# EDGAR Filing Document

**Accession Number:** 0000916053
**File Stem:** 0001398344-23-004762
**Filing Date:** 2023-2
**Character Count:** 522491
**Document Hash:** 58f904265178e6401a2234a2358aa094
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001398344-23-004762.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001398344-23-004762

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MASSMUTUAL SELECT FUNDS
- **CENTRAL INDEX KEY:** 0000916053
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08274
- **FILM NUMBER:** 23670880

**BUSINESS ADDRESS:**
- **STREET 1:** 1295 STATE STREET
- **CITY:** SPRINGFIELD
- **STATE:** MA
- **ZIP:** 01111
- **BUSINESS PHONE:** 413-744-1000

**MAIL ADDRESS:**
- **STREET 1:** 1295 STATE STREET
- **CITY:** SPRINGFIELD
- **STATE:** MA
- **ZIP:** 01111

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASSMUTUAL INSTITUTIONAL FUNDS
- **DATE OF NAME CHANGE:** 19931213

## Series and Classes Contracts Data

### MassMutual Strategic Bond Fund (Series ID: S000003673)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000010252 | Class A              | MSBAX           |
| C000010253 | Administrative Class | MSBLX           |
| C000010254 | Class R3             | MSBNX           |
| C000010255 | Class R5             | MBSSX           |
| C000010256 | Service Class        | MBSYX           |
| C000140369 | Class I              | MSBZX           |
| C000140370 | Class R4             | MSBRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MASSMUTUAL SELECT FUNDS

- **b. Investment Company Act file number:** 811-08274

- **c. CIK number of Registrant:** 0000916053

- **d. LEI of Registrant:** PJVR01EN4PJWVNUIQ236

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

  - **Street Address 1:** 1295 State Street

  - **City:** Springfield

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 01111-0001

  - **Telephone number:** 4137441000

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

- **a. Name of Series:** MassMutual Strategic Bond Fund

- **b. EDGAR series identifier (if any):** S000003673

- **c. LEI of Series:** 761OL3UHRIX25W4KQ497

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

- **a. Date of fiscal year-end:** 2023-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $525824628.76

**Total Liabilities:** $91374671.01

**Net Assets:** $434449957.75

**Delayed Delivery Securities:** $47208778.78

**Stand-by Commitments:** $44565.22

**Cash Not Reported:** $1431408.70

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 62.34 | **1-Year:** 8436.74 | **5-Year:** 66434.34 | **10-Year:** 58193.62 | **30-Year:** 50864.39

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

- **3-Month:** 7.54 | **1-Year:** 1625.52 | **5-Year:** 6656.52 | **10-Year:** 4205.44 | **30-Year:** 2481.51

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000010252 | -0.64%               | 4.83%                | -2.24%               |
| Class ID C000010253 | -0.46%               | 4.70%                | -2.24%               |
| Class ID C000010254 | -0.67%               | 4.77%                | -2.27%               |
| Class ID C000010255 | -0.46%               | 4.81%                | -2.23%               |
| Class ID C000010256 | -0.46%               | 4.69%                | -2.23%               |
| Class ID C000140369 | -0.58%               | 4.81%                | -2.23%               |
| Class ID C000140370 | -0.53%               | 4.86%                | -2.26%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-476864.11              | $-2999709.78                               |
| Month 2  | $-1444630.29             | $16637972.45                               |
| Month 3  | $-3592312.25             | $-5175027.94                               |

