-05      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Utah Acquisition Sub Inc                                                        | UTAH ACQUISITION SUB INC                                                        | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    705000 | PA      | $659932.88    | 0.03%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Mitsubishi HC Capital Inc                                                       | MITSUBISHI HC CAPITAL INC                                                       | CUSIP: 000000000<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | EC               | CORP              | JP        |     93500 | NS      | $446089.33    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Mueller Water Products Inc                                                      | MUELLER WATER PRODUCTS INC                                                      | CUSIP: 624758108<br>LEI: 549300F7ZU4P1F8V8L60 | Long             | EC               | CORP              | US        |     22923 | NS      | $267282.18    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CyberAgent Inc                                                                  | CYBERAGENT INC                                                                  | CUSIP: 000000000<br>LEI: 3538006T5KZABPGS8Q08 | Long             | EC               | CORP              | JP        |     81600 | NS      | $742755.62    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Rio Tinto Ltd                                                                   | RIO TINTO LTD                                                                   | CUSIP: 000000000<br>LEI: 529900X2VMAQT2PE0V24 | Long             | EC               | CORP              | AU        |      5502 | NS      | $410750.12    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Central Japan Railway Co                                                        | CENTRAL JAPAN RAILWAY CO                                                        | CUSIP: 000000000<br>LEI: 353800YAR3OVUITHTG64 | Long             | EC               | CORP              | JP        |      5400 | NS      | $654498.16    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MorphoSys AG                                                                    | MORPHOSYS AG                                                                    | CUSIP: 617760202<br>LEI: 529900493806K77LRE72 | Long             | EC               | CORP              | DE        |      9557 | NS      | $39374.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morphic Holding Inc                                                             | MORPHIC HOLDING INC                                                             | CUSIP: 61775R105<br>LEI: 549300RWWOUFLHTY1224 | Long             | EC               | CORP              | US        |      2789 | NS      | $76753.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    145000 | PA      | $108954.89    | 0.01%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1091198.76   | 0.05%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18                     | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C18                     | CUSIP: 61763XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $236897.40    | 0.01%             | 2031-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DBS Group Holdings Ltd                                                          | DBS GROUP HOLDINGS LTD                                                          | CUSIP: 000000000<br>LEI: 5493007FKT78NKPM5V55 | Long             | EC               | CORP              | SG        |     32567 | NS      | $849306.73    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94992.00     | 0.00%             | 2033-07-20      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YET8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    220000 | PA      | $217468.24    | 0.01%             | 2026-07-17      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    185000 | PA      | $173490.41    | 0.01%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Housing Development Finance Corp Ltd                                            | HOUSING DEVELOPMENT FINANCE CORP LTD                                            | CUSIP: 000000000<br>LEI: 335800OX2H9AP7NHLT64 | Long             | EC               | CORP              | IN        |     29380 | NS      | $977117.09    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BHP Group Ltd                                                                   | BHP GROUP LTD                                                                   | CUSIP: 000000000<br>LEI: WZE1WSENV6JSZFK0JC28 | Long             | EC               | CORP              | AU        |     16828 | NS      | $522599.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NTT Data Corp                                                                   | NTT DATA CORP                                                                   | CUSIP: 000000000<br>LEI: 353800SZGJGSLJRRWB43 | Long             | EC               | CORP              | JP        |    117800 | NS      | $1822423.74   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Monte Rosa Therapeutics Inc                                                     | MONTE ROSA THERAPEUTICS INC                                                     | CUSIP: 61225M102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3424 | NS      | $29035.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Monro Inc                                                                       | MONRO INC                                                                       | CUSIP: 610236101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9128 | NS      | $415050.16    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Monolithic Power Systems Inc                                                    | MONOLITHIC POWER SYSTEMS INC                                                    | CUSIP: 609839105<br>LEI: 529900TB7O85LSZ1XU31 | Long             | EC               | CORP              | US        |      3196 | NS      | $1220744.16   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| MongoDB Inc                                                                     | MONGODB INC                                                                     | CUSIP: 60937P106<br>LEI: 549300TPTG69WKWE1Z37 | Long             | EC               | CORP              | US        |      4535 | NS      | $692449.15    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Mondelez International Inc                                                      | MONDELEZ INTERNATIONAL INC                                                      | CUSIP: 609207105<br>LEI: 549300DV9GIB88LZ5P30 | Long             | EC               | CORP              | US        |     63438 | NS      | $4289043.18   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Molina Healthcare Inc                                                           | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855R100<br>LEI: 549300NQQCEQ46YHZ591 | Long             | EC               | CORP              | US        |      2718 | NS      | $915340.86    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Z Holdings Corp                                                                 | Z HOLDINGS CORP                                                                 | CUSIP: 000000000<br>LEI: 52990078MD2OL792YM35 | Long             | EC               | CORP              | JP        |    169500 | NS      | $466454.95    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Beijing Enterprises Holdings Ltd                                                | BEIJING ENTERPRISES HOLDINGS LTD                                                | CUSIP: 000000000<br>LEI: 529900896ODARUEY2V26 | Long             | EC               | CORP              | HK        |    105000 | NS      | $333944.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ModivCare Inc                                                                   | MODIVCARE INC                                                                   | CUSIP: 60783X104<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | EC               | CORP              | US        |      4316 | NS      | $332332.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                              | MITSUBISHI UFJ FINANCIAL GROUP INC                                              | CUSIP: 606822CN2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    440000 | PA      | $438352.20    | 0.02%             | 2028-09-13      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Amcor PLC                                                                       | AMCOR PLC                                                                       | CUSIP: 000000000<br>LEI: 549300GSODGFCDQ3DI89 | Long             | EC               | CORP              | JE        |     51303 | NS      | $630032.63    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd                                       | AUSTRALIA & NEW ZEALAND BANKING GROUP LTD                                       | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | EC               | CORP              | AU        |     52830 | NS      | $892020.28    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Asahi Kasei Corp                                                                | ASAHI KASEI CORP                                                                | CUSIP: 000000000<br>LEI: 353800GPI4Z3MGDGN142 | Long             | EC               | CORP              | JP        |     99200 | NS      | $737287.96    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Teleperformance                                                                 | TELEPERFORMANCE                                                                 | CUSIP: 000000000<br>LEI: 9695004GI61FHFFNRG61 | Long             | EC               | CORP              | FR        |      3818 | NS      | $871579.64    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2017-2                                            | MILL   CITY MORTGAGE LOAN TRUST 2017-2                                          | CUSIP: 59980AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26560 | PA      | $26025.64     | 0.00%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECTUAL PROPERTY ASSETS LTD       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    460750 | PA      | $458446.25    | 0.02%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Koninklijke Philips NV                                                          | KONINKLIJKE PHILIPS NV                                                          | CUSIP: 000000000<br>LEI: H1FJE8H61JGM1JSGM897 | Long             | EC               | CORP              | NL        |     50656 | NS      | $759060.99    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Zurich Insurance Group AG                                                       | ZURICH INSURANCE GROUP AG                                                       | CUSIP: 000000000<br>LEI: 529900QVNRBND50TXP03 | Long             | EC               | CORP              | CH        |      3862 | NS      | $1855447.84   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Telefonaktiebolaget LM Ericsson                                                 | TELEFONAKTIEBOLAGET LM ERICSSON                                                 | CUSIP: 000000000<br>LEI: 549300W9JLPW15XIFM52 | Long             | EC               | CORP              | SE        |    226545 | NS      | $1429875.68   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Micron Technology Inc                                                           | MICRON TECHNOLOGY INC                                                           | CUSIP: 595112BP7<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    145000 | PA      | $138656.25    | 0.01%             | 2027-02-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc                                                           | MICRON TECHNOLOGY INC                                                           | CUSIP: 595112BN2<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    226000 | PA      | $219220.00    | 0.01%             | 2029-02-06      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc                                                           | MICRON TECHNOLOGY INC                                                           | CUSIP: 595112103<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | EC               | CORP              | US        |     12126 | NS      | $699063.90    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Microsoft Corp                                                                  | MICROSOFT CORP                                                                  | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    118394 | NS      | $30207045.16  | 1.42%             |  |  |  | No            |                  1 | On Loan: No      |
| MetLife Inc                                                                     | METLIFE INC                                                                     | CUSIP: 59156R108<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EC               | CORP              | US        |     53990 | NS      | $4141033.00   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Merck & Co Inc                                                                  | MERCK & CO INC                                                                  | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     12925 | NS      | $1423301.00   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Evotec SE                                                                       | EVOTEC SE                                                                       | CUSIP: 000000000<br>LEI: 529900F9KI6OYITO9B12 | Long             | EC               | CORP              | DE        |     21095 | NS      | $376887.15    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| McDonald s Corp                                                                 | MCDONALD'S CORP                                                                 | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |     15220 | NS      | $4151863.80   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Mastercard Inc                                                                  | MASTERCARD INC                                                                  | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |     18462 | NS      | $6579856.80   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Masimo Corp                                                                     | MASIMO CORP                                                                     | CUSIP: 574795100<br>LEI: 549300Q4A8JK0PIYCU29 | Long             | EC               | CORP              | US        |      1800 | NS      | $260892.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Marvell Technology Inc                                                          | MARVELL TECHNOLOGY INC                                                          | CUSIP: 573874104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     18860 | NS      | $877367.20    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Martin Marietta Materials Inc                                                   | MARTIN MARIETTA MATERIALS INC                                                   | CUSIP: 573284AW6<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    160000 | PA      | $129825.76    | 0.01%             | 2031-07-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Siemens AG                                                                      | SIEMENS AG                                                                      | CUSIP: 000000000<br>LEI: W38RGI023J3WT1HWRP32 | Long             | EC               | CORP              | DE        |     39209 | NS      | $5437693.98   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                                                   | MARRIOTT INTERNATIONAL INC/MD                                                   | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    345000 | PA      | $342673.32    | 0.02%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                                                   | MARRIOTT INTERNATIONAL INC/MD                                                   | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    160000 | PA      | $130660.96    | 0.01%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos Inc                                                        | MARSH & MCLENNAN COS INC                                                        | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    185000 | PA      | $151969.36    | 0.01%             | 2030-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos Inc                                                        | MARSH & MCLENNAN COS INC                                                        | CUSIP: 571748102<br>LEI: 549300XMP3KDCKJXIU47 | Long             | EC               | CORP              | US        |      7762 | NS      | $1344223.16   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Marriott Vacations Worldwide Corp                                               | MARRIOTT VACATIONS WORLDWIDE CORP                                               | CUSIP: 57164Y107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1341 | NS      | $199782.18    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Sanofi                                                                          | SANOFI                                                                          | CUSIP: 000000000<br>LEI: 549300E9PC51EN656011 | Long             | EC               | CORP              | FR        |     32812 | NS      | $2963885.34   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Manhattan Associates Inc                                                        | MANHATTAN ASSOCIATES INC                                                        | CUSIP: 562750109<br>LEI: 529900Q1GJP7KD52SW51 | Long             | EC               | CORP              | US        |      2890 | NS      | $363966.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Magnolia Oil & Gas Corp                                                         | MAGNOLIA OIL & GAS CORP                                                         | CUSIP: 559663109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     30968 | NS      | $807645.44    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Magna International Inc                                                         | MAGNA INTERNATIONAL INC                                                         | CUSIP: 559222401<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | EC               | CORP              | CA        |     22062 | NS      | $1358798.58   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Warnermedia Holdings Inc                                                        | WARNERMEDIA HOLDINGS INC                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    150000 | PA      | $126721.20    | 0.01%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings Inc                                                        | WARNERMEDIA HOLDINGS INC                                                        | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    240000 | PA      | $209253.12    | 0.01%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings Inc                                                        | WARNERMEDIA HOLDINGS INC                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    690000 | PA      | $627977.97    | 0.03%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXIII Ltd                                                 | MADISON PARK FUNDING XXXIII LTD                                                 | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    435000 | PA      | $421995.86    | 0.02%             | 2032-10-15      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Eleven Madison Trust 2015-11MD Mortgage Trust                                   | ELEVEN MADISON TRUST 2015-11MD MORTGAGE TRUST                                   | CUSIP: 556227AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205000 | PA      | $189598.37    | 0.01%             | 2035-09-10      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| MSCI Inc                                                                        | MSCI INC                                                                        | CUSIP: 55354G100<br>LEI: 549300HTIN2PD78UB763 | Long             | EC               | CORP              | US        |       777 | NS      | $394583.91    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MSA Safety Inc                                                                  | MSA SAFETY INC                                                                  | CUSIP: 553498106<br>LEI: 529900DVA3258XK11O39 | Long             | EC               | CORP              | US        |       959 | NS      | $135228.59    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP                                                                         | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    535000 | PA      | $505701.80    | 0.02%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MGE Energy Inc                                                                  | MGE ENERGY INC                                                                  | CUSIP: 55277P104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2452 | NS      | $176568.52    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Kering SA                                                                       | KERING SA                                                                       | CUSIP: 000000000<br>LEI: 549300VGEJKB7SVUZR78 | Long             | EC               | CORP              | FR        |      1947 | NS      | $1169830.06   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Lululemon Athletica Inc                                                         | LULULEMON ATHLETICA INC                                                         | CUSIP: 550021109<br>LEI: 549300D9GZ4BMLDW5T40 | Long             | EC               | CORP              | US        |      4813 | NS      | $1830432.03   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Lowe s Cos Inc                                                                  | LOWE'S COS INC                                                                  | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    325000 | PA      | $295429.55    | 0.01%             | 2032-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Barry Callebaut AG                                                              | BARRY CALLEBAUT AG                                                              | CUSIP: 000000000<br>LEI: 213800Y5RWKLDPUTT265 | Long             | EC               | CORP              | CH        |       396 | NS      | $808792.56    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Live Oak Bancshares Inc                                                         | LIVE OAK BANCSHARES INC                                                         | CUSIP: 53803X105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9279 | NS      | $309454.65    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Littelfuse Inc                                                                  | LITTELFUSE INC                                                                  | CUSIP: 537008104<br>LEI: 549300MY7HLQFYTPCX75 | Long             | EC               | CORP              | US        |      1780 | NS      | $438770.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Eli Lilly & Co                                                                  | ELI LILLY & CO                                                                  | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     14176 | NS      | $5260430.08   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Liberty Energy Inc                                                              | LIBERTY ENERGY INC                                                              | CUSIP: 53115L104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     25741 | NS      | $425498.73    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen                       | MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AG IN MUENCHEN                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | DE        |      7934 | NS      | $2506004.29   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Erste Group Bank AG                                                             | ERSTE GROUP BANK AG                                                             | CUSIP: 000000000<br>LEI: PQOH26KWDF7CG10L6792 | Long             | EC               | CORP              | AT        |     14525 | NS      | $454798.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Autoliv Inc                                                                     | AUTOLIV INC                                                                     | CUSIP: 000000000<br>LEI: A23RUXWKASG834LTMK28 | Long             | EC               | CORP              | US        |      9712 | NS      | $855728.52    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Legalzoom.com Inc                                                               | LEGALZOOM.COM INC                                                               | CUSIP: 52466B103<br>LEI: 5493000L8EBF74Y9JZ48 | Long             | EC               | CORP              | US        |      8632 | NS      | $76393.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Sampo Oyj                                                                       | SAMPO OYJ                                                                       | CUSIP: 000000000<br>LEI: 743700UF3RL386WIDA22 | Long             | EC               | CORP              | FI        |     39248 | NS      | $1987644.65   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Lattice Semiconductor Corp                                                      | LATTICE SEMICONDUCTOR CORP                                                      | CUSIP: 518415104<br>LEI: 549300LRBBPZDQ2II567 | Long             | EC               | CORP              | US        |     16471 | NS      | $1199582.93   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Las Vegas Sands Corp                                                            | LAS VEGAS SANDS CORP                                                            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    210000 | PA      | $190464.33    | 0.01%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Landstar System Inc                                                             | LANDSTAR SYSTEM INC                                                             | CUSIP: 515098101<br>LEI: 254900CUQXQRL09MEI52 | Long             | EC               | CORP              | US        |      1553 | NS      | $268637.94    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Lam Research Corp                                                               | LAM RESEARCH CORP                                                               | CUSIP: 512807108<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |      3963 | NS      | $1872041.94   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| BASF SE                                                                         | BASF SE                                                                         | CUSIP: 000000000<br>LEI: 529900PM64WH8AF1E917 | Long             | EC               | CORP              | DE        |     17592 | NS      | $895703.61    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Stora Enso Oyj                                                                  | STORA ENSO OYJ                                                                  | CUSIP: 000000000<br>LEI: 7437000ZP669LKUTZ738 | Long             | EC               | CORP              | FI        |     70324 | NS      | $1034547.48   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayer AG                                                                        | BAYER AG                                                                        | CUSIP: 000000000<br>LEI: 549300J4U55H3WP1XT59 | Long             | EC               | CORP              | DE        |     28458 | NS      | $1651614.22   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| L3Harris Technologies Inc                                                       | L3HARRIS TECHNOLOGIES INC                                                       | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |     18740 | NS      | $4255479.20   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| LSEGA Financing PLC                                                             | LSEGA FINANCING PLC                                                             | CUSIP: 50220PAE3<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $150008.40    | 0.01%             | 2041-04-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LSEGA Financing PLC                                                             | LSEGA FINANCING PLC                                                             | CUSIP: 50220PAD5<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    375000 | PA      | $315623.63    | 0.01%             | 2031-04-06      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LSEGA Financing PLC                                                             | LSEGA FINANCING PLC                                                             | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |   1325000 | PA      | $1133687.23   | 0.05%             | 2028-04-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Kymera Therapeutics Inc                                                         | KYMERA THERAPEUTICS INC                                                         | CUSIP: 501575104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1730 | NS      | $50135.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Kura Oncology Inc                                                               | KURA ONCOLOGY INC                                                               | CUSIP: 50127T109<br>LEI: 5493005QORQTZCZYOP39 | Long             | EC               | CORP              | US        |      5882 | NS      | $92759.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Kraft Heinz Co/The                                                              | KRAFT HEINZ CO/THE                                                              | CUSIP: 500754106<br>LEI: 9845007488EC87F5AF14 | Long             | EC               | CORP              | US        |     62453 | NS      | $2457525.55   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Kinder Morgan Inc                                                               | KINDER MORGAN INC                                                               | CUSIP: 49456B101<br>LEI: 549300WR7IX8XE0TBO16 | Long             | EC               | CORP              | US        |    123542 | NS      | $2362123.04   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Kimberly-Clark Corp                                                             | KIMBERLY-CLARK CORP                                                             | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | EC               | CORP              | US        |      7075 | NS      | $959582.25    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Kimbell Royalty Partners LP                                                     | KIMBELL ROYALTY PARTNERS LP                                                     | CUSIP: 49435R102<br>LEI: 5493007FC11POVYRB841 | Long             | EC               | CORP              | US        |      4023 | NS      | $69477.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Keurig Dr Pepper Inc                                                            | KEURIG DR PEPPER INC                                                            | CUSIP: 49271V100<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | EC               | CORP              | US        |     42242 | NS      | $1633498.14   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Marel HF                                                                        | MAREL HF                                                                        | CUSIP: 000000000<br>LEI: 5299008YTLEN09WTHW26 | Long             | EC               | CORP              | IS        |     20359 | NS      | $79994.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kemper Corp                                                                     | KEMPER CORP                                                                     | CUSIP: 488401100<br>LEI: 549300FNI1JKTRY2PV09 | Long             | EC               | CORP              | US        |      4991 | NS      | $284087.72    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Kearny Financial Corp/MD                                                        | KEARNY FINANCIAL CORP/MD                                                        | CUSIP: 48716P108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12038 | NS      | $116407.46    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Karuna Therapeutics Inc                                                         | KARUNA THERAPEUTICS INC                                                         | CUSIP: 48576A100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1432 | NS      | $336963.92    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Storebrand ASA                                                                  | STOREBRAND ASA                                                                  | CUSIP: 000000000<br>LEI: 5967007LIEEXZX7NA051 | Long             | EC               | CORP              | NO        |    129139 | NS      | $1162014.38   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| SAP SE                                                                          | SAP SE                                                                          | CUSIP: 000000000<br>LEI: 529900D6BF99LW9R2E68 | Long             | EC               | CORP              | DE        |     16199 | NS      | $1797386.87   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR Acquisition Holdings I Corp                                                 | KKR ACQUISITION HOLDINGS I CORP                                                 | CUSIP: 48253T208<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     14993 | NS      | $150829.58    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| KLA Corp                                                                        | KLA CORP                                                                        | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |      9496 | NS      | $3733352.40   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Johnson & Johnson                                                               | JOHNSON & JOHNSON                                                               | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |     44171 | NS      | $7862438.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| John Bean Technologies Corp                                                     | JOHN BEAN TECHNOLOGIES CORP                                                     | CUSIP: 477839104<br>LEI: 5493007CT6ATBZ2L6826 | Long             | EC               | CORP              | US        |      3789 | NS      | $348057.54    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Jackson Financial Inc                                                           | JACKSON FINANCIAL INC                                                           | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    445000 | PA      | $436365.67    | 0.02%             | 2027-06-08      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-5                                                 | JP MORGAN MORTGAGE TRUST 2020-5                                                 | CUSIP: 46653JBX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299037 | PA      | $238335.84    | 0.01%             | 2050-12-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    345000 | PA      | $339818.10    | 0.02%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    373000 | PA      | $355593.21    | 0.02%             | 2033-07-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    105000 | PA      | $97606.01     | 0.00%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    525000 | PA      | $478825.73    | 0.02%             | 2028-02-24      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $916492.17    | 0.04%             | 2027-04-22      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $812540.80    | 0.04%             | 2032-02-04      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    680000 | PA      | $595879.24    | 0.03%             | 2028-06-01      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1173368.94   | 0.06%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1035473.75   | 0.05%             | 2031-04-22      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    415000 | PA      | $352420.08    | 0.02%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    275000 | PA      | $255457.13    | 0.01%             | 2028-05-01      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                   | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $177449.68    | 0.01%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding LLC                                                     | JACK IN THE BOX FUNDING LLC                                                     | CUSIP: 466365AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    567360 | PA      | $493649.16    | 0.02%             | 2052-02-26      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     42535 | NS      | $5877486.30   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-INV1                                              | JP MORGAN MORTGAGE TRUST 2020-INV1                                              | CUSIP: 46591VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93110 | PA      | $82705.72     | 0.00%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-LTV1                                              | JP MORGAN MORTGAGE TRUST 2020-LTV1                                              | CUSIP: 46591NBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309633 | PA      | $258663.19    | 0.01%             | 2050-06-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-LTV1                                              | JP MORGAN MORTGAGE TRUST 2020-LTV1                                              | CUSIP: 46591NBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12286 | PA      | $11822.07     | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-LTV1                                              | JP MORGAN MORTGAGE TRUST 2020-LTV1                                              | CUSIP: 46591NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28745 | PA      | $27638.23     | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV3                                              | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98306 | PA      | $84211.08     | 0.00%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV3                                              | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113828 | PA      | $102775.65    | 0.00%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Ionis Pharmaceuticals Inc                                                       | IONIS PHARMACEUTICALS INC                                                       | CUSIP: 462222100<br>LEI: 549300SI4ZGLG0BLUZ92 | Long             | EC               | CORP              | US        |      5400 | NS      | $220266.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuitive Surgical Inc                                                          | INTUITIVE SURGICAL INC                                                          | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |     15259 | NS      | $4125881.01   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuit Inc                                                                      | INTUIT INC                                                                      | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |      9069 | NS      | $3696433.71   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Genmab A/S                                                                      | GENMAB A/S                                                                      | CUSIP: 000000000<br>LEI: 529900MTJPDPE4MHJ122 | Long             | EC               | CORP              | DK        |      1417 | NS      | $656630.67    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances Inc                                          | INTERNATIONAL FLAVORS & FRAGRANCES INC                                          | CUSIP: 459506101<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | EC               | CORP              | US        |     11371 | NS      | $1203279.22   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange Inc                                                   | INTERCONTINENTAL EXCHANGE INC                                                   | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    475000 | PA      | $466575.88    | 0.02%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Intellia Therapeutics Inc                                                       | INTELLIA THERAPEUTICS INC                                                       | CUSIP: 45826J105<br>LEI: 5493002T5BCPE5DZC723 | Long             | EC               | CORP              | US        |      2063 | NS      | $106161.98    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Insmed Inc                                                                      | INSMED INC                                                                      | CUSIP: 457669307<br>LEI: 529900Q55QAG41CCAC11 | Long             | EC               | CORP              | US        |     18788 | NS      | $347390.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Ingersoll Rand Inc                                                              | INGERSOLL RAND INC                                                              | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Long             | EC               | CORP              | US        |     17884 | NS      | $965199.48    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ING Groep NV                                                                    | ING GROEP NV                                                                    | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    225000 | PA      | $197329.50    | 0.01%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Infinera Corp                                                                   | INFINERA CORP                                                                   | CUSIP: 45667G103<br>LEI: 549300ZOF66WPV3H0H17 | Long             | EC               | CORP              | US        |      4175 | NS      | $28181.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Independence Plaza Trust 2018-INDP                                              | INDEPENDENCE PLAZA TRUST 2018-INDP                                              | CUSIP: 45378YAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895000 | PA      | $822924.04    | 0.04%             | 2035-07-10      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Independence Realty Trust Inc                                                   | INDEPENDENCE REALTY TRUST INC                                                   | CUSIP: 45378A106<br>LEI: 549300Z3L8NU44NQEB29 | Long             | EC               | CORP              | US        |     16296 | NS      | $295283.52    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Imperial Fund Mortgage Trust 2021-NQM2                                          | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2                                          | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185726 | PA      | $142517.71    | 0.01%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Icosavax Inc                                                                    | ICOSAVAX INC                                                                    | CUSIP: 45114M109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6341 | NS      | $21178.94     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| IDACORP Inc                                                                     | IDACORP INC                                                                     | CUSIP: 451107106<br>LEI: N134NUJDWN8UEFA8B673 | Long             | EC               | CORP              | US        |      4811 | NS      | $531759.83    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICU Medical Inc                                                                 | ICU MEDICAL INC                                                                 | CUSIP: 44930G107<br>LEI: 5493003NRW7LS2QZRH60 | Long             | EC               | CORP              | US        |      2654 | NS      | $422596.42    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| IAA Inc                                                                         | IAA INC                                                                         | CUSIP: 449253103<br>LEI: 549300PZCOPC5178W747 | Long             | EC               | CORP              | US        |      6385 | NS      | $238607.45    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    405000 | PA      | $327870.59    | 0.02%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $225351.00    | 0.01%             | 2025-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Huron Consulting Group Inc                                                      | HURON CONSULTING GROUP INC                                                      | CUSIP: 447462102<br>LEI: 549300NGVB9H6TKTLE36 | Long             | EC               | CORP              | US        |      2905 | NS      | $226183.30    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Hundred Acre Wood Trust 2021-INV1                                               | HUNDRED ACRE WOOD TRUST 2021-INV1                                               | CUSIP: 44590HBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740115 | PA      | $570003.98    | 0.03%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust 2021-INV2                                               | HUNDRED ACRE WOOD TRUST 2021-INV2                                               | CUSIP: 44555PBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233985 | PA      | $185173.44    | 0.01%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    160000 | PA      | $147734.24    | 0.01%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BN1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    392000 | PA      | $383421.86    | 0.02%             | 2030-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |      7240 | NS      | $3981276.00   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Hubbell Inc                                                                     | HUBBELL INC                                                                     | CUSIP: 443510607<br>LEI: 54930088VDQ6840Y6597 | Long             | EC               | CORP              | US        |      6552 | NS      | $1664601.12   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Honeywell International Inc                                                     | HONEYWELL INTERNATIONAL INC                                                     | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |     10849 | NS      | $2381897.95   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Depot Inc/The                                                              | HOME DEPOT INC/THE                                                              | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |      7002 | NS      | $2268577.98   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Home BancShares Inc/AR                                                          | HOME BANCSHARES INC/AR                                                          | CUSIP: 436893200<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12994 | NS      | $330697.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fresenius SE & Co KGaA                                                          | FRESENIUS SE & CO KGAA                                                          | CUSIP: 000000000<br>LEI: XDFJ0CYCOO1FXRFTQS51 | Long             | EC               | CORP              | DE        |     30711 | NS      | $855694.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HilleVax Inc                                                                    | HILLEVAX INC                                                                    | CUSIP: 43157M102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2235 | NS      | $44700.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Highwoods Realty LP                                                             | HIGHWOODS REALTY LP                                                             | CUSIP: 431282AS1<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |    685000 | PA      | $549254.92    | 0.03%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Highwoods Realty LP                                                             | HIGHWOODS REALTY LP                                                             | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |    570000 | PA      | $517007.67    | 0.02%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Heritage Commerce Corp                                                          | HERITAGE COMMERCE CORP                                                          | CUSIP: 426927109<br>LEI: 549300CLIS851ELSR406 | Long             | EC               | CORP              | US        |     22668 | NS      | $322112.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Helios Technologies Inc                                                         | HELIOS TECHNOLOGIES INC                                                         | CUSIP: 42328H109<br>LEI: 5493000BCJSMIDRNTI78 | Long             | EC               | CORP              | US        |      5145 | NS      | $271347.30    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Healthcare Realty Holdings LP                                                   | HEALTHCARE REALTY HOLDINGS LP                                                   | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    190000 | PA      | $137586.98    | 0.01%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                                                   | HEALTHCARE REALTY HOLDINGS LP                                                   | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    575000 | PA      | $508750.80    | 0.02%             | 2028-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Haynes International Inc                                                        | HAYNES INTERNATIONAL INC                                                        | CUSIP: 420877201<br>LEI: 549300I9MS5UZLRFDO40 | Long             | EC               | CORP              | US        |      6056 | NS      | $302557.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Hasbro Inc                                                                      | HASBRO INC                                                                      | CUSIP: 418056AY3<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    235000 | PA      | $220994.94    | 0.01%             | 2026-11-19      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Hartford Financial Services Group Inc/The                                       | HARTFORD FINANCIAL SERVICES GROUP INC/THE                                       | CUSIP: 416515104<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | EC               | CORP              | US        |     20051 | NS      | $1531294.87   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Hardee s Funding LLC                                                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237000 | PA      | $187819.42    | 0.01%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Hardee s Funding LLC                                                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    528000 | PA      | $495675.31    | 0.02%             | 2048-06-20      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Hanover Insurance Group Inc/The                                                 | HANOVER INSURANCE GROUP INC/THE                                                 | CUSIP: 410867105<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | EC               | CORP              | US        |      3363 | NS      | $495369.90    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Intesa Sanpaolo SpA                                                             | INTESA SANPAOLO SPA                                                             | CUSIP: 000000000<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | EC               | CORP              | IT        |    255338 | NS      | $566917.55    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| L Oreal SA                                                                      | L'OREAL SA                                                                      | CUSIP: 000000000<br>LEI: 529900JI1GG6F7RKVI53 | Long             | EC               | CORP              | FR        |      4454 | NS      | $1672726.33   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Haleon PLC                                                                      | HALEON PLC                                                                      | CUSIP: 405552100<br>LEI: 549300PSB3WWEODCUP19 | Long             | EC               | CORP              | GB        |     34171 | NS      | $235438.19    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HPEFS Equipment Trust                                                           | HPEFS EQUIPMENT TRUST                                                           | CUSIP: 40441RAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $298119.66    | 0.01%             | 2029-11-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                                           | HPEFS EQUIPMENT TRUST                                                           | CUSIP: 40441RAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104000 | PA      | $95723.18     | 0.00%             | 2029-05-21      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 2021-16 Ltd                                                 | HPS LOAN MANAGEMENT 2021-16 LTD                                                 | CUSIP: 40440XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $289873.28    | 0.01%             | 2035-01-23      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    450000 | PA      | $432026.10    | 0.02%             | 2028-08-11      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    905000 | PA      | $853039.43    | 0.04%             | 2028-06-09      | Variable      | 4.75%                 | No            |                  2 | On Loan: —       |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280DA4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $488792.85    | 0.02%             | 2026-03-10      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    205000 | PA      | $183884.39    | 0.01%             | 2026-04-18      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    570000 | PA      | $515026.92    | 0.02%             | 2026-06-04      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare Inc                                                              | HCA HEALTHCARE INC                                                              | CUSIP: 40412C101<br>LEI: 529900PH4ZGUH2MNEU89 | Long             | EC               | CORP              | US        |     11016 | NS      | $2646263.52   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    175000 | PA      | $173127.50    | 0.01%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119CE7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     85000 | PA      | $75019.47     | 0.00%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    220000 | PA      | $199864.72    | 0.01%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    185000 | PA      | $145065.90    | 0.01%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    372000 | PA      | $318060.00    | 0.01%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    645000 | PA      | $647322.00    | 0.03%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                      | GREAT WOLF TRUST 2019-WOLF                                                      | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $404685.68    | 0.02%             | 2036-12-15      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                           | GRAY OAK PIPELINE LLC                                                           | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $131210.79    | 0.01%             | 2025-10-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                           | GRAY OAK PIPELINE LLC                                                           | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $53194.26     | 0.00%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                           | GRAY OAK PIPELINE LLC                                                           | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $43678.26     | 0.00%             | 2023-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Graco Inc                                                                       | GRACO INC                                                                       | CUSIP: 384109104<br>LEI: 4T5VJ4S81BRT6Q7GGT78 | Long             | EC               | CORP              | US        |      5380 | NS      | $376438.