**Designated Index Information**

- **Index Name:** Barclays US Aggregate

- **Index Identifier:** LEHM50

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 1011778 BC UNLIMITED LBLTY CO                   | TERM LOAN B4                  | CUSIP: C6901LAH0<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |       20175 | PA      | $19796.46     | 0.00%             | 2026-11-19      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| 3 MONTH SOFR FUT  DEC23                         | XCME 20240319                 | CUSIP: ADI20TM27<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -169 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| 3 MONTH SOFR FUT  DEC24                         | XCME 20250318                 | CUSIP: ADI23N1Z7<br>LEI: N/A                  | N/A              | DIR              |  | US        |         106 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| 3 MONTH SOFR FUT  DEC25                         | XCME 20260317                 | CUSIP: ADI23N1K0<br>LEI: N/A                  | N/A              | DIR              |  | US        |          24 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| 3 MONTH SOFR FUT  JUN23                         | XCME 20230919                 | CUSIP: ADI21GLS8<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| 3 MONTH SOFR OPT  DEC23C 96.5                   | EXP 12/15/2023                | CUSIP: ADI28SHK7<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -74 | NC      | $-36075.00    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| 3 MONTH SOFR OPT  DEC23C 96.62                  | EXP 12/15/2023                | CUSIP: ADI28ZT77<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -21 | NC      | $-9056.25     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| 3 MONTH SOFR OPT  JUN23C 95.5                   | EXP 06/16/2023                | CUSIP: ADI2BT847<br>LEI: N/A                  | N/A              | DIR              |  | US        |          21 | NC      | $4593.75      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| 3 MONTH SOFR OPT  JUN23C 96                     | EXP 06/16/2023                | CUSIP: ADI2BT5N8<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -21 | NC      | $-2100.00     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| 3 MONTH SOFR OPT  SEP23C 98.75                  | EXP 09/15/2023                | CUSIP: ADI25YZ01<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -43 | NC      | $-1343.75     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| 3M COMPANY                                      | SR UNSECURED 04/50 3.7        | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |      150000 | PA      | $115621.65    | 0.03%             | 2050-04-15      | Fixed         | 3.70%                 | No            | 2                  | On Loan: —       |
| 3M COMPANY                                      | SR UNSECURED 08/29 2.375      | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |      140000 | PA      | $119068.58    | 0.03%             | 2029-08-26      | Fixed         | 2.38%                 | No            | 2                  | On Loan: —       |
| 3M COMPANY                                      | SR UNSECURED 04/30 3.05       | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       60000 | PA      | $52745.98     | 0.01%             | 2030-04-15      | Fixed         | 3.05%                 | No            | 2                  | On Loan: —       |
| 90DAY EUR FUTR  DEC23                           | XCME 20231218                 | CUSIP: ADI0G8YN1<br>LEI: N/A                  | N/A              | DIR              |  | US        |          22 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| 90DAY EUR FUTR  JUN23                           | XCME 20230619                 | CUSIP: ADI0GMD45<br>LEI: N/A                  | N/A              | DIR              |  | US        |           5 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| 90DAY EUR FUTR  MAR23                           | XCME 20230313                 | CUSIP: ADI0GMD52<br>LEI: N/A                  | N/A              | DIR              |  | US        |          36 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| 90DAY EUR FUTR  MAR25                           | XCME 20250317                 | CUSIP: ADI0GPRW1<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -91 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ABBOTT LABORATORIES                             | SR UNSECURED 11/26 3.75       | CUSIP: 002824BF6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      139000 | PA      | $135482.45    | 0.03%             | 2026-11-30      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| ABBOTT LABORATORIES                             | SR UNSECURED 11/36 4.75       | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |       80000 | PA      | $79608.16     | 0.02%             | 2036-11-30      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| ABBOTT LABORATORIES                             | SR UNSECURED 11/46 4.9        | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97493.58     | 0.02%             | 2046-11-30      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| ABBVIE INC                                      | SR UNSECURED 11/26 2.95       | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      260000 | PA      | $242087.01    | 0.06%             | 2026-11-21      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| ABBVIE INC                                      | SR UNSECURED 11/29 3.2        | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      600000 | PA      | $543139.87    | 0.13%             | 2029-11-21      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| ABBVIE INC                                      | SR UNSECURED 11/24 2.6        | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      550000 | PA      | $526420.31    | 0.12%             | 2024-11-21      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| ABBVIE INC                                      | SR UNSECURED 11/49 4.25       | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16855.73     | 0.00%             | 2049-11-21      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| ABBVIE INC                                      | SR UNSECURED 03/25 3.8        | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      180000 | PA      | $175575.64    | 0.04%             | 2025-03-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| ABBVIE INC                                      | SR UNSECURED 03/35 4.55       | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       90000 | PA      | $84535.32     | 0.02%             | 2035-03-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| ABBVIE INC                                      | SR UNSECURED 05/25 3.6        | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      130000 | PA      | $126089.88    | 0.03%             | 2025-05-14      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| ABBVIE INC                                      | SR UNSECURED 11/48 4.875      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18352.03     | 0.00%             | 2048-11-14      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| ABN AMRO BANK NV                                | SUBORDINATED 144A 07/25 4.75  | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |      260000 | PA      | $252150.60    | 0.06%             | 2025-07-28      | Fixed         | 4.75%                 | Yes           | 2                  | On Loan: No      |
| ADT SEC CORP                                    | SR SECURED 144A 08/29 4.125   | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8504.56      | 0.00%             | 2029-08-01      | Fixed         | 4.12%                 | Yes           | 2                  | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                        | COMPANY GUAR 02/24 3.15       | CUSIP: 00774MAQ8<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |      190000 | PA      | $183724.55    | 0.04%             | 2024-02-15      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                        | COMPANY GUAR 10/26 2.45       | CUSIP: 00774MAV7<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |      320000 | PA      | $280150.79    | 0.06%             | 2026-10-29      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                        | COMPANY GUAR 10/28 3          | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |      160000 | PA      | $134316.65    | 0.03%             | 2028-10-29      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                        | COMPANY GUAR 01/32 3.3        | CUSIP: 00774MAX3<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |      160000 | PA      | $125547.53    | 0.03%             | 2032-01-30      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| AETNA INC                                       | SR UNSECURED 06/23 2.8        | CUSIP: 00817YAV0<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39578.34     | 0.01%             | 2023-06-15      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| AIR LEASE CORP                                  | SR UNSECURED 07/25 3.375      | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |       80000 | PA      | $75757.88     | 0.02%             | 2025-07-01      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| ALI GROUP NORTH AMER CORP                       | 2021 TERM LOAN B              | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      256489 | PA      | $253970.16    | 0.06%             | 2029-07-30      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| ALLIED UNIVERSAL                                | SR SECURED 144A 07/26 6.625   | CUSIP: 019576AA5<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9150.00      | 0.00%             | 2026-07-15      | Fixed         | 6.62%                 | Yes           | 2                  | On Loan: No      |
| ALPHABET INC                                    | SR UNSECURED 08/40 1.9        | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      100000 | PA      | $66807.67     | 0.02%             | 2040-08-15      | Fixed         | 1.90%                 | No            | 2                  | On Loan: No      |
| ALPHABET INC                                    | SR UNSECURED 08/50 2.05       | CUSIP: 02079KAF4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       60000 | PA      | $35332.95     | 0.01%             | 2050-08-15      | Fixed         | 2.05%                 | No            | 2                  | On Loan: No      |
| ALPHABET INC                                    | SR UNSECURED 08/25 0.45       | CUSIP: 02079KAH0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45106.32     | 0.01%             | 2025-08-15      | Fixed         | 0.45%                 | No            | 2                  | On Loan: No      |
| ALTERRA MOUNTAIN COMPANY                        | 2021 SERIES B2 CONSENTING TL  | CUSIP: 46124CAJ6<br>LEI: 549300C5O4FSVNUEI843 | Long             | LON              | CORP              | US        |      365774 | PA      | $360517.78    | 0.08%             | 2028-08-17      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| ALTICE FRANCE SA                                | SR SECURED 144A 10/29 5.5     | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      210000 | PA      | $160131.30    | 0.04%             | 2029-10-15      | Fixed         | 5.50%                 | Yes           | 2                  | On Loan: No      |
| ALTRIA GROUP INC                                | COMPANY GUAR 02/26 4.4        | CUSIP: 02209SBC6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      192000 | PA      | $188129.81    | 0.04%             | 2026-02-14      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| ALTRIA GROUP INC                                | COMPANY GUAR 02/39 5.8        | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      240000 | PA      | $220384.28    | 0.05%             | 2039-02-14      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| ALTRIA GROUP INC                                | COMPANY GUAR 02/49 5.95       | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      260000 | PA      | $231896.41    | 0.05%             | 2049-02-14      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| ALTRIA GROUP INC                                | COMPANY GUAR 02/59 6.2        | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       56000 | PA      | $52326.29     | 0.01%             | 2059-02-14      | Fixed         | 6.20%                 | No            | 2                  | On Loan: No      |
| ALTRIA GROUP INC                                | COMPANY GUAR 02/32 2.45       | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      140000 | PA      | $105987.35    | 0.02%             | 2032-02-04      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                                  | SR UNSECURED 08/27 3.15       | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      470000 | PA      | $442648.39    | 0.10%             | 2027-08-22      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                                  | SR UNSECURED 08/47 4.05       | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      100000 | PA      | $86134.35     | 0.02%             | 2047-08-22      | Fixed         | 4.05%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                                  | SR UNSECURED 08/57 4.25       | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       70000 | PA      | $60296.44     | 0.01%             | 2057-08-22      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                                  | SR UNSECURED 06/50 2.5        | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       60000 | PA      | $38260.03     | 0.01%             | 2050-06-03      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                                  | SR UNSECURED 04/32 3.6        | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      320000 | PA      | $293834.92    | 0.07%             | 2032-04-13      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                                  | SR UNSECURED 05/31 2.1        | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       80000 | PA      | $65597.15     | 0.02%             | 2031-05-12      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                                  | SR UNSECURED 04/27 3.3        | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38017.68     | 0.01%             | 2027-04-13      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                                  | SR UNSECURED 04/29 3.45       | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       80000 | PA      | $74917.42     | 0.02%             | 2029-04-13      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                                  | SR UNSECURED 12/44 4.95       | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      180000 | PA      | $178571.73    | 0.04%             | 2044-12-05      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| AMBAC ASSURANCE CORP                            | SUBORDINATED 144A 12/99 5.1   | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |        4362 | PA      | $6106.32      | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | Yes           | 2                  | On Loan: No      |
| AMERICAN EXPRESS CO                             | SR UNSECURED 05/24 3.375      | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      130000 | PA      | $127404.17    | 0.03%             | 2024-05-03      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| AMERICAN EXPRESS CO                             | SR UNSECURED 05/29 4.05       | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      210000 | PA      | $200390.69    | 0.05%             | 2029-05-03      | Fixed         | 4.05%                 | No            | 2                  | On Loan: —       |
| AMERICAN TRANSMISSION SY                        | SR UNSECURED 144A 01/32 2.65  | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      440000 | PA      | $362339.60    | 0.08%             | 2032-01-15      | Fixed         | 2.65%                 | Yes           | 2                  | On Loan: No      |
| AMGEN INC                                       | SR UNSECURED 06/51 4.663      | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       24000 | PA      | $20585.57     | 0.00%             | 2051-06-15      | Fixed         | 4.66%                 | No            | 2                  | On Loan: No      |
| AMWINS GROUP INC                                | AMWINS GROUP INC TERM LOAN B  | CUSIP: 03234TAW8<br>LEI: 549300ER4R3WJD5XXM35 | Long             | LON              | CORP              | US        |      253282 | PA      | $248454.89    | 0.06%             | 2028-02-19      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| ANGLO AMERICAN CAPITAL                          | COMPANY GUAR 144A 04/27 4.75  | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      230000 | PA      | $222462.41    | 0.05%             | 2027-04-10      | Fixed         | 4.75%                 | Yes           | 2                  | On Loan: No      |
| ANHEUSER BUSCH CO/INBEV                         | COMPANY GUAR 02/26 3.65       | CUSIP: 03522AAG5<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | US        |      320000 | PA      | $308211.34    | 0.07%             | 2026-02-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| ANHEUSER BUSCH CO/INBEV                         | COMPANY GUAR 02/46 4.9        | CUSIP: 03522AAJ9<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45826.76     | 0.01%             | 2046-02-01      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| ANHEUSER BUSCH INBEV WOR                        | COMPANY GUAR 01/49 5.55       | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      110000 | PA      | $109764.67    | 0.03%             | 2049-01-23      | Fixed         | 5.55%                 | No            | 2                  | On Loan: No      |
| ANHEUSER BUSCH INBEV WOR                        | COMPANY GUAR 04/28 4          | CUSIP: 035240AL4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       80000 | PA      | $76289.82     | 0.02%             | 2028-04-13      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| ANHEUSER BUSCH INBEV WOR                        | COMPANY GUAR 04/48 4.6        | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       15000 | PA      | $13138.79     | 0.00%             | 2048-04-15      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| ANHEUSER BUSCH INBEV WOR                        | COMPANY GUAR 01/29 4.75       | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      230000 | PA      | $227555.22    | 0.05%             | 2029-01-23      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| ANHEUSER BUSCH INBEV WOR                        | COMPANY GUAR 06/40 4.35       | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26489.97     | 0.01%             | 2040-06-01      | Fixed         | 4.35%                 | No            | 2                  | On Loan: No      |
| ANHEUSER BUSCH INBEV WOR                        | COMPANY GUAR 06/30 3.5        | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      130000 | PA      | $118692.39    | 0.03%             | 2030-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| API GROUP DE INC                                | TERM LOAN B                   | CUSIP: 00186XAB9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |      226314 | PA      | $224616.80    | 0.05%             | 2026-10-01      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| APPLE INC                                       | SR UNSECURED 08/26 2.45       | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      340000 | PA      | $315708.74    | 0.07%             | 2026-08-04      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| APTIV PLC / APTIV CORP                          | COMPANY GUAR 03/32 3.25       | CUSIP: 00217GAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |      520000 | PA      | $427177.83    | 0.10%             | 2032-03-01      | Fixed         | 3.25%                 | No            | 2                  | On Loan: —       |
| ARBOR REALTY COLLATERALIZED LO                  | ARCLO 2021 FL3 A 144A         | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      790000 | PA      | $748239.73    | 0.17%             | 2034-08-15      | Floating      | 5.39%                 | Yes           | 2                  | On Loan: No      |
| ARCELORMITTAL                                   | SR UNSECURED 10/39 7          | CUSIP: 03938LAP9<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |       60000 | PA      | $61179.88     | 0.01%             | 2039-10-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| ASSET BACKED SECURITIES CORP H                  | ABSHE 2003 HE6 A3B            | CUSIP: 04541GGM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1198762 | PA      | $1140432.59   | 0.26%             | 2033-11-25      | Floating      | 5.35%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 08/41 5.55       | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38507.10     | 0.01%             | 2041-08-15      | Fixed         | 5.55%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 06/45 4.35       | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      101000 | PA      | $81951.59     | 0.02%             | 2045-06-15      | Fixed         | 4.35%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 06/27 2.3        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      250000 | PA      | $222784.46    | 0.05%             | 2027-06-01      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 02/52 3.3        | CUSIP: 00206RKE1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       40000 | PA      | $26805.29     | 0.01%             | 2052-02-01      | Fixed         | 3.30%                 | No            | 2                  | On Loan: —       |
| AT+T INC                                        | SR UNSECURED 02/28 1.65       | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      280000 | PA      | $236890.57    | 0.05%             | 2028-02-01      | Fixed         | 1.65%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 02/32 2.25       | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15734.98     | 0.00%             | 2032-02-01      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 09/53 3.5        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      180000 | PA      | $121387.18    | 0.03%             | 2053-09-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 09/55 3.55       | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      323000 | PA      | $216488.72    | 0.05%             | 2055-09-15      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 09/59 3.65       | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       60000 | PA      | $40363.35     | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 12/33 2.55       | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1220000 | PA      | $941222.39    | 0.22%             | 2033-12-01      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 12/57 3.8        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       10000 | PA      | $6954.22      | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 09/40 5.35       | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38317.98     | 0.01%             | 2040-09-01      | Fixed         | 5.35%                 | No            | 2                  | On Loan: No      |
| ATHENAHEALTH INC                                | 2022 TERM LOAN B              | CUSIP: 04686RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      348827 | PA      | $314069.71    | 0.07%             | 2029-02-15      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| ATHENAHEALTH INC                                | 2022 DELAYED DRAW TERM LOAN   | CUSIP: 04686RAC7<br>LEI: N/A                  | Long             | LON              |  | US        |       59420 | PA      | $53499.65     | 0.01%             | 2029-02-15      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| AUST 10Y BOND FUT MAR23                         | XSFE 20230315                 | CUSIP: ADI28Q5N8<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          36 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING                  | AESOP 2021 1A A 144A          | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      490000 | PA      | $427427.00    | 0.10%             | 2027-08-20      | Fixed         | 1.38%                 | Yes           | 2                  | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                  | 2021 TERM LOAN B5             | CUSIP: 05400KAH3<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |       87459 | PA      | $87162.96     | 0.02%             | 2027-12-01      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| BALL CORP                                       | COMPANY GUAR 09/31 3.125      | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      100000 | PA      | $80313.00     | 0.02%             | 2031-09-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: —       |
| BANC OF AMERICA MERRILL LYNCH                   | BAMLL 2016 GG10 AJA 144A      | CUSIP: 059427AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      382424 | PA      | $95606.12     | 0.02%             | 2045-08-10      | Floating      | 5.62%                 | Yes           | 2                  | On Loan: No      |
| BANCO SANTANDER SA                              | SR UNSECURED 04/23 VAR        | CUSIP: 05964HAH8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      200000 | PA      | $200021.06    | 0.05%             | 2023-04-12      | Floating      | 5.04%                 | No            | 2                  | On Loan: No      |