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $214356.63    | 0.01%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29359 | PA      | $27177.22     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38121 | PA      | $34778.76     | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55561 | PA      | $8911.33      | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35789 | PA      | $5431.04      | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38375GQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15754 | PA      | $109.92       | 0.00%             | 2037-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    340000 | PA      | $323592.28    | 0.02%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    680000 | PA      | $651376.08    | 0.03%             | 2028-08-23      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    515000 | PA      | $478914.47    | 0.02%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    515000 | PA      | $445362.22    | 0.02%             | 2027-09-10      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1875000 | PA      | $1506555.00   | 0.07%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     13159 | NS      | $5081347.85   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| GSK PLC                                                                         | GSK PLC                                                                         | CUSIP: 37733W204<br>LEI: 5493000HZTVUYLO1D793 | Long             | EC               | CORP              | GB        |     23958 | NS      | $828707.22    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Gibraltar Industries Inc                                                        | GIBRALTAR INDUSTRIES INC                                                        | CUSIP: 374689107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5683 | NS      | $287616.63    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Generation Bio Co                                                               | GENERATION BIO CO                                                               | CUSIP: 37148K100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      8379 | NS      | $44660.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XCY0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    480000 | PA      | $408245.76    | 0.02%             | 2030-06-21      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XCR5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64582.90     | 0.00%             | 2024-01-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XCK0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    489000 | PA      | $476494.31    | 0.02%             | 2025-04-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XBQ8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    225000 | PA      | $211565.70    | 0.01%             | 2026-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XAZ9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    465000 | PA      | $451540.58    | 0.02%             | 2025-07-13      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                                               | GENERAL MOTORS CO                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    140000 | PA      | $134498.28    | 0.01%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                                               | GENERAL MOTORS CO                                                               | CUSIP: 37045VAN0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95128.70     | 0.00%             | 2027-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| General Electric Co                                                             | GENERAL ELECTRIC CO                                                             | CUSIP: 369604301<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | EC               | CORP              | US        |     63658 | NS      | $5472678.26   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Galton Funding Mortgage Trust 2019-H1                                           | GALTON FUNDING MORTGAGE TRUST 2019-H1                                           | CUSIP: 36418XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327553 | PA      | $316869.42    | 0.01%             | 2059-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2018-2                                            | GALTON FUNDING MORTGAGE TRUST 2018-2                                            | CUSIP: 36418GAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27851 | PA      | $26283.76     | 0.00%             | 2058-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                            | GALTON FUNDING MORTGAGE TRUST 2017-1                                            | CUSIP: 36417JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40382 | PA      | $36614.88     | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9323 | PA      | $9556.93      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2021-GR1                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR1                                    | CUSIP: 36262QAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393781 | PA      | $311148.59    | 0.01%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2021-GR2                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                    | CUSIP: 36262JAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403607 | PA      | $317756.05    | 0.01%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-INV1                                   | GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1                                   | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239278 | PA      | $202124.84    | 0.01%             | 2050-10-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2022-GR2                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                                    | CUSIP: 36250BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7021 | PA      | $6852.68      | 0.00%             | 2044-07-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2013-GC16                                          | GS MORTGAGE SECURITIES TRUST 2013-GC16                                          | CUSIP: 36248GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280000 | PA      | $1244811.52   | 0.06%             | 2046-11-10      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34208 | PA      | $35329.90     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34208 | PA      | $35329.90     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36241KYG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23676 | PA      | $25115.22     | 0.00%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622ABZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88817 | PA      | $87152.23     | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622ABZD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126823 | PA      | $123083.21    | 0.01%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622ABUR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316467 | PA      | $299211.04    | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622ABCY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160695 | PA      | $152875.96    | 0.01%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                                              | GINNIE MAE II POOL                                                              | CUSIP: 3622AB5L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89466 | PA      | $85463.81     | 0.00%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AAYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45824 | PA      | $42695.78     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AARG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    451973 | PA      | $425068.15    | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AAKC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322659 | PA      | $306192.30    | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AAGA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14002 | PA      | $13182.07     | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AAE42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123818 | PA      | $117089.78    | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A3BS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117650 | PA      | $113151.72    | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2ZK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52758 | PA      | $51013.58     | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30504 | PA      | $31504.30     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21703 | PA      | $21798.31     | 0.00%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19828 | PA      | $18403.67     | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2N57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22058 | PA      | $23526.57     | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66740 | PA      | $68941.89     | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1428 | PA      | $1521.54      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2GK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378821 | PA      | $363326.89    | 0.02%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90059 | PA      | $85161.90     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231317 | PA      | $218343.52    | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A26K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314543 | PA      | $296114.01    | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15443 | PA      | $15897.69     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36206TZD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        87 | PA      | $86.72        | 0.00%             | 2025-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171139 | PA      | $172785.88    | 0.01%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36051 | PA      | $37106.64     | 0.00%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72813 | PA      | $74924.70     | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15198 | PA      | $15344.65     | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106112 | PA      | $105972.10    | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6346 | PA      | $6187.19      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147871 | PA      | $149294.14    | 0.01%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6756 | PA      | $6953.82      | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20280 | PA      | $20474.80     | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57837 | PA      | $58390.92     | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4925 | PA      | $5069.43      | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13123 | PA      | $13506.58     | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3977 | PA      | $4093.37      | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32136 | PA      | $32444.58     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11813 | PA      | $12158.82     | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6338 | PA      | $6523.31      | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7836 | PA      | $7911.60      | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14876 | PA      | $15304.30     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70708 | PA      | $74022.31     | 0.00%             | 2036-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11979 | PA      | $12324.49     | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202CWR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        39 | PA      | $38.73        | 0.00%             | 2027-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202CT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1971 | PA      | $2002.42      | 0.00%             | 2027-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202CKP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       133 | PA      | $135.01       | 0.00%             | 2025-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36201FW86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4299 | PA      | $4349.21      | 0.00%             | 2032-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20488 | PA      | $18661.12     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17542 | PA      | $15946.85     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194PGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35436 | PA      | $32234.81     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36477 | PA      | $33178.01     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21821 | PA      | $19840.90     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194CT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17859 | PA      | $16239.22     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65026 | PA      | $59018.53     | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VJC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52558 | PA      | $47779.17     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VJB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25993 | PA      | $23673.25     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26976 | PA      | $24566.35     | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10090 | PA      | $9185.58      | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36192STM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9091 | PA      | $8587.54      | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39194 | PA      | $37068.99     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GMF Floorplan Owner Revolving Trust                                             | GMF FLOORPLAN OWNER REVOLVING TRUST                                             | CUSIP: 361886CP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240000 | PA      | $228975.48    | 0.01%             | 2025-10-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184Y5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32819 | PA      | $31032.83     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184SPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5973 | PA      | $5648.89      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184Q2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10776 | PA      | $10189.46     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36184BZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31209 | PA      | $29689.45     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23785 | PA      | $22491.64     | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP / GLP Financing II Inc                                           | GLP CAPITAL LP / GLP FINANCING II INC                                           | CUSIP: 361841AN9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $114089.64    | 0.01%             | 2024-09-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15219 | PA      | $14394.00     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G9FT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40105 | PA      | $40390.16     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G85D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11855 | PA      | $11890.65     | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617B5DY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105074 | PA      | $98922.15     | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26673 | PA      | $25160.75     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1581960 | PA      | $1550294.00   | 0.07%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1940162 | PA      | $1852905.69   | 0.09%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    224025 | PA      | $196974.77    | 0.01%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441676 | PA      | $376371.58    | 0.02%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    987682 | PA      | $842324.12    | 0.04%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1068618 | PA      | $940863.96    | 0.04%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    594865 | PA      | $524192.82    | 0.02%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1191786 | PA      | $1077006.54   | 0.05%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2675046 | PA      | $2356183.88   | 0.11%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    402811 | PA      | $354881.41    | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337175 | PA      | $297232.42    | 0.01%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2458830 | PA      | $2100250.81   | 0.10%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1128559 | PA      | $1024837.63   | 0.05%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    776481 | PA      | $684414.03    | 0.03%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2001242 | PA      | $1709821.72   | 0.08%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    514558 | PA      | $440283.53    | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    689626 | PA      | $623146.75    | 0.03%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    767453 | PA      | $653478.73    | 0.03%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500688 | PA      | $481202.97    | 0.02%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306381 | PA      | $270772.18    | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46610 | PA      | $41545.08     | 0.00%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159365 | PA      | $142034.63    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VDC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53150 | PA      | $47375.52     | 0.00%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12985 | PA      | $11638.57     | 0.00%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283455 | PA      | $284924.63    | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39331 | PA      | $40470.10     | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96020 | PA      | $90418.48     | 0.00%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31265 | PA      | $32002.72     | 0.00%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118267 | PA      | $121496.50    | 0.01%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40232 | PA      | $41352.95     | 0.00%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8315 | PA      | $8548.61      | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       333 | PA      | $343.58       | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89862 | PA      | $80256.13     | 0.00%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242994 | PA      | $244534.20    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153120 | PA      | $157965.50    | 0.01%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30516 | PA      | $31614.31     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39471 | PA      | $40822.73     | 0.00%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296545 | PA      | $279419.67    | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85091 | PA      | $86399.88     | 0.00%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207700 | PA      | $201225.95    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164615 | PA      | $167741.96    | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TG66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134047 | PA      | $133639.16    | 0.01%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7550 | PA      | $7333.68      | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21651 | PA      | $20479.30     | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41217 | PA      | $41850.56     | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61805 | PA      | $58034.48     | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23567 | PA      | $23927.03     | 0.00%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39393 | PA      | $39997.40     | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127467 | PA      | $123492.35    | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27286 | PA      | $27006.34     | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82633 | PA      | $78226.14     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32234 | PA      | $32722.05     | 0.00%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170869 | PA      | $156745.37    | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18859 | PA      | $19084.50     | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15427 | PA      | $14566.41     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103532 | PA      | $95153.40     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476259 | PA      | $450058.08    | 0.02%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79484 | PA      | $75204.75     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190310 | PA      | $175197.90    | 0.01%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258421 | PA      | $250366.67    | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7724 | PA      | $7479.50      | 0.00%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21255 | PA      | $19958.62     | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16923 | PA      | $17126.22     | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69126 | PA      | $65158.31     | 0.00%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154627 | PA      | $146182.95    | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    761512 | PA      | $704452.83    | 0.03%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259542 | PA      | $240360.60    | 0.01%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101956 | PA      | $96395.62     | 0.00%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56894 | PA      | $59575.67     | 0.00%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68691 | PA      | $63614.51     | 0.00%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119201 | PA      | $113501.55    | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141832 | PA      | $137779.91    | 0.01%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5471 | PA      | $5331.63      | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6347 | PA      | $6187.92      | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MK82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39254 | PA      | $38268.04     | 0.00%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23364 | PA      | $22246.34     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70875 | PA      | $69096.74     | 0.00%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79319 | PA      | $75636.78     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25725 | PA      | $24494.12     | 0.00%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36178WP45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3033 | PA      | $2839.95      | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HB Fuller Co                                                                    | HB FULLER CO                                                                    | CUSIP: 359694106<br>LEI: JSMX3Z5FOYM8V0Q52357 | Long             | EC               | CORP              | US        |      1500 | NS      | $120465.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fresh Market Inc/The                                                            | FRESH MARKET INC/THE ESCROW                                                     | CUSIP: 358ESC010<br>LEI: 529900QM5ZSBEBR6CS58 | Long             | EC               | CORP              | US        |      3700 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA5                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA5                                         | CUSIP: 35564KYN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    725497 | PA      | $731817.39    | 0.03%             | 2042-06-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA3                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA3                                         | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    748008 | PA      | $738333.26    | 0.03%             | 2042-04-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA2                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA2                                         | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    137483 | PA      | $129148.78    | 0.01%             | 2042-02-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA1                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA1                                         | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    495000 | PA      | $452339.56    | 0.02%             | 2042-01-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Structured Agency Credit Risk Debt Notes                            | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240000 | PA      | $231911.93    | 0.01%             | 2033-08-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fortinet Inc                                                                    | FORTINET INC                                                                    | CUSIP: 34959E109<br>LEI: 549300O0QJWDBAS0QX03 | Long             | EC               | CORP              | US        |      6852 | NS      | $364252.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Floor & Decor Holdings Inc                                                      | FLOOR & DECOR HOLDINGS INC                                                      | CUSIP: 339750101<br>LEI: 549300M5FR3N688XGQ36 | Long             | EC               | CORP              | US        |      1100 | NS      | $82093.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagstar Mortgage Trust 2020-1NV                                                | FLAGSTAR MORTGAGE TRUST 2020-1NV                                                | CUSIP: 33851YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85614 | PA      | $78432.05     | 0.00%             | 2050-03-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Five Star Bancorp                                                               | FIVE STAR BANCORP                                                               | CUSIP: 33830T103<br>LEI: 5493008ZRBIHKWC0JA73 | Long             | EC               | CORP              | US        |      5843 | NS      | $157761.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Five9 Inc                                                                       | FIVE9 INC                                                                       | CUSIP: 338307101<br>LEI: 254900MXP6EWY0SFFR59 | Long             | EC               | CORP              | US        |      5235 | NS      | $335615.85    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| 522 Funding CLO 2019-5 Ltd                                                      | 522 FUNDING CLO 2019-5 LTD                                                      | CUSIP: 33829WAE9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $415746.64    | 0.02%             | 2035-04-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO 2019-5 Ltd                                                      | 522 FUNDING CLO 2019-5 LTD                                                      | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |    770000 | PA      | $741020.03    | 0.03%             | 2035-04-15      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Five Below Inc                                                                  | FIVE BELOW INC                                                                  | CUSIP: 33829M101<br>LEI: 529900AAXP5Z6BGI7418 | Long             | EC               | CORP              | US        |      1457 | NS      | $234373.