| BANCO SANTANDER SA                              | SR UNSECURED 05/25 2.746      | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      600000 | PA      | $561564.75    | 0.13%             | 2025-05-28      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| BANK                                            | BANK 2017 BNK4 XA             | CUSIP: 06541FBB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3042172 | PA      | $131282.18    | 0.03%             | 2050-05-15      | Floating      | 1.34%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 03/51 VAR        | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $3551368.59   | 0.82%             | 2051-03-20      | Fixed         | 4.08%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 04/31 VAR        | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      360000 | PA      | $294057.79    | 0.07%             | 2031-04-29      | Fixed         | 2.59%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 10/32 VAR        | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       60000 | PA      | $47162.59     | 0.01%             | 2032-10-20      | Fixed         | 2.57%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 02/33 VAR        | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      670000 | PA      | $541854.21    | 0.12%             | 2033-02-04      | Fixed         | 2.97%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 04/28 VAR        | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      300000 | PA      | $287310.17    | 0.07%             | 2028-04-27      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | JR SUBORDINA 09/49 VAR        | CUSIP: 060505EH3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      170000 | PA      | $163261.35    | 0.04%             | 2049-09-29      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 01/44 5          | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      130000 | PA      | $119467.40    | 0.03%             | 2044-01-21      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 04/24 4          | CUSIP: 06051GFF1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      270000 | PA      | $266685.32    | 0.06%             | 2024-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SUBORDINATED 08/24 4.2        | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      380000 | PA      | $374319.73    | 0.09%             | 2024-08-26      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SUBORDINATED 10/26 4.25       | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48364.47     | 0.01%             | 2026-10-22      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SUBORDINATED 01/25 4          | CUSIP: 06051GFM6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      270000 | PA      | $264415.22    | 0.06%             | 2025-01-22      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SUBORDINATED 03/26 4.45       | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49033.62     | 0.01%             | 2026-03-03      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 07/28 VAR        | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      270000 | PA      | $248939.36    | 0.06%             | 2028-07-21      | Fixed         | 3.59%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 12/28 VAR        | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      570000 | PA      | $516194.42    | 0.12%             | 2028-12-20      | Fixed         | 3.42%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 03/24 VAR        | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      260000 | PA      | $259073.65    | 0.06%             | 2024-03-05      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 03/29 VAR        | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      890000 | PA      | $822625.29    | 0.19%             | 2029-03-05      | Fixed         | 3.97%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 02/30 VAR        | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      270000 | PA      | $245811.60    | 0.06%             | 2030-02-07      | Fixed         | 3.97%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 03/50 VAR        | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       90000 | PA      | $74354.09     | 0.02%             | 2050-03-15      | Fixed         | 4.33%                 | No            | 2                  | On Loan: No      |
| BANK OF MONTREAL                                | SR UNSECURED 05/25 1.85       | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |       70000 | PA      | $65332.94     | 0.02%             | 2025-05-01      | Fixed         | 1.85%                 | No            | 2                  | On Loan: No      |
| BANK OF MONTREAL                                | SUBORDINATED 12/32 VAR        | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |       90000 | PA      | $79376.23     | 0.02%             | 2032-12-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| BANK OF NOVA SCOTIA                             | SR UNSECURED 06/25 1.3        | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      120000 | PA      | $110034.16    | 0.03%             | 2025-06-11      | Fixed         | 1.30%                 | No            | 2                  | On Loan: No      |
| BANK OF NOVA SCOTIA                             | SUBORDINATED 05/37 VAR        | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $85618.74     | 0.02%             | 2037-05-04      | Fixed         | 4.59%                 | No            | 2                  | On Loan: No      |
| BANK OF NY MELLON CORP                          | SR UNSECURED 04/25 1.6        | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      170000 | PA      | $158066.87    | 0.04%             | 2025-04-24      | Fixed         | 1.60%                 | No            | 2                  | On Loan: No      |
| BARCLAYS PLC                                    | SUBORDINATED 06/30 VAR        | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      510000 | PA      | $470887.99    | 0.11%             | 2030-06-20      | Fixed         | 5.09%                 | No            | 2                  | On Loan: No      |
| BARRICK NA FINANCE LLC                          | COMPANY GUAR 05/41 5.7        | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       80000 | PA      | $80773.76     | 0.02%             | 2041-05-30      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| BARRICK NA FINANCE LLC                          | COMPANY GUAR 05/43 5.75       | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       80000 | PA      | $81302.03     | 0.02%             | 2043-05-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| BAT CAPITAL CORP                                | COMPANY GUAR 08/27 3.557      | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      170000 | PA      | $155301.55    | 0.04%             | 2027-08-15      | Fixed         | 3.56%                 | No            | 2                  | On Loan: No      |
| BAT CAPITAL CORP                                | COMPANY GUAR 08/47 4.54       | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      360000 | PA      | $256130.49    | 0.06%             | 2047-08-15      | Fixed         | 4.54%                 | No            | 2                  | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECU                  | BSABS 2005 AC8 A3             | CUSIP: 073879Z43<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      634147 | PA      | $96706.48     | 0.02%             | 2035-11-25      | Floating      | 3.26%                 | No            | 2                  | On Loan: No      |
| BECTON DICKINSON AND CO                         | SR UNSECURED 12/44 4.685      | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       18000 | PA      | $16151.93     | 0.00%             | 2044-12-15      | Fixed         | 4.68%                 | No            | 2                  | On Loan: No      |
| BECTON DICKINSON AND CO                         | SR UNSECURED 06/24 3.363      | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       82000 | PA      | $80133.26     | 0.02%             | 2024-06-06      | Fixed         | 3.36%                 | No            | 2                  | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                        | BMARK 2021 B29 XA             | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2508334 | PA      | $138966.49    | 0.03%             | 2054-09-15      | Floating      | 1.04%                 | No            | 2                  | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                          | COMPANY GUAR 01/49 4.25       | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      160000 | PA      | $143617.42    | 0.03%             | 2049-01-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| BHP BILLITON FIN USA LTD                        | COMPANY GUAR 09/43 5          | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |      100000 | PA      | $97519.83     | 0.02%             | 2043-09-30      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| BLUE OWL FINANCE LLC                            | COMPANY GUAR 144A 06/31 3.125 | CUSIP: 09581JAA4<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |     1610000 | PA      | $1199599.15   | 0.28%             | 2031-06-10      | Fixed         | 3.12%                 | Yes           | 2                  | On Loan: No      |
| BNP PARIBAS                                     | SUBORDINATED 144A 03/33 VAR   | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      220000 | PA      | $194767.82    | 0.04%             | 2033-03-01      | Fixed         | 4.38%                 | Yes           | 2                  | On Loan: No      |
| BNP PARIBAS                                     | SR UNSECURED 144A 08/28 4.4   | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      400000 | PA      | $379492.93    | 0.09%             | 2028-08-14      | Fixed         | 4.40%                 | Yes           | 2                  | On Loan: No      |
| BNP PARIBAS                                     | SR UNSECURED 144A 01/25 VAR   | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      390000 | PA      | $386207.53    | 0.09%             | 2025-01-10      | Fixed         | 4.71%                 | Yes           | 2                  | On Loan: No      |
| BNP PARIBAS                                     | SR UNSECURED 144A 06/26 VAR   | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $183773.21    | 0.04%             | 2026-06-09      | Fixed         | 2.22%                 | Yes           | 2                  | On Loan: No      |
| BNP PARIBAS                                     | SUBORDINATED 144A 03/27 4.625 | CUSIP: 05581KAC5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      260000 | PA      | $246873.62    | 0.06%             | 2027-03-13      | Fixed         | 4.62%                 | Yes           | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 03/27 2.8        | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      150000 | PA      | $135537.65    | 0.03%             | 2027-03-01      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 03/38 3.55       | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       80000 | PA      | $59230.78     | 0.01%             | 2038-03-01      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 05/50 5.805      | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      380000 | PA      | $353792.01    | 0.08%             | 2050-05-01      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 03/29 3.2        | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      290000 | PA      | $255314.28    | 0.06%             | 2029-03-01      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 05/60 5.93       | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       40000 | PA      | $36672.00     | 0.01%             | 2060-05-01      | Fixed         | 5.93%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 05/26 3.1        | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       80000 | PA      | $75363.62     | 0.02%             | 2026-05-01      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 02/27 2.7        | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       90000 | PA      | $81346.78     | 0.02%             | 2027-02-01      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 05/30 5.15       | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      160000 | PA      | $156529.47    | 0.04%             | 2030-05-01      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 02/35 3.25       | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      360000 | PA      | $275561.14    | 0.06%             | 2035-02-01      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 02/50 3.75       | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      240000 | PA      | $166040.97    | 0.04%             | 2050-02-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 05/40 5.705      | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      110000 | PA      | $104896.15    | 0.02%             | 2040-05-01      | Fixed         | 5.71%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 02/26 2.196      | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      230000 | PA      | $209196.27    | 0.05%             | 2026-02-04      | Fixed         | 2.20%                 | No            | 2                  | On Loan: No      |
| BP CAP MARKETS AMERICA                          | COMPANY GUAR 05/26 3.119      | CUSIP: 10373QAT7<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      290000 | PA      | $275225.56    | 0.06%             | 2026-05-04      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| BP CAP MARKETS AMERICA                          | COMPANY GUAR 04/27 3.588      | CUSIP: 10373QAZ3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95385.89     | 0.02%             | 2027-04-14      | Fixed         | 3.59%                 | No            | 2                  | On Loan: No      |
| BP CAP MARKETS AMERICA                          | COMPANY GUAR 02/50 3          | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      340000 | PA      | $228767.85    | 0.05%             | 2050-02-24      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| BP CAP MARKETS AMERICA                          | COMPANY GUAR 04/30 3.633      | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      120000 | PA      | $110351.36    | 0.03%             | 2030-04-06      | Fixed         | 3.63%                 | No            | 2                  | On Loan: No      |