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FirstEnergy Corp                                                                | FIRSTENERGY CORP                                                                | CUSIP: 337932107<br>LEI: 549300SVYJS666PQJH88 | Long             | EC               | CORP              | US        |     30373 | NS      | $1252582.52   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fiserv Inc                                                                      | FISERV INC                                                                      | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    150000 | PA      | $135654.90    | 0.01%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fiserv Inc                                                                      | FISERV INC                                                                      | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | EC               | CORP              | US        |     34153 | NS      | $3564207.08   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| FirstService Corp                                                               | FIRSTSERVICE CORP                                                               | CUSIP: 33767E202<br>LEI: 5493000XUDIV75BCF118 | Long             | EC               | CORP              | CA        |      6567 | NS      | $849572.79    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Kingfisher PLC                                                                  | KINGFISHER PLC                                                                  | CUSIP: 000000000<br>LEI: 213800KBMEV7I92FY281 | Long             | EC               | CORP              | GB        |    390556 | NS      | $1142140.84   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Next PLC                                                                        | NEXT PLC                                                                        | CUSIP: 000000000<br>LEI: 213800WQD8ECPZP9PH98 | Long             | EC               | CORP              | GB        |     12606 | NS      | $900913.43    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| First Industrial Realty Trust Inc                                               | FIRST INDUSTRIAL REALTY TRUST INC                                               | CUSIP: 32054K103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4628 | NS      | $233945.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| First Bancshares Inc/The                                                        | FIRST BANCSHARES INC/THE                                                        | CUSIP: 318916103<br>LEI: 5493006DL5RXJODMAF36 | Long             | EC               | CORP              | US        |      7056 | NS      | $241244.64    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| First American Financial Corp                                                   | FIRST AMERICAN FINANCIAL CORP                                                   | CUSIP: 31847R102<br>LEI: 549300B6VEZK3N0A1P55 | Long             | EC               | CORP              | US        |      3700 | NS      | $202205.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fifth Third Bancorp                                                             | FIFTH THIRD BANCORP                                                             | CUSIP: 316773DG2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    140000 | PA      | $131426.12    | 0.01%             | 2030-07-28      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fiesta Restaurant Group Inc                                                     | FIESTA RESTAURANT GROUP INC                                                     | CUSIP: 31660B101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     18700 | NS      | $121924.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage Trust 2021-3                                       | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-3                                       | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291160 | PA      | $233558.33    | 0.01%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| FedEx Corp                                                                      | FEDEX CORP                                                                      | CUSIP: 31428XCD6<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    471000 | PA      | $383540.48    | 0.02%             | 2031-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146679 | PA      | $146629.24    | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22547 | PA      | $21975.68     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19066 | PA      | $18582.46     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46935 | PA      | $46918.64     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246686 | PA      | $240433.96    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88727 | PA      | $86477.71     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5676 | PA      | $5943.94      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4419 | PA      | $4373.75      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6288 | PA      | $6601.90      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21640 | PA      | $22719.50     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62170 | PA      | $65108.06     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7238 | PA      | $7155.45      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418TJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27426 | PA      | $28047.29     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36657 | PA      | $38454.84     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MHX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       589 | PA      | $607.37       | 0.00%             | 2038-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37557 | PA      | $39429.71     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16514 | PA      | $17361.66     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61510 | PA      | $61230.23     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213296 | PA      | $207740.42    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EGD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94748 | PA      | $85369.83     | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EF39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382804 | PA      | $335690.12    | 0.02%             | 2037-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15531 | PA      | $13993.27     | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445356 | PA      | $411622.36    | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    904539 | PA      | $881071.48    | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515221 | PA      | $451800.62    | 0.02%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    964817 | PA      | $819608.35    | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624123 | PA      | $547296.69    | 0.03%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1077337 | PA      | $922384.53    | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2508977 | PA      | $2067465.98   | 0.10%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716628 | PA      | $591300.03    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4834200 | PA      | $3988379.52   | 0.19%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577950 | PA      | $472467.46    | 0.02%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429137 | PA      | $393438.78    | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1208931 | PA      | $1038857.09   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2217459 | PA      | $1832997.19   | 0.09%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258523 | PA      | $214582.30    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    666900 | PA      | $571771.38    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420426 | PA      | $417005.82    | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244854 | PA      | $235950.20    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368277 | PA      | $344095.28    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255392 | PA      | $246738.05    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18687 | PA      | $17418.44     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208325 | PA      | $201185.79    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163615 | PA      | $147494.40    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79132 | PA      | $74480.10     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418AAH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34288 | PA      | $33424.74     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54114 | PA      | $52742.15     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23953 | PA      | $24014.06     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35344 | PA      | $35331.63     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417UEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31728 | PA      | $31807.99     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6741 | PA      | $6737.45      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11762 | PA      | $11785.53     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9005 | PA      | $8487.52      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55338 | PA      | $50784.71     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GFT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52538 | PA      | $49517.42     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417FU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632558 | PA      | $580457.07    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417F4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179276 | PA      | $163977.75    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121181 | PA      | $111202.01    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40894 | PA      | $37526.65     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54580 | PA      | $50085.72     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53557 | PA      | $49865.79     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CGZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23390 | PA      | $22015.33     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84988 | PA      | $82939.19     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416XY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56888 | PA      | $57032.08     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24032 | PA      | $25166.68     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8447 | PA      | $8440.33      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1296 | PA      | $1358.89      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96 | PA      | $97.32        | 0.00%             | 2023-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14327 | PA      | $15041.70     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8599 | PA      | $9189.81      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24960 | PA      | $26168.90     | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1874 | PA      | $1967.27      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413JZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       618 | PA      | $636.00       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5563 | PA      | $5573.79      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21378 | PA      | $22359.36     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411F5L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       439 | PA      | $455.43       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411AQT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7103 | PA      | $7314.20      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2167 | PA      | $2231.02      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410WRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4911 | PA      | $5056.97      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410TAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       168 | PA      | $173.04       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410SB63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3337 | PA      | $3436.20      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135958 | PA      | $128453.01    | 0.01%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4426 | PA      | $4526.12      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3707 | PA      | $3716.32      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49580 | PA      | $49705.50     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KSS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108908 | PA      | $112299.41    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1018 | PA      | $1068.45      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       314 | PA      | $322.08       | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17757 | PA      | $18642.64     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10091 | PA      | $10583.36     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3042 | PA      | $3197.64      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410G2F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13434 | PA      | $14092.45     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37206 | PA      | $39144.95     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268811 | PA      | $230256.15    | 0.01%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XJB93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196870 | PA      | $167240.37    | 0.01%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96142 | PA      | $93706.48     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421618 | PA      | $392392.17    | 0.02%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87791 | PA      | $76027.03     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266485 | PA      | $221035.64    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499723 | PA      | $511264.65    | 0.02%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77806 | PA      | $73394.73     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGEQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552816 | PA      | $538811.32    | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XG3C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212274 | PA      | $207594.82    | 0.01%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513705 | PA      | $426402.43    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XD5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255944 | PA      | $219632.50    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327349 | PA      | $334681.48    | 0.02%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74326 | PA      | $71547.63     | 0.00%             | 2035-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68899 | PA      | $59191.04     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCDA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640054 | PA      | $598286.63    | 0.03%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368239 | PA      | $355420.97    | 0.02%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XALH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447436 | PA      | $443449.58    | 0.02%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XA2E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592468 | PA      | $530310.42    | 0.02%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9KW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145455 | PA      | $145822.54    | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9DE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467896 | PA      | $429399.55    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9DD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193689 | PA      | $175096.03    | 0.01%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78982 | PA      | $81443.37     | 0.00%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236167 | PA      | $218969.51    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487947 | PA      | $469223.00    | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138181 | PA      | $133270.45    | 0.01%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X6QQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218043 | PA      | $199965.63    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X6FL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531687 | PA      | $475552.76    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X5ZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113264 | PA      | $106858.76    | 0.01%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X56K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225921 | PA      | $220195.56    | 0.01%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X4TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118262 | PA      | $107292.57    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207558 | PA      | $186826.78    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QP2M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437812 | PA      | $414279.53    | 0.02%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1738471 | PA      | $1608187.37   | 0.08%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561988 | PA      | $463663.39    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404172 | PA      | $332967.99    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583008 | PA      | $502288.96    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434907 | PA      | $358848.68    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    921926 | PA      | $794229.64    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1196075 | PA      | $987099.64    | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1417607 | PA      | $1217227.08   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QM4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636257 | PA      | $545884.72    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397845 | PA      | $1200826.81   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687646 | PA      | $591294.31    | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1765884 | PA      | $1516250.46   | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328804 | PA      | $272467.55    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196890 | PA      | $175652.60    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82432 | PA      | $80949.20     | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128675 | PA      | $116536.27    | 0.01%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102685 | PA      | $90966.35     | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94108 | PA      | $83368.61     | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6850 | PA      | $6134.85      | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25412 | PA      | $25124.39     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213610 | PA      | $201538.88    | 0.01%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10829 | PA      | $10341.92     | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73384 | PA      | $65510.71     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75850 | PA      | $72290.68     | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QC4X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292637 | PA      | $261209.26    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31850 | PA      | $31523.95     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31151 | PA      | $30841.54     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140N16U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424255 | PA      | $422454.26    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MMWS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462225 | PA      | $428357.81    | 0.02%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MGHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    811153 | PA      | $669147.61    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LPNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596174 | PA      | $511578.22    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LNFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155914 | PA      | $135998.97    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140K3B27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68927 | PA      | $65014.15     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211470 | PA      | $194055.55    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9YQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73577 | PA      | $69251.36     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7593 | PA      | $7395.27      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70557 | PA      | $67593.32     | 0.00%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152371 | PA      | $146487.83    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9HW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148538 | PA      | $134266.47    | 0.01%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110448 | PA      | $103451.77    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J95S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58197 | PA      | $54769.69     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318911 | PA      | $316761.01    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J8VP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139030 | PA      | $127580.80    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7XP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303520 | PA      | $292168.46    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210836 | PA      | $209436.22    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3871 | PA      | $3749.14      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J6CR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149920 | PA      | $141319.55    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87426 | PA      | $82777.94     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J5UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140105 | PA      | $135290.06    | 0.01%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J5FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45372 | PA      | $44203.84     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327166 | PA      | $305525.51    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FXGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197610 | PA      | $189433.25    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41363 | PA      | $37413.52     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FGNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73941 | PA      | $66731.09     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FGMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118882 | PA      | $107334.59    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83587 | PA      | $75437.48     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F5TN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63595 | PA      | $57370.69     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F0T87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67024 | PA      | $63112.11     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140E0E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35666 | PA      | $33413.74     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6313 | PA      | $6574.20      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21207 | PA      | $22265.18     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22921 | PA      | $24064.57     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7966 | PA      | $7882.53      | 0.00%             | 2036-08-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11263 | PA      | $11803.76     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33515 | PA      | $34594.88     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31541 | PA      | $33113.78     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5390 | PA      | $5658.90      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59813 | PA      | $61680.79     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12077 | PA      | $12679.30     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C5F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5001 | PA      | $5148.99      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20256 | PA      | $21253.20     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5937 | PA      | $6122.90      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19712 | PA      | $20327.52     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14523 | PA      | $15247.41     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4252 | PA      | $4384.36      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14508 | PA      | $14959.65     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2531 | PA      | $2610.22      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5160 | PA      | $5320.35      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37959 | PA      | $39141.85     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2167 | PA      | $2271.42      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6556 | PA      | $6759.91      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134932 | PA      | $140633.05    | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27659 | PA      | $28520.86     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2918 | PA      | $3005.52      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75909 | PA      | $72982.17     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138X53G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19981 | PA      | $18788.62     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL                                                                 | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15867 | PA      | $14481.47     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24033 | PA      | $22629.86     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WPGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221392 | PA      | $203154.75    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13151 | PA      | $12393.73     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WMW49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10677 | PA      | $10065.40     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6081 | PA      | $5520.94      | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WKBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54950 | PA      | $49818.03     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WKA96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1219 | PA      | $1094.73      | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77010 | PA      | $73080.92     | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103858 | PA      | $93766.36     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357649 | PA      | $323033.95    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJGP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123710 | PA      | $111698.99    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJGK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269610 | PA      | $243526.29    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJGH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260721 | PA      | $235398.48    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJGD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290543 | PA      | $264890.47    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78142 | PA      | $70498.84     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WH6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209294 | PA      | $189117.79    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95719 | PA      | $92257.52     | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114594 | PA      | $107358.53    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102005 | PA      | $95501.18     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21411 | PA      | $20853.39     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186150 | PA      | $175240.91    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305686 | PA      | $286291.54    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14408 | PA      | $14053.50     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WFK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173301 | PA      | $162341.62    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WFGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35590 | PA      | $33698.89     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WD5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15490 | PA      | $14957.89     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WCXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31063 | PA      | $29203.99     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WAFC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51307 | PA      | $49325.44     