| BPR TRUST                                       | BPR 2021 TY A 144A            | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140000 | PA      | $131951.86    | 0.03%             | 2038-09-15      | Floating      | 5.37%                 | Yes           | 2                  | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUS                  | BRAVO 2022 NQM3 A1 144A       | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      336271 | PA      | $335234.75    | 0.08%             | 2062-07-25      | Floating      | 5.11%                 | Yes           | 2                  | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                        | SR UNSECURED 06/47 4.7        | CUSIP: 10922NAF0<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |       11000 | PA      | $8111.02      | 0.00%             | 2047-06-22      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| BRISTOL MYERS SQUIBB CO                         | SR UNSECURED 07/24 2.9        | CUSIP: 110122CM8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      206000 | PA      | $200051.99    | 0.05%             | 2024-07-26      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| BRISTOL MYERS SQUIBB CO                         | SR UNSECURED 06/26 3.2        | CUSIP: 110122CN6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      204000 | PA      | $194690.03    | 0.04%             | 2026-06-15      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| BRISTOL MYERS SQUIBB CO                         | SR UNSECURED 07/29 3.4        | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |       19000 | PA      | $17657.05     | 0.00%             | 2029-07-26      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| BROADCOM INC                                    | SR UNSECURED 144A 11/35 3.137 | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      490000 | PA      | $361938.24    | 0.08%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           | 2                  | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                        | COMPANY GUAR 144A 02/32 4.25  | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16232.22     | 0.00%             | 2032-02-01      | Fixed         | 4.25%                 | Yes           | 2                  | On Loan: No      |
| BWS036004 IRS USD R V 12MSOFR                   | 1%   20 Jul 2045              | CUSIP: 99S1GSWF4<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3470000 | PA      | $1516018.19   | 0.35%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS053009 IRS USD R V 00MFEDL                   | 1%   15 Feb 2047              | CUSIP: 99S1MQZO9<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1725000 | PA      | $448249.43    | 0.10%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS053223 IRS USD R V 00MSOFR                   | 1%   15 Feb 2047              | CUSIP: 99S1NKCO6<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1137000 | PA      | $334162.69    | 0.08%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS060863 IRS USD R V 00MSOFR                   | 1%   15 Aug 2028              | CUSIP: 99S1OI5I1<br>LEI: N/A                  | N/A              | DIR              |  | US        |      980000 | PA      | $124883.07    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS063123 IRS USD R V 00MSOFR                   | 1%   15 Aug 2028              | CUSIP: 99S1ORFF6<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2942000 | PA      | $361619.73    | 0.08%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS069120 IRS USD R V 00MSOFR                   | 1%   15 May 2047              | CUSIP: 99S1QDTF0<br>LEI: N/A                  | N/A              | DIR              |  | US        |      580000 | PA      | $160555.56    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS073262 IRS USD R V 00MSOFR                   | 1%   15 Aug 2047              | CUSIP: 99S1QRV09<br>LEI: N/A                  | N/A              | DIR              |  | US        |      226000 | PA      | $61996.60     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS074104 IRS USD R V 00MSOFR                   | 1%   18 Mar 2032              | CUSIP: 99S1R0QL7<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1542000 | PA      | $183619.99    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS074468 IRS USD R V 00MSOFR                   | 1%   21 Apr 2052              | CUSIP: 99S1RNQC7<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1900000 | PA      | $243751.80    | 0.06%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS074823 IRS USD R V 00MSOFR                   | 1%   15 Feb 2029              | CUSIP: 99S1S31U7<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3019000 | PA      | $128283.23    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS074849 IRS USD R V 00MSOFR                   | 1%   15 Feb 2048              | CUSIP: 99S1S8D09<br>LEI: N/A                  | N/A              | DIR              |  | US        |      505000 | PA      | $57105.59     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS074948 IRS USD R V 00MSOFR                   | 1%   30 Apr 2029              | CUSIP: 99S1TL4U3<br>LEI: N/A                  | N/A              | DIR              |  | US        |     8086000 | PA      | $158241.56    | 0.04%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS075267 IRS USD R V 00MSOFR                   | 1%   15 Feb 2048              | CUSIP: 99S1TJE60<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1829000 | PA      | $240562.26    | 0.06%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS075341 IRS USD R V 00MSOFR                   | 1%   15 Feb 2048              | CUSIP: 99S1U4769<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1281000 | PA      | $149106.59    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| BWS075747 CDS USD R V 03MEVENT                  | 1%   20 Dec 2027              | CUSIP: 99S1UE791<br>LEI: N/A                  | N/A              | DCR              |  | US        |      842100 | PA      | $-5185.65     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| BWS075820 IRS USD R V 00MSOFR                   | 1%   30 Jun 2029              | CUSIP: 99S1UP8I5<br>LEI: N/A                  | N/A              | DIR              |  | US        |     6935000 | PA      | $-96123.61    | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| BX TRUST                                        | BX 2021 VINO A 144A           | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      830000 | PA      | $799167.99    | 0.18%             | 2038-05-15      | Floating      | 4.97%                 | Yes           | 2                  | On Loan: No      |
| BX TRUST                                        | BX 2021 21M A 144A            | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      722661 | PA      | $694457.39    | 0.16%             | 2036-10-15      | Floating      | 5.05%                 | Yes           | 2                  | On Loan: No      |
| CAESARS RESORT COLLECTION LLC                   | TERM B LOANS                  | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |       53560 | PA      | $53390.30     | 0.01%             | 2024-12-23      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| CALIFORNIA ST                                   | CAS 11/43 FIXED 5             | CUSIP: 13063CFT2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       50000 | PA      | $50558.43     | 0.01%             | 2043-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| CAMERON LNG LLC                                 | SR SECURED 144A 07/31 2.902   | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |       40000 | PA      | $33857.74     | 0.01%             | 2031-07-15      | Fixed         | 2.90%                 | Yes           | 2                  | On Loan: No      |
| CAMERON LNG LLC                                 | SR SECURED 144A 01/35 3.302   | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |      130000 | PA      | $105194.85    | 0.02%             | 2035-01-15      | Fixed         | 3.30%                 | Yes           | 2                  | On Loan: No      |
| CANADIAN IMPERIAL BANK                          | SR UNSECURED 06/23 0.95       | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |      120000 | PA      | $117758.65    | 0.03%             | 2023-06-23      | Fixed         | 0.95%                 | No            | 2                  | On Loan: No      |
| CARGILL INC                                     | SR UNSECURED 144A 07/23 1.375 | CUSIP: 141781BL7<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |      180000 | PA      | $176330.06    | 0.04%             | 2023-07-23      | Fixed         | 1.38%                 | Yes           | 2                  | On Loan: No      |
| CARRIER GLOBAL CORP                             | SR UNSECURED 04/50 3.577      | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |       20000 | PA      | $14360.78     | 0.00%             | 2050-04-05      | Fixed         | 3.58%                 | No            | 2                  | On Loan: No      |
| CASTLELAKE AVIATION ONE DSGNTD                  | TERM LOAN B                   | CUSIP: 14855NAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      315653 | PA      | $312439.30    | 0.07%             | 2026-10-22      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                          | SR UNSECURED 144A 08/30 4.5   | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $24784.65     | 0.01%             | 2030-08-15      | Fixed         | 4.50%                 | Yes           | 2                  | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                          | SR UNSECURED 05/32 4.5        | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      840000 | PA      | $669186.00    | 0.15%             | 2032-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                          | SR UNSECURED 144A 02/32 4.75  | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $56749.00     | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | Yes           | 2                  | On Loan: No      |
| CENTENE CORP                                    | SR UNSECURED 12/27 4.25       | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       70000 | PA      | $65714.25     | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| CENTENE CORP                                    | SR UNSECURED 12/29 4.625      | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      120000 | PA      | $109702.68    | 0.03%             | 2029-12-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| CENTENE CORP                                    | SR UNSECURED 10/30 3          | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8197.49      | 0.00%             | 2030-10-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CENTENE CORP                                    | SR UNSECURED 08/31 2.625      | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7841.25      | 0.00%             | 2031-08-01      | Fixed         | 2.62%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 05/47 5.375        | CUSIP: 161175BL7<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15771.89     | 0.00%             | 2047-05-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 04/38 5.375        | CUSIP: 161175BM5<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      100000 | PA      | $83386.31     | 0.02%             | 2038-04-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 03/29 5.05         | CUSIP: 161175BR4<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      360000 | PA      | $339070.35    | 0.08%             | 2029-03-30      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 07/49 5.125        | CUSIP: 161175BS2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      100000 | PA      | $76051.89     | 0.02%             | 2049-07-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 03/50 4.8          | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      100000 | PA      | $72796.05     | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 07/25 4.908        | CUSIP: 161175AY0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      270000 | PA      | $264842.68    | 0.06%             | 2025-07-23      | Fixed         | 4.91%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 03/42 3.5          | CUSIP: 161175CE2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |       60000 | PA      | $38898.63     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 10/45 6.484        | CUSIP: 161175BA1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      160000 | PA      | $144901.26    | 0.03%             | 2045-10-23      | Fixed         | 6.48%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 10/55 6.834        | CUSIP: 161175BC7<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |       60000 | PA      | $55615.60     | 0.01%             | 2055-10-23      | Fixed         | 6.83%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 04/33 4.4          | CUSIP: 161175CJ1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      140000 | PA      | $120218.74    | 0.03%             | 2033-04-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 03/28 4.2          | CUSIP: 161175BK9<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      190000 | PA      | $174912.88    | 0.04%             | 2028-03-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 04/63 5.5          | CUSIP: 161175CL6<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |       80000 | PA      | $61363.79     | 0.01%             | 2063-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| CHENIERE ENERGY PARTNERS                        | COMPANY GUAR 01/32 3.25       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      170000 | PA      | $135163.22    | 0.03%             | 2032-01-31      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| CHEVRON CORP                                    | SR UNSECURED 05/27 1.995      | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      110000 | PA      | $98941.05     | 0.02%             | 2027-05-11      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| CHEVRON CORP                                    | SR UNSECURED 05/50 3.078      | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $14593.29     | 0.00%             | 2050-05-11      | Fixed         | 3.08%                 | No            | 2                  | On Loan: No      |
| CHEVRON USA INC                                 | COMPANY GUAR 01/28 3.85       | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |      300000 | PA      | $290037.14    | 0.07%             | 2028-01-15      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| CHUBB INA HOLDINGS INC                          | COMPANY GUAR 05/26 3.35       | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |      120000 | PA      | $114911.21    | 0.03%             | 2026-05-03      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| CIGNA CORP                                      | COMPANY GUAR 07/23 3.75       | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      161000 | PA      | $159933.00    | 0.04%             | 2023-07-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| CIGNA CORP                                      | COMPANY GUAR 11/25 4.125      | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97770.19     | 0.02%             | 2025-11-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| CIGNA CORP                                      | COMPANY GUAR 10/28 4.375      | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      160000 | PA      | $154610.46    | 0.04%             | 2028-10-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| CIGNA CORP                                      | COMPANY GUAR 08/38 4.8        | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      240000 | PA      | $223432.12    | 0.05%             | 2038-08-15      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| CIGNA CORP                                      | COMPANY GUAR 12/48 4.9        | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      100000 | PA      | $90768.40     | 0.02%             | 2048-12-15      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| CINTAS CORPORATION NO. 2                        | COMPANY GUAR 04/27 3.7        | CUSIP: 17252MAN0<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |      160000 | PA      | $154455.68    | 0.04%             | 2027-04-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| CITADEL SECURITIES LP                           | 2021 TERM LOAN B              | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |       52305 | PA      | $51219.74     | 0.01%             | 2028-02-02      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE                   | CGCMT 2014 GC23 B             | CUSIP: 17322VAW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      350000 | PA      | $331254.11    | 0.08%             | 2047-07-10      | Floating      | 4.17%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | JR SUBORDINA 07/49 VAR        | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49512.50     | 0.01%             | 2049-07-29      | Fixed         | 5.95%                 | No            | 2                  | On Loan: —       |
| CITIGROUP INC                                   | JR SUBORDINA 12/49 VAR        | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       60000 | PA      | $56595.00     | 0.01%             | 2049-12-29      | Fixed         | 6.30%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SUBORDINATED 05/44 5.3        | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       16000 | PA      | $14494.08     | 0.00%             | 2044-05-06      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SUBORDINATED 11/26 4.3        | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      670000 | PA      | $648986.38    | 0.15%             | 2026-11-20      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | JR SUBORDINA 12/49 VAR        | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      150000 | PA      | $137062.50    | 0.03%             | 2049-12-29      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SR UNSECURED 07/45 4.65       | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      181000 | PA      | $156219.97    | 0.04%             | 2045-07-30      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SUBORDINATED 09/27 4.45       | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      480000 | PA      | $458686.99    | 0.11%             | 2027-09-29      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SUBORDINATED 05/46 4.75       | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       40000 | PA      | $33431.14     | 0.01%             | 2046-05-18      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SUBORDINATED 07/28 4.125      | CUSIP: 172967KU4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      150000 | PA      | $139893.51    | 0.03%             | 2028-07-25      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SR UNSECURED 07/48 4.65       | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       70000 | PA      | $60918.80     | 0.01%             | 2048-07-23      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SR UNSECURED 03/30 VAR        | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      180000 | PA      | $162735.80    | 0.04%             | 2030-03-20      | Fixed         | 3.98%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SR UNSECURED 03/31 VAR        | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      410000 | PA      | $377539.33    | 0.09%             | 2031-03-31      | Fixed         | 4.41%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SR UNSECURED 06/31 VAR        | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      170000 | PA      | $137902.68    | 0.03%             | 2031-06-03      | Fixed         | 2.57%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SR UNSECURED 03/33 VAR        | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1890000 | PA      | $1622317.94   | 0.37%             | 2033-03-17      | Fixed         | 3.79%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SR UNSECURED 05/28 VAR        | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48446.06     | 0.01%             | 2028-05-24      | Fixed         | 4.66%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SR UNSECURED 05/33 VAR        | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      130000 | PA      | $122143.86    | 0.03%             | 2033-05-24      | Fixed         | 4.91%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SUBORDINATED 06/32 6.625      | CUSIP: 172967BL4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       20000 | PA      | $21132.46     | 0.00%             | 2032-06-15      | Fixed         | 6.62%                 | No            | 2                  | On Loan: No      |
| CITIGROUP INC                                   | SR UNSECURED 07/39 8.125      | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       50000 | PA      | $61716.12     | 0.01%             | 2039-07-15      | Fixed         | 8.12%                 | No            | 2                  | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST                   | CMLTI 2007 6 2A4              | CUSIP: 17312VAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1361928 | PA      | $729105.68    | 0.17%             | 2037-05-25      | Floating      | 4.74%                 | No            | 2                  | On Loan: No      |
| CLARIOS GLOBAL LP                               | 2021 USD TERM LOAN B          | CUSIP: C8000CAG8<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | CA        |      380344 | PA      | $371945.57    | 0.09%             | 2026-04-30      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| CLOUDERA, INC.                                  | 2021 TERM LOAN                | CUSIP: 74339VAB4<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |      198500 | PA      | $186218.81    | 0.04%             | 2028-10-08      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| CMG MEDIA CORPORATION                           | 2021 TERM LOAN                | CUSIP: 88145LAE4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      167764 | PA      | $156710.06    | 0.04%             | 2026-12-17      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| COCA COLA CO/THE                                | SR UNSECURED 06/27 1.45       | CUSIP: 191216CU2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      250000 | PA      | $221068.96    | 0.05%             | 2027-06-01      | Fixed         | 1.45%                 | No            | 2                  | On Loan: No      |
| COCA COLA CO/THE                                | SR UNSECURED 06/40 2.5        | CUSIP: 191216CW8<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7334.63      | 0.00%             | 2040-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| COCA COLA CO/THE                                | SR UNSECURED 06/50 2.6        | CUSIP: 191216CX6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       80000 | PA      | $53855.19     | 0.01%             | 2050-06-01      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| COLLEGE AVE STUDENT LOANS                       | CASL 2019 A A2 144A           | CUSIP: 19421UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      252867 | PA      | $236552.52    | 0.05%             | 2048-12-28      | Fixed         | 3.28%                 | Yes           | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 04/27 3.3        | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      120000 | PA      | $113249.19    | 0.03%             | 2027-04-01      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 01/51 2.8        | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       30000 | PA      | $19078.83     | 0.00%             | 2051-01-15      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 11/35 6.5        | CUSIP: 20030NAK7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       41000 | PA      | $45792.20     | 0.01%             | 2035-11-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 01/33 4.25       | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18876.00     | 0.00%             | 2033-01-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 11/51 2.887      | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      320000 | PA      | $206721.37    | 0.05%             | 2051-11-01      | Fixed         | 2.89%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 03/26 3.15       | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      280000 | PA      | $266885.74    | 0.06%             | 2026-03-01      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 07/46 3.4        | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       30000 | PA      | $22073.81     | 0.01%             | 2046-07-15      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 08/47 4          | CUSIP: 20030NBZ3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16090.00     | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 11/47 3.969      | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       80000 | PA      | $63954.87     | 0.01%             | 2047-11-01      | Fixed         | 3.97%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 11/49 3.999      | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15877.15     | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 03/48 4          | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       50000 | PA      | $39966.52     | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 10/58 4.95       | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9118.17      | 0.00%             | 2058-10-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 10/28 4.15       | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      180000 | PA      | $172936.62    | 0.04%             | 2028-10-15      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 10/30 4.25       | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      230000 | PA      | $220623.38    | 0.05%             | 2030-10-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 11/39 3.25       | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       30000 | PA      | $23494.03     | 0.01%             | 2039-11-01      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 02/50 3.45       | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       40000 | PA      | $29230.56     | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 04/30 3.4        | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      180000 | PA      | $164458.11    | 0.04%             | 2030-04-01      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 04/40 3.75       | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       80000 | PA      | $66360.16     | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| COMMONSPIRIT HEALTH                             | SECURED 11/42 4.35            | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16972.70     | 0.00%             | 2042-11-01      | Fixed         | 4.35%                 | No            | 2                  | On Loan: No      |
| COMMSCOPE INC                                   | SR SECURED 144A 09/29 4.75    | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16124.00     | 0.00%             | 2029-09-01      | Fixed         | 4.75%                 | Yes           | 2                  | On Loan: No      |