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138W9ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9966 | PA      | $9573.69      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138W9NY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77170 | PA      | $70721.50     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138W9C32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16943 | PA      | $15968.63     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MQX99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122599 | PA      | $115384.71    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MBKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88328 | PA      | $83132.05     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LXQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41738 | PA      | $39280.76     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LUTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20397 | PA      | $19192.23     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151496 | PA      | $142903.68    | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73733 | PA      | $72050.17     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68496 | PA      | $64552.24     | 0.00%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47259 | PA      | $44480.51     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151717 | PA      | $148143.08    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERQN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34059 | PA      | $32161.96     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63392 | PA      | $60157.72     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65062 | PA      | $58705.05     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146913 | PA      | $139418.56    | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337373 | PA      | $320161.72    | 0.02%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170367 | PA      | $154074.64    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERHS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300642 | PA      | $283583.87    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86094 | PA      | $84081.85     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33350 | PA      | $29715.29     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13325 | PA      | $13000.59     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EQ2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53490 | PA      | $50112.45     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9627 | PA      | $10169.74     | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41183 | PA      | $43193.95     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22641 | PA      | $23153.19     | 0.00%             | 2042-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146578 | PA      | $137960.07    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1404 | PA      | $1470.91      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4960 | PA      | $5114.36      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EMHW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21876 | PA      | $22894.08     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39231 | PA      | $39330.55     | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89107 | PA      | $84020.54     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELBQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6569 | PA      | $6717.31      | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42951 | PA      | $40486.18     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10373 | PA      | $10608.10     | 0.00%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13431 | PA      | $12640.23     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19287 | PA      | $18630.10     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50384 | PA      | $52897.95     | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJXT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8456 | PA      | $8241.82      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22592 | PA      | $22648.91     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81111 | PA      | $79055.08     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107081 | PA      | $104912.09    | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5611 | PA      | $5884.85      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108681 | PA      | $105925.85    | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60653 | PA      | $60806.24     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11678 | PA      | $11382.10     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EH7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18671 | PA      | $19568.52     | 0.00%             | 2042-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13796 | PA      | $14564.89     | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1228 | PA      | $1266.65      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135442 | PA      | $135528.66    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26871 | PA      | $28212.57     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EG3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17005 | PA      | $17911.27     | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EG3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81860 | PA      | $79784.95     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E2MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18526 | PA      | $17936.46     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9785 | PA      | $9229.91      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ARBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47520 | PA      | $46340.82     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41323 | PA      | $40275.57     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A2WY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16429 | PA      | $16012.47     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43532 | PA      | $42428.44     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31386FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       128 | PA      | $127.75       | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385XAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1692 | PA      | $1762.84      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16009 | PA      | $16681.05     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1297 | PA      | $1357.97      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14886 | PA      | $15634.93     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97 | PA      | $101.10       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385HSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       964 | PA      | $1006.79      | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Signal Corp                                                             | FEDERAL SIGNAL CORP                                                             | CUSIP: 313855108<br>LEI: 549300RTXZRPTNP6G884 | Long             | EC               | CORP              | US        |      9273 | NS      | $450575.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137FRZF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260377 | PA      | $40685.81     | 0.00%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3191 | PA      | $3346.88      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371MNT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21784 | PA      | $22776.94     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2279 | PA      | $2425.68      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1276 | PA      | $236.68       | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54548 | PA      | $57234.08     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HMQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10415 | PA      | $10934.30     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10878 | PA      | $11420.84     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30620 | PA      | $27588.30     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170404 | PA      | $153532.49    | 0.01%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550519 | PA      | $485055.04    | 0.02%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821579 | PA      | $697916.30    | 0.03%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32043 | PA      | $28870.22     | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76510 | PA      | $63435.70     | 0.00%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411453 | PA      | $1216041.35   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1170468 | PA      | $965855.04    | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44536 | PA      | $39503.93     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KLZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1083009 | PA      | $894664.82    | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KJL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76309 | PA      | $63363.92     | 0.00%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KHKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190767 | PA      | $182840.03    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KHDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184925 | PA      | $177627.00    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KH3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58653 | PA      | $57742.79     | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KGKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98326 | PA      | $91128.34     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNSV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129775 | PA      | $129184.13    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BDHH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    718735 | PA      | $636352.53    | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BBZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111493 | PA      | $91948.03     | 0.00%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133B1RZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340336 | PA      | $280838.32    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133ATXF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65489 | PA      | $56063.94     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AQFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66991 | PA      | $57521.56     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133APV63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53488 | PA      | $45933.01     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AMGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113359 | PA      | $98879.89     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AM5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19060 | PA      | $16377.92     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AM4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232705 | PA      | $199835.93    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AKNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16771 | PA      | $14411.16     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 31336CMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       763 | PA      | $749.52       | 0.00%             | 2035-07-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74050 | PA      | $74317.47     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132J85B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111829 | PA      | $102733.28    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132J85A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136704 | PA      | $125585.39    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H7C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65450 | PA      | $61658.38     | 0.00%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H5BB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31659 | PA      | $29823.04     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H3PR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128400 | PA      | $120987.43    | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132GKGF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40254 | PA      | $39275.95     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32144 | PA      | $31363.08     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423190 | PA      | $421262.76    | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2023647 | PA      | $1668226.53   | 0.08%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3142905 | PA      | $2690830.36   | 0.13%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225669 | PA      | $185953.33    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617056 | PA      | $528276.63    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4694999 | PA      | $3871125.41   | 0.18%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491561 | PA      | $406243.26    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVMC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246065 | PA      | $1114477.99   | 0.05%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVLL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79414 | PA      | $71263.68     | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1438304 | PA      | $1249780.69   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DV4Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205291 | PA      | $195776.25    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNXE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163679 | PA      | $154864.16    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNUW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466764 | PA      | $428353.63    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219462 | PA      | $206379.26    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403026 | PA      | $334536.11    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DMVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93948 | PA      | $86914.83     | 0.00%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DMCR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137618 | PA      | $124695.66    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D9JV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324337 | PA      | $296951.62    | 0.01%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6BQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371050 | PA      | $325375.36    | 0.02%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371457 | PA      | $363710.44    | 0.02%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81790 | PA      | $77162.09     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132ACFU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621576 | PA      | $580693.77    | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A8Y37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431616 | PA      | $412163.02    | 0.02%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A8GL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215307 | PA      | $207531.43    | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A5GA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85425 | PA      | $77061.92     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3131XW4R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589490 | PA      | $550962.52    | 0.03%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55578 | PA      | $54228.04     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69475 | PA      | $67787.60     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7230 | PA      | $7053.89      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41365 | PA      | $40360.08     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       697 | PA      | $679.71       | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943DQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54052 | PA      | $54247.47     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       530 | PA      | $517.27       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1716 | PA      | $1681.24      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17951 | PA      | $17515.13     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11736 | PA      | $11982.60     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2080 | PA      | $2129.51      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29660 | PA      | $30364.60     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312939WT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26066 | PA      | $26818.66     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11349 | PA      | $11357.89     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66560 | PA      | $66411.43     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46471 | PA      | $43833.27     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103051 | PA      | $97314.01     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6098 | PA      | $6361.83      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128S4GD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5559 | PA      | $5532.52      | 0.00%             | 2037-02-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       875 | PA      | $857.20       | 0.00%             | 2037-02-01      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4698 | PA      | $4689.55      | 0.00%             | 2036-12-01      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7494 | PA      | $7329.33      | 0.00%             | 2036-11-01      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2104 | PA      | $2152.45      | 0.00%             | 2036-10-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63735 | PA      | $57477.47     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100705 | PA      | $98360.28     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35410 | PA      | $35529.05     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9620 | PA      | $9651.47      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13784 | PA      | $14479.46     | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160644 | PA      | $152283.67    | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MC6H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $11.76        | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215983 | PA      | $198420.14    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9JW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96214 | PA      | $90857.66     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       229 | PA      | $223.78       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29180 | PA      | $29285.16     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62689 | PA      | $65876.56     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80780 | PA      | $82695.07     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21381 | PA      | $21887.94     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9015 | PA      | $9047.92      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20970 | PA      | $21878.46     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17484 | PA      | $18386.80     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12417 | PA      | $12966.56     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14619 | PA      | $15091.34     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8119 | PA      | $8075.40      | 0.00%             | 2037-02-01      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K7MM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13925 | PA      | $14325.17     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5956 | PA      | $5820.40      | 0.00%             | 2037-01-01      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2827 | PA      | $2895.98      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287X5U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4300 | PA      | $4432.16      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1222 | PA      | $1224.04      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       819 | PA      | $819.93       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287QN98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       442 | PA      | $455.08       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       146 | PA      | $152.29       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ASOS PLC                                                                        | ASOS PLC                                                                        | CUSIP: 000000000<br>LEI: 213800H8DBB8JSKDW630 | Long             | EC               | CORP              | GB        |     26746 | NS      | $208846.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: —       |
| Farfetch Ltd                                                                    | FARFETCH LTD                                                                    | CUSIP: 30744W107<br>LEI: 549300QFQ74Z0F96NS78 | Long             | EC               | CORP              | KY        |     21509 | NS      | $182826.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                        | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CUSIP: 30711XTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181729 | PA      | $179807.17    | 0.01%             | 2030-02-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                        | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CUSIP: 30711XQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351067 | PA      | $349036.94    | 0.02%             | 2030-02-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                        | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CUSIP: 30711XMZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446563 | PA      | $435957.01    | 0.02%             | 2029-11-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                        | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CUSIP: 30711XHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25411 | PA      | $25029.71     | 0.00%             | 2029-09-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                              | META PLATFORMS INC                                                              | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |     28914 | NS      | $3414743.40   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| FWD Securitization Trust 2020-INV1                                              | FWD SECURITIZATION TRUST 2020-INV1                                              | CUSIP: 302985AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125368 | PA      | $110720.60    | 0.01%             | 2050-01-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| FB Financial Corp                                                               | FB FINANCIAL CORP                                                               | CUSIP: 30257X104<br>LEI: 5493000B2LD2C2A6C435 | Long             | EC               | CORP              | US        |      9271 | NS      | $396891.51    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Exxon Mobil Corp                                                                | EXXON MOBIL CORP                                                                | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |     63324 | NS      | $7050494.16   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Extra Space Storage LP                                                          | EXTRA SPACE STORAGE LP                                                          | CUSIP: 30225VAG2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    660000 | PA      | $497389.86    | 0.02%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-3                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-3                                      | CUSIP: 30166YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    505000 | PA      | $494674.52    | 0.02%             | 2027-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-2                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-2                                      | CUSIP: 30166QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $758525.68    | 0.04%             | 2028-07-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Exelon Corp                                                                     | EXELON CORP                                                                     | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |     22358 | NS      | $924950.46    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                    | USD/EUR FWD 20230224 MSLNGB2X                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2453.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                              | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PAR8<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    270000 | PA      | $253644.75    | 0.01%             | 2027-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ESCO Technologies Inc                                                           | ESCO TECHNOLOGIES INC                                                           | CUSIP: 296315104<br>LEI: 5493007JJLP5MEWVDH10 | Long             | EC               | CORP              | US        |      5461 | NS      | $513388.61    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Esab Corp                                                                       | ESAB CORP                                                                       | CUSIP: 29605J106<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | EC               | CORP              | US        |      3806 | NS      | $180176.04    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| West Fraser Timber Co Ltd                                                       | WEST FRASER TIMBER CO LTD                                                       | CUSIP: 000000000<br>LEI: 5493005WD1ZK6WBVR988 | Long             | EC               | CORP              | CA        |      2036 | NS      | $159259.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Equity LifeStyle Properties Inc                                                 | EQUITY LIFESTYLE PROPERTIES INC                                                 | CUSIP: 29472R108<br>LEI: 529900PEQG66LENB6798 | Long             | EC               | CORP              | US        |      5172 | NS      | $343524.24    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Equity Bancshares Inc                                                           | EQUITY BANCSHARES INC                                                           | CUSIP: 29460X109<br>LEI: 549300BPQ2EJNU4WF694 | Long             | EC               | CORP              | US        |      5688 | NS      | $207953.28    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Equifax Inc                                                                     | EQUIFAX INC                                                                     | CUSIP: 294429AV7<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    315000 | PA      | $310489.52    | 0.01%             | 2027-12-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                               | ENTERPRISE PRODUCTS OPERATING LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    145000 | PA      | $125180.24    | 0.01%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Entegris Inc                                                                    | ENTEGRIS INC                                                                    | CUSIP: 29362U104<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | EC               | CORP              | US        |      8183 | NS      | $632464.07    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EnPro Industries Inc                                                            | ENPRO INDUSTRIES INC                                                            | CUSIP: 29355X107<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | EC               | CORP              | US        |      1400 | NS      | $166320.