| COMMSCOPE INC                                   | SR SECURED 144A 03/26 6       | CUSIP: 20338QAD5<br>LEI: 254900AW4CEPCQWSRI58 | Long             | DBT              | CORP              | US        |       60000 | PA      | $55146.71     | 0.01%             | 2026-03-01      | Fixed         | 6.00%                 | Yes           | 2                  | On Loan: No      |
| CON EDISON CO OF NY INC                         | SR UNSECURED 04/30 3.35       | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       70000 | PA      | $63132.58     | 0.01%             | 2030-04-01      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| CON EDISON CO OF NY INC                         | SR UNSECURED 04/50 3.95       | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       50000 | PA      | $39872.99     | 0.01%             | 2050-04-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| CONOCOPHILLIPS COMPANY                          | SR UNSECURED 04/29 6.95       | CUSIP: 208251AE8<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | DBT              | CORP              | US        |       75000 | PA      | $83147.10     | 0.02%             | 2029-04-15      | Fixed         | 6.95%                 | No            | 2                  | On Loan: No      |
| CONSECO FINANCIAL CORP                          | GT 1996 4 M1                  | CUSIP: 393505MR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      428497 | PA      | $441252.82    | 0.10%             | 2027-06-15      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| CONSTELLATION BRANDS INC                        | SR UNSECURED 05/27 4.35       | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       80000 | PA      | $78016.43     | 0.02%             | 2027-05-09      | Fixed         | 4.35%                 | No            | 2                  | On Loan: No      |
| CONSTELLATION BRANDS INC                        | SR UNSECURED 05/24 3.6        | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       60000 | PA      | $58769.45     | 0.01%             | 2024-05-09      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| CONTINENTAL RESOURCES                           | COMPANY GUAR 01/28 4.375      | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      130000 | PA      | $118164.80    | 0.03%             | 2028-01-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| CONTINENTAL RESOURCES                           | COMPANY GUAR 144A 01/31 5.75  | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      250000 | PA      | $232794.21    | 0.05%             | 2031-01-15      | Fixed         | 5.75%                 | Yes           | 2                  | On Loan: No      |
| CONTINENTAL RESOURCES                           | COMPANY GUAR 144A 11/26 2.268 | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       70000 | PA      | $60636.68     | 0.01%             | 2026-11-15      | Fixed         | 2.27%                 | Yes           | 2                  | On Loan: No      |
| COOPERATIEVE RABOBANK UA                        | COMPANY GUAR 08/25 4.375      | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      470000 | PA      | $459160.15    | 0.11%             | 2025-08-04      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| COOPERATIEVE RABOBANK UA                        | SR UNSECURED 144A 04/28 3.649 | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      300000 | PA      | $276793.89    | 0.06%             | 2028-04-06      | Fixed         | 3.65%                 | Yes           | 2                  | On Loan: No      |
| COSTCO WHOLESALE CORP                           | SR UNSECURED 06/27 1.375      | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |      190000 | PA      | $166677.21    | 0.04%             | 2027-06-20      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| COSTCO WHOLESALE CORP                           | SR UNSECURED 04/30 1.6        | CUSIP: 22160KAP0<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |      110000 | PA      | $90299.38     | 0.02%             | 2030-04-20      | Fixed         | 1.60%                 | No            | 2                  | On Loan: No      |
| COTERRA ENERGY INC                              | SR UNSECURED 05/27 3.9        | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      310000 | PA      | $289876.82    | 0.07%             | 2027-05-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| COTERRA ENERGY INC                              | SR UNSECURED 03/29 4.375      | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      220000 | PA      | $208347.95    | 0.05%             | 2029-03-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN T                  | CWALT 2006 18CB A6            | CUSIP: 02147FAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       40948 | PA      | $33391.92     | 0.01%             | 2036-07-25      | Floating      | 11.05%                | No            | 2                  | On Loan: No      |
| CREDIT AGRICOLE LONDON                          | SR UNSECURED 144A 06/26 VAR   | CUSIP: 22535WAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |      270000 | PA      | $246305.29    | 0.06%             | 2026-06-16      | Fixed         | 1.91%                 | Yes           | 2                  | On Loan: No      |
| CREDIT SUISSE GROUP AG                          | SR UNSECURED 144A 06/26 VAR   | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      480000 | PA      | $410282.47    | 0.09%             | 2026-06-05      | Fixed         | 2.19%                 | Yes           | 2                  | On Loan: No      |
| CREDIT SUISSE GROUP AG                          | SR UNSECURED 144A 05/32 VAR   | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      350000 | PA      | $242896.19    | 0.06%             | 2032-05-14      | Fixed         | 3.09%                 | Yes           | 2                  | On Loan: —       |
| CREDIT SUISSE GROUP AG                          | JR SUBORDINA 144A 12/99 VAR   | CUSIP: 225401AX6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      470000 | PA      | $409590.70    | 0.09%             | 2099-12-31      | Fixed         | 9.75%                 | Yes           | 2                  | On Loan: —       |
| CREDIT SUISSE GROUP AG                          | SR UNSECURED 144A 04/31 VAR   | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      250000 | PA      | $194596.71    | 0.04%             | 2031-04-01      | Fixed         | 4.19%                 | Yes           | 2                  | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                    | CSMC 2014 USA A2 144A         | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-O            | CORP              | US        |      190000 | PA      | $171343.44    | 0.04%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           | 2                  | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                    | CSMC 2014 USA E 144A          | CUSIP: 12649AAQ2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-O            | CORP              | US        |      140000 | PA      | $77633.92     | 0.02%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           | 2                  | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                    | CSMC 2014 USA F 144A          | CUSIP: 12649AAS8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-O            | CORP              | US        |     2440000 | PA      | $1177706.99   | 0.27%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           | 2                  | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                    | CSMC 2015 4R 3A3 144A         | CUSIP: 12650BAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      676675 | PA      | $314384.83    | 0.07%             | 2036-10-27      | Floating      | 3.30%                 | Yes           | 2                  | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                    | CSMC 2017 CHOP G 144A         | CUSIP: 12651QAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1160000 | PA      | $1043724.04   | 0.24%             | 2032-07-15      | Floating      | 9.67%                 | Yes           | 2                  | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                    | CSMC 2022 MARK A 144A         | CUSIP: 12666KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      130000 | PA      | $128472.40    | 0.03%             | 2039-06-15      | Floating      | 7.03%                 | Yes           | 2                  | On Loan: No      |
| CREDIT SUISSE NEW YORK                          | SR UNSECURED 07/27 5          | CUSIP: 22550L2K6<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |      250000 | PA      | $228121.77    | 0.05%             | 2027-07-09      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| CSC HOLDINGS LLC                                | COMPANY GUAR 144A 02/29 6.5   | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      250000 | PA      | $204375.00    | 0.05%             | 2029-02-01      | Fixed         | 6.50%                 | Yes           | 2                  | On Loan: No      |
| CTR PARTNERSHIP/CARETRST                        | COMPANY GUAR 144A 06/28 3.875 | CUSIP: 126458AE8<br>LEI: 254900L7G64R08G6RJ22 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16900.53     | 0.00%             | 2028-06-30      | Fixed         | 3.88%                 | Yes           | 2                  | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      352684 | PA      | $-5958.87     | -0.00%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     1993324 | PA      | $-8974.49     | -0.00%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     2491725 | PA      | $-28563.14    | -0.01%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      404962 | PA      | $22515.93     | 0.01%             |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     1711432 | PA      | $82883.27     | 0.02%             |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |       35164 | PA      | $-209.77      | -0.00%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     6986464 | PA      | $59696.97     | 0.01%             |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      707374 | PA      | $-26600.15    | -0.01%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      337315 | PA      | $-13886.88    | -0.00%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     6038467 | PA      | $312325.27    | 0.07%             |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      349120 | PA      | $-21741.76    | -0.01%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      297280 | PA      | $-24812.24    | -0.01%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     5496184 | PA      | $465326.70    | 0.11%             |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      747219 | PA      | $-15746.02    | -0.00%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      582930 | PA      | $-8028.95     | -0.00%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      240904 | PA      | $-2929.78     | -0.00%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     1262224 | PA      | $-3952.72     | -0.00%            |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     2029229 | PA      | $14797.01     | 0.00%             |  |  |  | No            | N/A                | On Loan: No      |
| Currency Forward Contract                       | FX Forward                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      453949 | PA      | $9170.38      | 0.00%             |  |  |  | No            | N/A                | On Loan: No      |
| CVS HEALTH CORP                                 | SR UNSECURED 07/45 5.125      | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      100000 | PA      | $90737.99     | 0.02%             | 2045-07-20      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| CVS HEALTH CORP                                 | SR UNSECURED 03/28 4.3        | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      208000 | PA      | $201526.55    | 0.05%             | 2028-03-25      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| CVS HEALTH CORP                                 | SR UNSECURED 03/48 5.05       | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      320000 | PA      | $288669.24    | 0.07%             | 2048-03-25      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| CVS HEALTH CORP                                 | SR UNSECURED 04/30 3.75       | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      150000 | PA      | $136728.91    | 0.03%             | 2030-04-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| CVS HEALTH CORP                                 | SR UNSECURED 04/40 4.125      | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      120000 | PA      | $100365.57    | 0.02%             | 2040-04-01      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| CVS HEALTH CORP                                 | SR UNSECURED 04/50 4.25       | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       30000 | PA      | $24050.70     | 0.01%             | 2050-04-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| CVS HEALTH CORP                                 | SR UNSECURED 02/31 1.875      | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       30000 | PA      | $23622.18     | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| CVS HEALTH CORP                                 | SR UNSECURED 09/31 2.125      | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      140000 | PA      | $111390.50    | 0.03%             | 2031-09-15      | Fixed         | 2.12%                 | No            | 2                  | On Loan: No      |