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Enel Finance America LLC                                                        | ENEL FINANCE AMERICA LLC                                                        | CUSIP: 29280HAA0<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207672.60    | 0.01%             | 2027-10-14      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    135000 | PA      | $127713.11    | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    175000 | PA      | $165282.43    | 0.01%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAM5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    190000 | PA      | $190174.99    | 0.01%             | 2024-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78926.16     | 0.00%             | 2024-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    251000 | PA      | $230150.69    | 0.01%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $206500.00    | 0.01%             | 2025-10-14      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Enerpac Tool Group Corp                                                         | ENERPAC TOOL GROUP CORP                                                         | CUSIP: 292765104<br>LEI: IZW37BPZKUJE1QXGB081 | Long             | EC               | CORP              | US        |     18108 | NS      | $453424.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Encore Capital Group Inc                                                        | ENCORE CAPITAL GROUP INC                                                        | CUSIP: 292554102<br>LEI: 5493000UVC6H49CIH830 | Long             | EC               | CORP              | US        |      4099 | NS      | $206589.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Embecta Corp                                                                    | EMBECTA CORP                                                                    | CUSIP: 29082K105<br>LEI: 549300RPG8GXVDHNXZ62 | Long             | EC               | CORP              | US        |      4985 | NS      | $164106.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Element Solutions Inc                                                           | ELEMENT SOLUTIONS INC                                                           | CUSIP: 28618M106<br>LEI: 549300FLGN6P5CU20J91 | Long             | EC               | CORP              | US        |     41082 | NS      | $803563.92    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Edison International                                                            | EDISON INTERNATIONAL                                                            | CUSIP: 281020AR8<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29609.13     | 0.00%             | 2025-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ecolab Inc                                                                      | ECOLAB INC                                                                      | CUSIP: 278865BE9<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29984.04     | 0.00%             | 2030-03-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| EastGroup Properties Inc                                                        | EASTGROUP PROPERTIES INC                                                        | CUSIP: 277276101<br>LEI: 31TIGQQZC4P6JMHKSW85 | Long             | EC               | CORP              | US        |      5570 | NS      | $864686.80    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| East West Bancorp Inc                                                           | EAST WEST BANCORP INC                                                           | CUSIP: 27579R104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7316 | NS      | $513656.36    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Eni SpA                                                                         | ENI SPA                                                                         | CUSIP: 26874RAE8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    595000 | PA      | $576275.35    | 0.03%             | 2028-09-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EDP Finance BV                                                                  | EDP FINANCE BV                                                                  | CUSIP: 26835PAJ9<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $204656.20    | 0.01%             | 2027-10-11      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Axis Capital Holdings Ltd                                                       | AXIS CAPITAL HOLDINGS LTD                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | BM        |     10946 | NS      | $630051.76    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Dutch Bros Inc                                                                  | DUTCH BROS INC                                                                  | CUSIP: 26701L100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2019 | NS      | $76197.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Doximity Inc                                                                    | DOXIMITY INC                                                                    | CUSIP: 26622P107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5077 | NS      | $172567.23    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Duolingo Inc                                                                    | DUOLINGO INC                                                                    | CUSIP: 26603R106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3876 | NS      | $270040.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Duke Energy Corp                                                                | DUKE ENERGY CORP                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    970000 | PA      | $917054.49    | 0.04%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dryden 86 CLO Ltd                                                               | DRYDEN 86 CLO LTD                                                               | CUSIP: 26245XAL1<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $473378.30    | 0.02%             | 2034-07-17      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                                                       | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26209XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259038 | PA      | $223725.51    | 0.01%             | 2050-07-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                                                       | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26208LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274312 | PA      | $246874.94    | 0.01%             | 2049-04-20      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Dover Corp                                                                      | DOVER CORP                                                                      | CUSIP: 260003108<br>LEI: 549300FMC2ALGA7N9E80 | Long             | EC               | CORP              | US        |      3019 | NS      | $428547.05    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DoubleVerify Holdings Inc                                                       | DOUBLEVERIFY HOLDINGS INC                                                       | CUSIP: 25862V105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     19995 | NS      | $523869.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DoorDash Inc                                                                    | DOORDASH INC                                                                    | CUSIP: 25809K105<br>LEI: 549300NUQ43FGGSK5051 | Long             | EC               | CORP              | US        |      8567 | NS      | $499027.75    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Dominion Energy Inc                                                             | DOMINION ENERGY INC                                                             | CUSIP: 25746U109<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | EC               | CORP              | US        |     49208 | NS      | $3007100.88   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Dollar General Corp                                                             | DOLLAR GENERAL CORP                                                             | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |     17444 | NS      | $4460081.92   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Sun Life Financial Inc                                                          | SUN LIFE FINANCIAL INC                                                          | CUSIP: 000000000<br>LEI: 549300V040JZX5S66Z78 | Long             | EC               | CORP              | CA        |     36703 | NS      | $1739173.49   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Discover Financial Services                                                     | DISCOVER FINANCIAL SERVICES                                                     | CUSIP: 254709AM0<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    645000 | PA      | $603549.72    | 0.03%             | 2027-02-09      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co/The                                                              | WALT DISNEY CO/THE                                                              | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |     26990 | NS      | $2641511.30   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Dime Community Bancshares Inc                                                   | DIME COMMUNITY BANCSHARES INC                                                   | CUSIP: 25432X102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9315 | NS      | $332266.05    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DigitalBridge Group Inc                                                         | DIGITALBRIDGE GROUP INC                                                         | CUSIP: 25401T603<br>LEI: 549300XG87L902AGBO89 | Long             | EC               | CORP              | US        |      9707 | NS      | $140072.01    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Diamondback Energy Inc                                                          | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278X109<br>LEI: 549300R22LSX6OHWEN64 | Long             | EC               | CORP              | US        |      4503 | NS      | $666534.06    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Devon Energy Corp                                                               | DEVON ENERGY CORP                                                               | CUSIP: 25179M103<br>LEI: 54930042348RKR3ZPN35 | Long             | EC               | CORP              | US        |      7693 | NS      | $527124.36    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Descartes Systems Group Inc/The                                                 | DESCARTES SYSTEMS GROUP INC/THE                                                 | CUSIP: 249906108<br>LEI: 875500NEPA7JI5EOMN45 | Long             | EC               | CORP              | CA        |      7695 | NS      | $534417.75    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Manulife Financial Corp                                                         | MANULIFE FINANCIAL CORP                                                         | CUSIP: 000000000<br>LEI: 5493007GBX87QOZACS27 | Long             | EC               | CORP              | CA        |     50777 | NS      | $914639.04    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Definitive Healthcare Corp                                                      | DEFINITIVE HEALTHCARE CORP                                                      | CUSIP: 24477E103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5069 | NS      | $57634.53     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Deephaven Residential Mortgage Trust 2021-2                                     | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2                                     | CUSIP: 24381WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141180 | PA      | $115875.63    | 0.01%             | 2066-04-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Datadog Inc                                                                     | DATADOG INC                                                                     | CUSIP: 23804L103<br>LEI: 549300F6JNO0KRPO1K63 | Long             | EC               | CORP              | US        |      5198 | NS      | $393904.44    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    330000 | PA      | $316860.72    | 0.01%             | 2025-03-28      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    685000 | PA      | $638315.88    | 0.03%             | 2025-12-20      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    320000 | PA      | $317164.16    | 0.01%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      5000 | PA      | $4924.54      | 0.00%             | 2023-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Danaher Corp                                                                    | DANAHER CORP                                                                    | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |     17847 | NS      | $4879548.27   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| DTE Energy Co                                                                   | DTE ENERGY CO                                                                   | CUSIP: 233331107<br>LEI: 549300IX8SD6XXD71I78 | Long             | EC               | CORP              | US        |      7762 | NS      | $900469.62    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| DC Office Trust 2019-MTC                                                        | DC OFFICE TRUST 2019-MTC                                                        | CUSIP: 23312BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $362722.30    | 0.02%             | 2045-09-15      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| DBCG 2017-BBG Mortgage Trust                                                    | DBCG 2017-BBG MORTGAGE TRUST                                                    | CUSIP: 233062AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $352823.11    | 0.02%             | 2034-06-15      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Cummins Inc                                                                     | CUMMINS INC                                                                     | CUSIP: 231021106<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | EC               | CORP              | US        |      1035 | NS      | $259950.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CubeSmart                                                                       | CUBESMART                                                                       | CUSIP: 229663109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     11607 | NS      | $480413.73    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Crown Castle Inc                                                                | CROWN CASTLE INC                                                                | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    125000 | PA      | $114291.38    | 0.01%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                                                | CROWN CASTLE INC                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    160000 | PA      | $126900.80    | 0.01%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                                                | CROWN CASTLE INC                                                                | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    810000 | PA      | $656193.15    | 0.03%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Crown Castle Towers LLC                                                         | CROWN CASTLE TOWERS LLC                                                         | CUSIP: 22822RBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    695000 | PA      | $661302.36    | 0.03%             | 2025-05-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Crowdstrike Holdings Inc                                                        | CROWDSTRIKE HOLDINGS INC                                                        | CUSIP: 22788C105<br>LEI: 549300YBY08K9KM4HX32 | Long             | EC               | CORP              | US        |      2589 | NS      | $304595.85    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CrossFirst Bankshares Inc                                                       | CROSSFIRST BANKSHARES INC                                                       | CUSIP: 22766M109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10897 | NS      | $151141.39    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Coupa Software Inc                                                              | COUPA SOFTWARE INC                                                              | CUSIP: 22266L106<br>LEI: 549300Q95ICR2GFL2K37 | Long             | EC               | CORP              | US        |      2577 | NS      | $162969.48    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1120000 | PA      | $1143006.04   | 0.05%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4385000 | PA      | $4437006.01   | 0.21%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215000 | PA      | $210574.02    | 0.01%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275000 | PA      | $255277.34    | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705000 | PA      | $636667.78    | 0.03%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    725000 | PA      | $637093.76    | 0.03%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105000 | PA      | $89430.47     | 0.00%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| QuidelOrtho Corp                                                                | QUIDELORTHO CORP                                                                | CUSIP: 219798105<br>LEI: 549300YU8CMO9HF53113 | Long             | EC               | CORP              | US        |      4380 | NS      | $383731.80    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Corebridge Financial Inc                                                        | COREBRIDGE FINANCIAL INC                                                        | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    145000 | PA      | $127926.98    | 0.01%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial Inc                                                        | COREBRIDGE FINANCIAL INC                                                        | CUSIP: 21871X109<br>LEI: 549300XY1661QCIA7J65 | Long             | EC               | CORP              | US        |     32475 | NS      | $722244.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Conyers Park III Acquisition Corp                                               | CONYERS PARK III ACQUISITION CORP                                               | CUSIP: 21289P201<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9327 | NS      | $92896.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ConocoPhillips                                                                  | CONOCOPHILLIPS                                                                  | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |      4411 | NS      | $544802.61    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| National Bank of Canada                                                         | NATIONAL BANK OF CANADA                                                         | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | EC               | CORP              | CA        |     24884 | NS      | $1774614.07   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R01                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                    | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93343 | PA      | $91657.20     | 0.00%             | 2041-12-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R02                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                    | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    904700 | PA      | $886104.04    | 0.04%             | 2042-01-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R04                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R04                                    | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387469 | PA      | $382635.57    | 0.02%             | 2042-03-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R03                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R03                                    | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579784 | PA      | $572901.83    | 0.03%             | 2042-03-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Confluent Inc                                                                   | CONFLUENT INC                                                                   | CUSIP: 20717M103<br>LEI: 254900MRZ83YWUV7SN74 | Long             | EC               | CORP              | US        |     10893 | NS      | $250865.79    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Community Healthcare Trust Inc                                                  | COMMUNITY HEALTHCARE TRUST INC                                                  | CUSIP: 20369C106<br>LEI: 549300FATSRCMKOV9536 | Long             | EC               | CORP              | US        |      4276 | NS      | $150771.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Comcast Corp                                                                    | COMCAST CORP                                                                    | CUSIP: 20030NDM0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    125000 | PA      | $101395.75    | 0.00%             | 2031-01-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                    | COMCAST CORP                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    360000 | PA      | $285455.88    | 0.01%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust 2020-ICE5                                                    | COLD STORAGE TRUST 2020-ICE5                                                    | CUSIP: 193051AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231003 | PA      | $221727.64    | 0.01%             | 2037-11-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Co/The                                                                | COCA-COLA CO/THE                                                                | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |     15655 | NS      | $995814.55    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Coca-Cola Consolidated Inc                                                      | COCA-COLA CONSOLIDATED INC                                                      | CUSIP: 191098102<br>LEI: 57VG5X0E00X0QJU7CQ58 | Long             | EC               | CORP              | US        |       403 | NS      | $198195.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Clearwater Analytics Holdings Inc                                               | Clearwater Analytics Holdings                                                   | CUSIP: 185123106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4381 | NS      | $82187.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Clear Secure Inc                                                                | CLEAR SECURE INC                                                                | CUSIP: 18467V109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     19625 | NS      | $609945.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | EUR/USD FWD 20230224 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5784.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2014-GC21                                   | CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC21                                   | CUSIP: 17322MAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $358620.34    | 0.02%             | 2047-05-10      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    655000 | PA      | $657042.95    | 0.03%             | 2026-09-29      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    530000 | PA      | $480581.74    | 0.02%             | 2028-02-24      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    500000 | PA      | $473590.00    | 0.02%             | 2026-04-08      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |     24151 | NS      | $1169149.91   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2022-INV1                                         | CITIGROUP MORTGAGE LOAN TRUST 2022-INV1                                         | CUSIP: 17290FBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210366 | PA      | $170338.83    | 0.01%             | 2051-11-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cintas Corp                                                                     | CINTAS CORP                                                                     | CUSIP: 172908105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1022 | NS      | $471939.16    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Cinemark Holdings Inc                                                           | CINEMARK HOLDINGS INC                                                           | CUSIP: 17243V102<br>LEI: 549300LL2QMPTYIE0K55 | Long             | EC               | CORP              | US        |      9807 | NS      | $133473.27    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chuy s Holdings Inc                                                             | CHUY'S HOLDINGS INC                                                             | CUSIP: 171604101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9508 | NS      | $301308.52    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chipotle Mexican Grill Inc                                                      | CHIPOTLE MEXICAN GRILL INC                                                      | CUSIP: 169656105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1426 | NS      | $2320044.96   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Chevron Corp                                                                    | CHEVRON CORP                                                                    | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     21057 | NS      | $3859958.67   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Chesapeake Utilities Corp                                                       | CHESAPEAKE UTILITIES CORP                                                       | CUSIP: 165303108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4135 | NS      | $495083.55    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                            | CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    445000 | PA      | $404950.00    | 0.02%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                            | CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    135000 | PA      | $134325.00    | 0.01%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                            | CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CUSIP: 16412XAD7<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    130000 | PA      | $131495.00    | 0.01%             | 2024-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $248917.52    | 0.01%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86000 | PA      | $68121.03     | 0.00%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $138587.40    | 0.01%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $394707.28    | 0.02%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1015000 | PA      | $927927.21    | 0.04%             | 2028-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $104256.57    | 0.00%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Certara Inc                                                                     | CERTARA INC                                                                     | CUSIP: 15687V109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2029 | NS      | $34452.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Cerevel Therapeutics Holdings Inc                                               | CEREVEL THERAPEUTICS HOLDINGS INC                                               | CUSIP: 15678U128<br>LEI: 254900RJNIRS9COSQR41 | Long             | EC               | CORP              | US        |      4852 | NS      | $140513.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Ceridian HCM Holding Inc                                                        | CERIDIAN HCM HOLDING INC                                                        | CUSIP: 15677J108<br>LEI: 549300T64GVCHFJ8L449 | Long             | EC               | CORP              | US        |       913 | NS      | $62485.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Centene Corp                                                                    | CENTENE CORP                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $993025.00    | 0.05%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                                                    | CENTENE CORP                                                                    | CUSIP: 15135B101<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | EC               | CORP              | US        |     45652 | NS      | $3974006.60   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    290000 | PA      | $284372.84    | 0.01%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    270000 | PA      | $268251.75    | 0.01%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Cedar Funding VIII Clo Ltd                                                      | CEDAR FUNDING VIII CLO LTD                                                      | CUSIP: 15032EAL3<br>LEI: 549300PTCF9P2JDL1E69 | Long             | ABS-CBDO         | CORP              | KY        |    435000 | PA      | $420273.27    | 0.02%             | 2034-10-17      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Cavco Industries Inc                                                            | CAVCO INDUSTRIES INC                                                            | CUSIP: 149568107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       768 | NS      | $176355.84    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Catalent Inc                                                                    | CATALENT INC                                                                    | CUSIP: 148806102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7455 | NS      | $373719.15    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Carvana Co                                                                      | CARVANA CO                                                                      | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    517000 | PA      | $217140.00    | 0.01%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2019-4 LTD                                                       | CARLYLE US CLO 2019-4 LTD                                                       | CUSIP: 14317VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    770000 | PA      | $741248.80    | 0.03%             | 2035-04-15      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2022-1                                                  | CARMAX AUTO OWNER TRUST 2022-1                                                  | CUSIP: 14317CAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $228120.54    | 0.01%             | 2028-07-17      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust 2021-1                                                  | CARMAX AUTO OWNER TRUST 2021-1                                                  | CUSIP: 14316NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $933472.05    | 0.04%             | 2027-07-15      | Fixed         | 1.28%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust 2020-1                                                  | CARMAX AUTO OWNER TRUST 2020-1                                                  | CUSIP: 14315XAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735000 | PA      | $695169.98    | 0.03%             | 2026-07-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Cardinal Health Inc                                                             | CARDINAL HEALTH INC                                                             | CUSIP: 14149YBB3<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |     90000 | PA      | $73553.58     | 0.00%             | 2044-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Capitol Federal Financial Inc                                                   | CAPITOL FEDERAL FINANCIAL INC                                                   | CUSIP: 14057J101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     14585 | NS      | $122076.45    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    140000 | PA      | $133724.64    | 0.01%             | 2030-07-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    245000 | PA      | $210546.63    | 0.01%             | 2030-03-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1410582.11   | 0.07%             | 2032-07-29      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    875000 | PA      | $817396.13    | 0.04%             | 2027-05-11      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| California Water Service Group                                                  | CALIFORNIA WATER SERVICE GROUP                                                  | CUSIP: 130788102<br>LEI: 529900QABDOBU6UVRQ36 | Long             | EC               | CORP              | US        |      4489 | NS      | $291470.77    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Cal-Maine Foods Inc                                                             | CAL-MAINE FOODS INC                                                             | CUSIP: 128030202<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1343 | NS      | $78270.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Cadre Holdings Inc                                                              | CADRE HOLDINGS INC                                                              | CUSIP: 12763L105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4801 | NS      | $124537.94    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Cadence Bank                                                                    | CADENCE BANK                                                                    | CUSIP: 12740C103<br>LEI: Q7C315HKI8VX0SSKBS64 | Long             | EC               | CORP              | US        |     13195 | NS      | $380543.80    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Cactus Inc                                                                      | CACTUS INC                                                                      | CUSIP: 127203107<br>LEI: 549300J3T8C9F8QFKV08 | Long             | EC               | CORP              | US        |      4495 | NS      | $244483.05    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $863575.56    | 0.04%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650DG2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    140000 | PA      | $126760.06    | 0.01%             | 2029-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    727000 | PA      | $671671.67    | 0.03%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    346000 | PA      | $335745.60    | 0.02%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVRx Inc                                                                        | CVRX INC                                                                        | CUSIP: 126638105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2369 | NS      | $31697.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CSL Finance PLC                                                                 | CSL FINANCE PLC                                                                 | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $208631.50    | 0.01%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                                                 | CSL FINANCE PLC                                                                 | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $237333.75    | 0.01%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CTS Corp                                                                        | CTS CORP                                                                        | CUSIP: 126501105<br>LEI: 549300YV1HQLBVHOI649 | Long             | EC               | CORP              | US        |     11338 | NS      | $481865.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CSX Corp                                                                        | CSX CORP                                                                        | CUSIP: 126408103<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | EC               | CORP              | US        |     79568 | NS      | $2601077.92   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CSW Industrials Inc                                                             | CSW INDUSTRIALS INC                                                             | CUSIP: 126402106<br>LEI: 549300SYOEO3RVQ7FB83 | Long             | EC               | CORP              | US        |      2281 | NS      | $275886.95    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CNO Financial Group Inc                                                         | CNO FINANCIAL GROUP INC                                                         | CUSIP: 12621EAK9<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |    187000 | PA      | $184896.25    | 0.01%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COLT 2020-3 Mortgage Loan Trust                                                 | COLT 2020-3 MORTGAGE LOAN TRUST                                                 | CUSIP: 12597QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74072 | PA      | $69131.64     | 0.00%             | 2065-04-27      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| COLT 2020-3 Mortgage Loan Trust                                                 | COLT 2020-3 MORTGAGE LOAN TRUST                                                 | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46684 | PA      | $43801.85     | 0.00%             | 2065-04-27      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 Mortgage Trust                                                   | COMM 2016-CR28 MORTGAGE TRUST                                                   | CUSIP: 12593YBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282355 | PA      | $263694.52    | 0.01%             | 2049-02-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE24 Mortgage Trust                                                 | COMM 2015-CCRE24 MORTGAGE TRUST                                                 | CUSIP: 12593JBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $249387.60    | 0.01%             | 2048-08-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE24 Mortgage Trust                                                 | COMM 2015-CCRE24 MORTGAGE TRUST                                                 | CUSIP: 12593JBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005000 | PA      | $954909.29    | 0.04%             | 2048-08-10      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CIM Trust 2021-INV1                                                             | CIM TRUST 2021-INV1                                                             | CUSIP: 12566PBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518802 | PA      | $408365.03    | 0.02%             | 2051-07-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2021-III Ltd                                                       | CIFC FUNDING 2021-III LTD                                                       | CUSIP: 12564DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    505000 | PA      | $488760.23    | 0.02%             | 2036-07-15      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2020-III Ltd                                                       | CIFC FUNDING 2020-III LTD                                                       | CUSIP: 12560EAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    555000 | PA      | $536202.80    | 0.03%             | 2034-10-20      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Cigna Corp                                                                      | CIGNA CORP                                                                      | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |      3323 | NS      | $1092901.47   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Cboe Global Markets Inc                                                         | CBOE GLOBAL MARKETS INC                                                         | CUSIP: 12503M108<br>LEI: 529900RLNSGA90UPEH54 | Long             | EC               | CORP              | US        |      3694 | NS      | $468546.96    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust 2021-LGCY                                                              | BX TRUST 2021-LGCY                                                              | CUSIP: 12434DAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $320309.45    | 0.02%             | 2036-10-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Burlington Stores Inc                                                           | BURLINGTON STORES INC                                                           | CUSIP: 122017106<br>LEI: 5299003Z37DVGKKC1W09 | Long             | EC               | CORP              | US        |      4456 | NS      | $871950.08    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Bumble Inc                                                                      | BUMBLE INC                                                                      | CUSIP: 12047B105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      7900 | NS      | $192444.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bruker Corp                                                                     | BRUKER CORP                                                                     | CUSIP: 116794108<br>LEI: LEBZ6VLQ6I8XB1NHVY15 | Long             | EC               | CORP              | US        |      9738 | NS      | $656438.58    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Broadcom Inc                                                                    | BROADCOM INC                                                                    | CUSIP: 11135FAL5<br>LEI: 549300GR48KUO03W2V88 | Long             | DBT              | CORP              | US        |    140000 | PA      | $130792.34    | 0.01%             | 2028-09-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                    | BROADCOM INC                                                                    | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |     10299 | NS      | $5675057.97   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Brixmor Operating Partnership LP                                                | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    360000 | PA      | $310804.56    | 0.01%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1053000 | PA      | $931521.71    | 0.04%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Bright Horizons Family Solutions Inc                                            | BRIGHT HORIZONS FAMILY SOLUTIONS INC                                            | CUSIP: 109194100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5637 | NS      | $418265.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Boston Properties Inc                                                           | BOSTON PROPERTIES INC                                                           | CUSIP: 101121101<br>LEI: 549300OF70FSEUQBT254 | Long             | EC               | CORP              | US        |      1617 | NS      | $116553.36    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Boston Beer Co Inc/The                                                          | BOSTON BEER CO INC/THE                                                          | CUSIP: 100557107<br>LEI: 529900Q02MQ0DCQNRM58 | Long             | EC               | CORP              | US        |      1906 | NS      | $732609.22    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Booz Allen Hamilton Holding Corp                                                | BOOZ ALLEN HAMILTON HOLDING CORP                                                | CUSIP: 099502106<br>LEI: 529900JPV47PIUWMA015 | Long             | EC               | CORP              | US        |      3034 | NS      | $322817.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Booking Holdings Inc                                                            | BOOKING HOLDINGS INC                                                            | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    235000 | PA      | $229710.86    | 0.01%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Booking Holdings Inc                                                            | BOOKING HOLDINGS INC                                                            | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |       764 | NS      | $1588699.80   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Boardwalk Pipelines LP                                                          | BOARDWALK PIPELINES LP                                                          | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    365000 | PA      | $306452.91    | 0.01%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                          | BOARDWALK PIPELINES LP                                                          | CUSIP: 096630AF5<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    175000 | PA      | $167158.60    | 0.01%             | 2027-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                          | BOARDWALK PIPELINES LP                                                          | CUSIP: 096630AE8<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    430000 | PA      | $438383.28    | 0.02%             | 2026-06-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                          | BOARDWALK PIPELINES LP                                                          | CUSIP: 096630AD0<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    415000 | PA      | $410468.62    | 0.02%             | 2024-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                  | BNP PARIBAS SA                                                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    635000 | PA      | $556296.83    | 0.03%             | 2028-01-20      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                  | BNP PARIBAS SA                                                                  | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    780000 | PA      | $677377.74    | 0.03%             | 2027-01-13      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Blueprint Medicines Corp                                                        | BLUEPRINT MEDICINES CORP                                                        | CUSIP: 09627Y109<br>LEI: 5299004CC60O9T5HVM83 | Long             | EC               | CORP              | US        |      5925 | NS      | $283155.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Blue Foundry Bancorp                                                            | BLUE FOUNDRY BANCORP                                                            | CUSIP: 09549B104<br>LEI: 5493008KPK5NJT0FNK56 | Long             | EC               | CORP              | US        |      5997 | NS      | $78380.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Blackline Inc                                                                   | BLACKLINE INC                                                                   | CUSIP: 09239B109<br>LEI: 529900P9N7PK9LV5EK56 | Long             | EC               | CORP              | US        |      4642 | NS      | $314216.98    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BJ s Restaurants Inc                                                            | BJ'S RESTAURANTS INC                                                            | CUSIP: 09180C106<br>LEI: 5299000EOW66I1OJNQ23 | Long             | EC               | CORP              | US        |      9571 | NS      | $307037.68    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bill.com Holdings Inc                                                           | BILL.COM HOLDINGS INC                                                           | CUSIP: 090043100<br>LEI: 549300IBF9VZZIGOZW63 | Long             | EC               | CORP              | US        |      7630 | NS      | $918804.60    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Big Sky Growth Partners Inc                                                     | BIG SKY GROWTH PARTNERS INC                                                     | CUSIP: 08954L201<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9637 | NS      | $96659.11     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Lloyds Banking Group PLC                                                        | LLOYDS BANKING GROUP PLC                                                        | CUSIP: 000000000<br>LEI: 549300PPXHEU2JF0AM85 | Long             | EC               | CORP              | GB        |   1585239 | NS      | $904559.19    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Inc                                                          | BERKSHIRE HATHAWAY INC                                                          | CUSIP: 084670702<br>LEI: 5493000C01ZX7D35SD85 | Long             | EC               | CORP              | US        |      7189 | NS      | $2290415.40   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Berkshire Hathaway Finance Corp                                                 | BERKSHIRE HATHAWAY FINANCE CORP                                                 | CUSIP: 084664CX7<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    345000 | PA      | $219035.33    | 0.01%             | 2051-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XX Ltd                                              | BENEFIT STREET PARTNERS CLO XX LTD                                              | CUSIP: 08182FAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $386964.92    | 0.02%             | 2034-07-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XI                                                  | BENEFIT STREET PARTNERS CLO XI                                                  | CUSIP: 08179CAQ4<br>LEI: 254900O9QVOQ1G7RF178 | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $270336.13    | 0.01%             | 2029-04-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| BellRing Brands Inc                                                             | BELLRING BRANDS INC                                                             | CUSIP: 07831C103<br>LEI: 549300S3BOK5CMTS8054 | Long             | EC               | CORP              | US        |     19215 | NS      | $478645.65    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Close Brothers Group PLC                                                        | CLOSE BROTHERS GROUP PLC                                                        | CUSIP: 000000000<br>LEI: 213800W73SYHR14I3X91 | Long             | EC               | CORP              | GB        |     18984 | NS      | $246203.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                         | BECTON DICKINSON AND CO                                                         | CUSIP: 075887CL1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    695000 | PA      | $557200.27    | 0.03%             | 2031-02-11      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                         | BECTON DICKINSON AND CO                                                         | CUSIP: 075887CJ6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    250000 | PA      | $217275.50    | 0.01%             | 2030-05-20      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                         | BECTON DICKINSON AND CO                                                         | CUSIP: 075887BW8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    679000 | PA      | $646824.23    | 0.03%             | 2027-06-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                         | BECTON DICKINSON AND CO                                                         | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |     31514 | NS      | $7857700.76   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Beacon Roofing Supply Inc                                                       | BEACON ROOFING SUPPLY INC                                                       | CUSIP: 073685109<br>LEI: 549300HDXQWWCBOYXP31 | Long             | EC               | CORP              | US        |      5400 | NS      | $315306.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust 2021-INV2                             | BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV2                             | CUSIP: 07336LBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770934 | PA      | $602132.92    | 0.03%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust 2021-INV4                             | BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV4                             | CUSIP: 07336GAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525065 | PA      | $410008.99    | 0.02%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Persimmon PLC                                                                   | PERSIMMON PLC                                                                   | CUSIP: 000000000<br>LEI: 213800XI72Y57UWN6F31 | Long             | EC               | CORP              | GB        |     39918 | NS      | $618283.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    225000 | PA      | $216793.35    | 0.01%             | 2028-08-09      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    275000 | PA      | $236079.80    | 0.01%             | 2027-11-24      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    685000 | PA      | $630470.58    | 0.03%             | 2026-05-07      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EBH7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1010000 | PA      | $972907.75    | 0.05%             | 2025-05-07      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| BankUnited Inc                                                                  | BANKUNITED INC                                                                  | CUSIP: 06652K103<br>LEI: 96OVUWEW5D4YX6PFXD91 | Long             | EC               | CORP              | US        |     11948 | NS      | $438730.56    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of Ireland Group PLC                                                       | BANK OF IRELAND GROUP PLC                                                       | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    365000 | PA      | $361217.14    | 0.02%             | 2026-09-16      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2225000 | PA      | $1738770.75   | 0.08%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $493217.40    | 0.02%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    450000 | PA      | $369793.80    | 0.02%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1126289.89   | 0.05%             | 2027-04-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    875000 | PA      | $815458.88    | 0.04%             | 2029-07-23      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    175000 | PA      | $157880.10    | 0.01%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GGA1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $1955608.84   | 0.09%             | 2027-10-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |    214801 | NS      | $8130217.85   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Banco Santander SA                                                              | BANCO SANTANDER SA                                                              | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $167456.00    | 0.01%             | 2030-05-28      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                              | BANCO SANTANDER SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    800000 | PA      | $683418.40    | 0.03%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: —       |
| Banco Bilbao Vizcaya Argentaria SA                                              | BANCO BILBAO VIZCAYA ARGENTARIA SA                                              | CUSIP: 05946KAK7<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $397942.40    | 0.02%             | 2026-09-14      | Variable      | 5.86%                 | No            |                  2 | On Loan: —       |
| BX Commercial Mortgage Trust 2022-CSMO                                          | BX COMMERCIAL MORTGAGE TRUST 2022-CSMO                                          | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $617559.56    | 0.03%             | 2027-06-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| BXSC Commercial Mortgage Trust 2022-WSS                                         | BXSC COMMERCIAL MORTGAGE TRUST 2022-WSS                                         | CUSIP: 05610BAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $152380.16    | 0.01%             | 2035-03-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BXSC Commercial Mortgage Trust 2022-WSS                                         | BXSC COMMERCIAL MORTGAGE TRUST 2022-WSS                                         | CUSIP: 05610BAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865000 | PA      | $825972.50    | 0.04%             | 2035-03-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| BX Trust 2022-IND                                                               | BX TRUST 2022-IND                                                               | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446253 | PA      | $421787.00    | 0.02%             | 2037-04-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2021-21M                                           | BX COMMERCIAL MORTGAGE TRUST 2021-21M                                           | CUSIP: 05609CAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216053 | PA      | $201468.88    | 0.01%             | 2036-10-15      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-ARIA                                                              | BX TRUST 2021-ARIA                                                              | CUSIP: 05608RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $388422.26    | 0.02%             | 2036-10-15      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-ARIA                                                              | BX TRUST 2021-ARIA                                                              | CUSIP: 05608RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $382044.36    | 0.02%             | 2036-10-15      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust 2021-INV1                                            | BINOM SECURITIZATION TRUST 2021-INV1                                            | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270849 | PA      | $233877.91    | 0.01%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| BAT International Finance PLC                                                   | BAT INTERNATIONAL FINANCE PLC                                                   | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    175000 | PA      | $154766.85    | 0.01%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: —       |
| BAT Capital Corp                                                                | BAT CAPITAL CORP                                                                | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    145000 | PA      | $130212.61    | 0.01%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                | BAT CAPITAL CORP                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1164949.76   | 0.05%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BFLD 2019-DPLO                                                                  | BFLD 2019-DPLO                                                                  | CUSIP: 054970AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $717912.75    | 0.03%             | 2034-10-15      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust 2021-JACX                            | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                            | CUSIP: 05493LAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $273667.64    | 0.01%             | 2038-09-15      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY Mortgage Trust                                                  | BBCMS 2019-BWAY MORTGAGE TRUST                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $205233.37    | 0.01%             | 2034-11-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                                                          | EQUITABLE HOLDINGS INC                                                          | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1090820.89   | 0.05%             | 2028-04-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Avidity Biosciences Inc                                                         | AVIDITY BIOSCIENCES INC                                                         | CUSIP: 05370A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1824 | NS      | $21231.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Avid Bioservices Inc                                                            | AVID BIOSERVICES INC                                                            | CUSIP: 05368M106<br>LEI: 549300GRUS3ZMGP8MX22 | Long             | EC               | CORP              | US        |     13226 | NS      | $207119.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AutoZone Inc                                                                    | AUTOZONE INC                                                                    | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    140000 | PA      | $136975.86    | 0.01%             | 2032-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Austin Fairmont Hotel Trust 2019-FAIR                                           | AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR                                           | CUSIP: 05223HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $226716.98    | 0.01%             | 2032-09-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty Ltd                                                         | AUSGRID FINANCE PTY LTD                                                         | CUSIP: 052113AB3<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |    440000 | PA      | $408899.48    | 0.02%             | 2028-08-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty Ltd                                                         | AUSGRID FINANCE PTY LTD                                                         | CUSIP: 052113AA5<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |    285000 | PA      | $283095.35    | 0.01%             | 2023-05-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AtriCure Inc                                                                    | ATRICURE INC                                                                    | CUSIP: 04963C209<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4726 | NS      | $215316.56    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Atlassian Corp                                                                  | ATLASSIAN CORP                                                                  | CUSIP: 049468101<br>LEI: 549300V7ZY5P02D2MY38 | Long             | EC               | CORP              | US        |      6248 | NS      | $821924.40    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Astrazeneca Finance LLC                                                         | ASTRAZENECA FINANCE LLC                                                         | CUSIP: 04636NAE3<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |    370000 | PA      | $321810.46    | 0.02%             | 2028-05-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                                                 | ASTRAZENECA PLC                                                                 | CUSIP: 046353108<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |    100244 | NS      | $6813584.68   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Assurant Inc                                                                    | ASSURANT INC                                                                    | CUSIP: 04621X108<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | EC               | CORP              | US        |      4311 | NS      | $552756.42    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Ascendis Pharma A/S                                                             | ASCENDIS PHARMA A/S                                                             | CUSIP: 04351P101<br>LEI: 549300B66JN3W3J8GH73 | Long             | EC               | CORP              | DK        |      4387 | NS      | $539864.22    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Arvinas Inc                                                                     | ARVINAS INC                                                                     | CUSIP: 04335A105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1934 | NS      | $79371.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Arrow Electronics Inc                                                           | ARROW ELECTRONICS INC                                                           | CUSIP: 042735BE9<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    510000 | PA      | $493803.42    | 0.02%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 000000000<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | EC               | CORP              | GB        |     72246 | NS      | $538163.19    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Argenx SE                                                                       | ARGENX SE                                                                       | CUSIP: 04016X101<br>LEI: 7245009C5FZE6G9ODQ71 | Long             | EC               | CORP              | NL        |      2308 | NS      | $918514.76    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Aptiv PLC                                                                       | APTIV PLC                                                                       | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |     20000 | PA      | $12450.00     | 0.00%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Applied Materials Inc                                                           | APPLIED MATERIALS INC                                                           | CUSIP: 038222105<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | EC               | CORP              | US        |     10361 | NS      | $1135565.60   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Applebee s Funding LLC / IHOP Funding LLC                                       | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC                                       | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1267200 | PA      | $1199293.29   | 0.06%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                                                       | APPLE INC                                                                       | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    155632 | NS      | $23038204.96  | 1.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Apellis Pharmaceuticals Inc                                                     | APELLIS PHARMACEUTICALS INC                                                     | CUSIP: 03753U106<br>LEI: 254900HS0ZFRXXSB9D42 | Long             | EC               | CORP              | US        |      8840 | NS      | $441381.20    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Aon Corp                                                                        | AON CORP                                                                        | CUSIP: 037389BE2<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |    145000 | PA      | $124194.10    | 0.01%             | 2030-05-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc                                                             | ELEVANCE HEALTH INC                                                             | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |     19632 | NS      | $10462285.44  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc                                              | ANHEUSER-BUSCH INBEV WORLDWIDE INC                                              | CUSIP: 035240AT7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    459000 | PA      | $415794.79    | 0.02%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Angel Oak Mortgage Trust 2020-5                                                 | ANGEL OAK MORTGAGE TRUST 2020-5                                                 | CUSIP: 03464WAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60057 | PA      | $52778.31     | 0.00%             | 2065-05-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I LLC 2019-1                                           | ANGEL OAK MORTGAGE TRUST I LLC 2019-1                                           | CUSIP: 03464MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3423 | PA      | $3400.97      | 0.00%             | 2048-11-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2022-1                                                 | ANGEL OAK MORTGAGE TRUST 2022-1                                                 | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289727 | PA      | $252562.48    | 0.01%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I LLC 2019-4                                           | ANGEL OAK MORTGAGE TRUST I LLC 2019-4                                           | CUSIP: 03463UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18130 | PA      | $17981.78     | 0.00%             | 2049-07-26      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables X LLC                                        | AMUR EQUIPMENT FINANCE RECEIVABLES X LLC                                        | CUSIP: 03236VAE1<br>LEI: 549300K5Y88MV8B4M421 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $225504.58    | 0.01%             | 2028-08-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Amplitude Inc                                                                   | AMPLITUDE INC                                                                   | CUSIP: 03213A104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      8597 | NS      | $123109.04    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Amgen Inc                                                                       | AMGEN INC                                                                       | CUSIP: 031162100<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | EC               | CORP              | US        |      2805 | NS      | $803352.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| AMETEK Inc                                                                      | AMETEK INC                                                                      | CUSIP: 031100100<br>LEI: 549300WZDEF9KKE40E98 | Long             | EC               | CORP              | US        |      2327 | NS      | $331411.34    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AmerisourceBergen Corp                                                          | AMERISOURCEBERGEN CORP                                                          | CUSIP: 03073E105<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | EC               | CORP              | US        |      2103 | NS      | $358961.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2020-3                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-3                                 | CUSIP: 03066PAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $408449.70    | 0.02%             | 2026-09-18      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2021-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-1                                 | CUSIP: 03063FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251000 | PA      | $223323.26    | 0.01%             | 2026-12-18      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| American International Group Inc                                                | AMERICAN INTERNATIONAL GROUP INC                                                | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |     24815 | NS      | $1566074.65   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| American Electric Power Co Inc                                                  | AMERICAN ELECTRIC POWER CO INC                                                  | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |     15979 | NS      | $1546767.20   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| DCC PLC                                                                         | DCC PLC                                                                         | CUSIP: 000000000<br>LEI: 213800UPS1QEE4TD3T45 | Long             | EC               | CORP              | IE        |     15299 | NS      | $814708.35    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Diageo PLC                                                                      | DIAGEO PLC                                                                      | CUSIP: 000000000<br>LEI: 213800ZVIELEA55JMJ32 | Long             | EC               | CORP              | GB        |     36898 | NS      | $1704023.38   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Ameren Corp                                                                     | AMEREN CORP                                                                     | CUSIP: 023608102<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | EC               | CORP              | US        |     10674 | NS      | $953401.68    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com Inc                                                                  | AMAZON.COM INC                                                                  | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    179192 | NS      | $17299195.68  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc                                                                    | ALPHABET INC                                                                    | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |     22323 | NS      | $2254399.77   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc                                                                    | ALPHABET INC                                                                    | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    220702 | NS      | $22390217.90  | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Ally Financial Inc                                                              | ALLY FINANCIAL INC                                                              | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1004510.06   | 0.05%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Allstate Corp/The                                                               | ALLSTATE CORP/THE                                                               | CUSIP: 020002101<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | EC               | CORP              | US        |     14389 | NS      | $1926687.10   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0606C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3215000 | PA      | $3287067.79   | 0.15%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525000 | PA      | $510972.66    | 0.02%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $425513.67    | 0.02%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1295000 | PA      | $1185329.69   | 0.06%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2125000 | PA      | $1880518.45   | 0.09%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1950000 | PA      | $1668011.73   | 0.08%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3485000 | PA      | $2870360.34   | 0.13%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Allegiant Travel Co                                                             | ALLEGIANT TRAVEL CO                                                             | CUSIP: 01748X102<br>LEI: 549300JM9OZXOHWL2K18 | Long             | EC               | CORP              | US        |      3256 | NS      | $268978.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Alignment Healthcare Inc                                                        | ALIGNMENT HEALTHCARE INC                                                        | CUSIP: 01625V104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     14802 | NS      | $196866.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Align Technology Inc                                                            | ALIGN TECHNOLOGY INC                                                            | CUSIP: 016255101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1157 | NS      | $227535.62    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Alibaba Group Holding Ltd                                                       | ALIBABA GROUP HOLDING LTD                                                       | CUSIP: 01609W102<br>LEI: 5493001NTNQJDH60PM02 | Long             | EC               | CORP              | KY        |      2407 | NS      | $210756.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                             | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AR0<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    475000 | PA      | $411352.38    | 0.02%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                             | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AN9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    105000 | PA      | $100672.22    | 0.00%             | 2030-07-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                             | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AK5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    655000 | PA      | $612751.85    | 0.03%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                             | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AJ8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    455000 | PA      | $434114.59    | 0.02%             | 2027-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BHP Group Ltd                                                                   | BHP GROUP LTD                                                                   | CUSIP: 000000000<br>LEI: WZE1WSENV6JSZFK0JC28 | Long             | EC               | CORP              | AU        |     44719 | NS      | $1421676.88   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                                     | AKER BP ASA                                                                     | CUSIP: 00973RAG8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    150000 | PA      | $138961.35    | 0.01%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                                                  | AIR LEASE CORP                                                                  | CUSIP: 00912X302<br>LEI: 5493004NW4M4P8TMMK63 | Long             | EC               | CORP              | US        |      7622 | NS      | $294361.64    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AGL CLO 14 Ltd                                                                  | AGL CLO 14 LTD                                                                  | CUSIP: 00851WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    470000 | PA      | $453659.67    | 0.02%             | 2034-12-02      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Agios Pharmaceuticals Inc                                                       | AGIOS PHARMACEUTICALS INC                                                       | CUSIP: 00847X104<br>LEI: 529900ONJHY8EOGYT555 | Long             | EC               | CORP              | US        |      3800 | NS      | $114532.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Agilysys Inc                                                                    | AGILYSYS INC                                                                    | CUSIP: 00847J105<br>LEI: 5299001XWB5V3B5IPN93 | Long             | EC               | CORP              | US        |      3300 | NS      | $219120.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Holdings Inc                                                             | AFFIRM HOLDINGS INC                                                             | CUSIP: 00827B106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10881 | NS      | $151463.52    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Advanced Micro Devices Inc                                                      | ADVANCED MICRO DEVICES INC                                                      | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |     27983 | NS      | $2172320.29   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    185000 | PA      | $147008.96    | 0.01%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    230000 | PA      | $193417.12    | 0.01%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    460000 | PA      | $403021.64    | 0.02%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $151667.55    | 0.01%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    355000 | PA      | $349524.48    | 0.02%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $143082.90    | 0.01%             | 2025-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Adaptive Biotechnologies Corp                                                   | ADAPTIVE BIOTECHNOLOGIES CORP                                                   | CUSIP: 00650F109<br>LEI: 549300ZTF7OT1FW66Q96 | Long             | EC               | CORP              | US        |      2508 | NS      | $22020.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Ashtead Group PLC                                                               | ASHTEAD GROUP PLC                                                               | CUSIP: 000000000<br>LEI: 2138007UTBN8X9K1A235 | Long             | EC               | CORP              | GB        |     23453 | NS      | $1431446.04   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Antofagasta PLC                                                                 | ANTOFAGASTA PLC                                                                 | CUSIP: 000000000<br>LEI: 213800MY6QVH4FVLD628 | Long             | EC               | CORP              | GB        |     61801 | NS      | $1069315.30   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    380000 | PA      | $325250.36    | 0.02%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    260000 | PA      | $227545.24    | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    905000 | PA      | $829403.54    | 0.04%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    170000 | PA      | $158722.88    | 0.01%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    650000 | PA      | $609158.55    | 0.03%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    600000 | PA      | $549145.20    | 0.03%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     22397 | NS      | $3609948.46   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| AZZ Inc                                                                         | AZZ INC                                                                         | CUSIP: 002474104<br>LEI: 549300HD1X2NFLWPYC83 | Long             | EC               | CORP              | US        |      9682 | NS      | $403061.66    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T Inc                                                                        | AT&T INC                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    150000 | PA      | $128475.30    | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                        | AT&T INC                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    270000 | PA      | $242763.21    | 0.01%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                        | AT&T INC                                                                        | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    260000 | PA      | $249045.42    | 0.01%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd                                                          | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    288000 | PA      | $271603.01    | 0.01%             | 2027-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd                                                                   | AIA GROUP LTD                                                                   | CUSIP: 00131LAF2<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    765000 | PA      | $720027.95    | 0.03%             | 2028-04-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AGL CLO 17 Ltd                                                                  | AGL CLO 17 LTD                                                                  | CUSIP: 00120DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    590000 | PA      | $568266.44    | 0.03%             | 2035-01-21      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Abcam PLC                                                                       | ABCAM PLC                                                                       | CUSIP: 000380204<br>LEI: 213800B9N83DSNT33F79 | Long             | EC               | CORP              | GB        |     23052 | NS      | $369754.08    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2022-11-30

**Name of Applicant:** T. ROWE PRICE SPECTRUM FUNDS II, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President