| CVS PASS THROUGH TRUST                          | SR SECURED 144A 01/27 5.298   | CUSIP: 126650AW0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |        4379 | PA      | $4334.07      | 0.00%             | 2027-01-11      | Fixed         | 5.30%                 | Yes           | 2                  | On Loan: No      |
| CVS PASS THROUGH TRUST                          | PASS THRU CE 01/28 5.88       | CUSIP: 126650BC3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       56861 | PA      | $56287.91     | 0.01%             | 2028-01-10      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| CVS PASS THROUGH TRUST                          | PASS THRU CE 12/28 6.036      | CUSIP: 126650BP4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       52943 | PA      | $52199.43     | 0.01%             | 2028-12-10      | Fixed         | 6.04%                 | No            | 2                  | On Loan: No      |
| CVS PASS THROUGH TRUST                          | PASS THRU CE 01/30 6.943      | CUSIP: 126650BQ2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       49540 | PA      | $50506.67     | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            | 2                  | On Loan: No      |
| DANONE SA                                       | SR UNSECURED 144A 11/23 2.589 | CUSIP: 23636TAD2<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |      310000 | PA      | $303527.09    | 0.07%             | 2023-11-02      | Fixed         | 2.59%                 | Yes           | 2                  | On Loan: No      |
| DANSKE BANK A/S                                 | SR UNSECURED 144A 01/24 5.375 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      240000 | PA      | $238077.38    | 0.05%             | 2024-01-12      | Fixed         | 5.38%                 | Yes           | 2                  | On Loan: No      |
| DCERT BUYER INC                                 | 2019 TERM LOAN B              | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |      111700 | PA      | $107750.69    | 0.02%             | 2026-10-16      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| DEERE + COMPANY                                 | SR UNSECURED 04/30 3.1        | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |       60000 | PA      | $53879.94     | 0.01%             | 2030-04-15      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| DEERE + COMPANY                                 | SR UNSECURED 04/50 3.75       | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |      260000 | PA      | $221365.76    | 0.05%             | 2050-04-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: —       |
| DEERFIELD DAKOTA HOLDING LLC                    | 2020 USD TERM LOAN B          | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |      298202 | PA      | $277980.97    | 0.06%             | 2027-04-09      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| DELL INT LLC / EMC CORP                         | COMPANY GUAR 144A 12/41 3.375 | CUSIP: 24703DBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1320000 | PA      | $890059.18    | 0.20%             | 2041-12-15      | Fixed         | 3.38%                 | Yes           | 2                  | On Loan: —       |
| DELTA AIR LINES INC                             | SR UNSECURED 04/23 3.8        | CUSIP: 247361ZP6<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |       90000 | PA      | $88875.00     | 0.02%             | 2023-04-19      | Fixed         | 3.80%                 | No            | 2                  | On Loan: —       |
| DELTA AIR LINES INC                             | SR UNSECURED 10/24 2.9        | CUSIP: 247361ZU5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      180000 | PA      | $170528.09    | 0.04%             | 2024-10-28      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| DELTA AIR LINES INC                             | SR SECURED 144A 05/25 7       | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |     1670000 | PA      | $1708038.37   | 0.39%             | 2025-05-01      | Fixed         | 7.00%                 | Yes           | 2                  | On Loan: No      |
| DELTA AIR LINES INC                             | SR UNSECURED 01/26 7.375      | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      380000 | PA      | $388261.20    | 0.09%             | 2026-01-15      | Fixed         | 7.38%                 | No            | 2                  | On Loan: —       |
| DELTA AIR LINES/SKYMILES                        | SR SECURED 144A 10/25 4.5     | CUSIP: 830867AA5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | NA        |      320000 | PA      | $312328.85    | 0.07%             | 2025-10-20      | Fixed         | 4.50%                 | Yes           | 2                  | On Loan: No      |
| DELTA AIR LINES/SKYMILES                        | SR SECURED 144A 10/28 4.75    | CUSIP: 830867AB3<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | NA        |      300000 | PA      | $282393.04    | 0.07%             | 2028-10-20      | Fixed         | 4.75%                 | Yes           | 2                  | On Loan: No      |
| DEUTSCHE BANK COMMERCIAL MORTG                  | DBJPM 2016 C3 A4              | CUSIP: 23312VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      160000 | PA      | $145627.55    | 0.03%             | 2049-08-10      | Fixed         | 2.63%                 | No            | 2                  | On Loan: No      |
| DEVON ENERGY CORPORATION                        | SR UNSECURED 07/41 5.6        | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      140000 | PA      | $131378.21    | 0.03%             | 2041-07-15      | Fixed         | 5.60%                 | No            | 2                  | On Loan: No      |
| DEVON ENERGY CORPORATION                        | SR UNSECURED 05/42 4.75       | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8519.35      | 0.00%             | 2042-05-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: —       |
| DEVON ENERGY CORPORATION                        | SR UNSECURED 06/45 5          | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      440000 | PA      | $382178.77    | 0.09%             | 2045-06-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| DEVON ENERGY CORPORATION                        | SR UNSECURED 12/25 5.85       | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      120000 | PA      | $122209.64    | 0.03%             | 2025-12-15      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| DEVON ENERGY CORPORATION                        | SR UNSECURED 08/23 8.25       | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30407.80     | 0.01%             | 2023-08-01      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| DEVON ENERGY CORPORATION                        | SR UNSECURED 10/27 5.25       | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       32000 | PA      | $31714.23     | 0.01%             | 2027-10-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| DEVON ENERGY CORPORATION                        | SR UNSECURED 06/28 5.875      | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       26000 | PA      | $26317.97     | 0.01%             | 2028-06-15      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| DEVON ENERGY CORPORATION                        | SR UNSECURED 09/31 7.875      | CUSIP: 25179SAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      330000 | PA      | $373475.68    | 0.09%             | 2031-09-30      | Fixed         | 7.88%                 | No            | 2                  | On Loan: —       |
| DIAMONDBACK ENERGY INC                          | COMPANY GUAR 12/29 3.5        | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      160000 | PA      | $140764.90    | 0.03%             | 2029-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| DIAMONDBACK ENERGY INC                          | COMPANY GUAR 12/26 3.25       | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9315.19      | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| DIAMONDBACK ENERGY INC                          | COMPANY GUAR 03/33 6.25       | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     1620000 | PA      | $1647636.54   | 0.38%             | 2033-03-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| DISH DBS CORP                                   | SR SECURED 144A 12/26 5.25    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      120000 | PA      | $101080.20    | 0.02%             | 2026-12-01      | Fixed         | 5.25%                 | Yes           | 2                  | On Loan: No      |
| DISH DBS CORP                                   | SR SECURED 144A 12/28 5.75    | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      120000 | PA      | $95775.00     | 0.02%             | 2028-12-01      | Fixed         | 5.75%                 | Yes           | 2                  | On Loan: No      |
| DIVIDEND SOLAR LOANS LLC                        | DIV 2019 1 A 144A             | CUSIP: 255388AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      742088 | PA      | $672997.44    | 0.15%             | 2039-08-22      | Fixed         | 3.67%                 | Yes           | 2                  | On Loan: No      |
| DP WORLD PLC                                    | SR UNSECURED 144A 09/48 5.625 | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |      330000 | PA      | $308940.72    | 0.07%             | 2048-09-25      | Fixed         | 5.62%                 | Yes           | 2                  | On Loan: No      |
| DUKE ENERGY OHIO INC                            | 1ST MORTGAGE 02/29 3.65       | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      260000 | PA      | $242023.66    | 0.06%             | 2029-02-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| EATON CORP                                      | COMPANY GUAR 11/42 4.15       | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |       40000 | PA      | $34335.96     | 0.01%             | 2042-11-02      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| ECOPETROL SA                                    | SR UNSECURED 05/45 5.875      | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      770000 | PA      | $536273.69    | 0.12%             | 2045-05-28      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| EL PASO NATURAL GAS                             | COMPANY GUAR 06/32 8.375      | CUSIP: 283695BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      289000 | PA      | $327808.11    | 0.08%             | 2032-06-15      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| ELEVANCE HEALTH INC                             | SR UNSECURED 12/27 3.65       | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      140000 | PA      | $132322.57    | 0.03%             | 2027-12-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| ELEVANCE HEALTH INC                             | SR UNSECURED 12/24 3.35       | CUSIP: 036752AC7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      120000 | PA      | $116372.43    | 0.03%             | 2024-12-01      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| ELEVANCE HEALTH INC                             | SR UNSECURED 05/32 4.1        | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       60000 | PA      | $56004.83     | 0.01%             | 2032-05-15      | Fixed         | 4.10%                 | No            | 2                  | On Loan: No      |
| ELEVANCE HEALTH INC                             | SR UNSECURED 05/52 4.55       | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8745.84      | 0.00%             | 2052-05-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | JR SUBORDINA VAR              | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17000.00     | 0.00%             | 2099-12-31      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | JR SUBORDINA 12/99 VAR        | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      160000 | PA      | $138400.00    | 0.03%             | 2099-12-31      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | JR SUBORDINA 12/99 VAR        | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      150000 | PA      | $125250.00    | 0.03%             | 2099-12-31      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | JR SUBORDINA 12/99 VAR        | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       50000 | PA      | $43207.59     | 0.01%             | 2099-12-31      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | SR UNSECURED 06/28 4.95       | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48433.87     | 0.01%             | 2028-06-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | SR UNSECURED 04/29 5.25       | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       80000 | PA      | $77592.60     | 0.02%             | 2029-04-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | SR UNSECURED 05/25 2.9        | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      170000 | PA      | $160319.32    | 0.04%             | 2025-05-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | SR UNSECURED 05/30 3.75       | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      430000 | PA      | $380384.06    | 0.09%             | 2030-05-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | SR UNSECURED 04/49 6.25       | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      260000 | PA      | $243284.71    | 0.06%             | 2049-04-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | SR UNSECURED 02/42 6.1        | CUSIP: 86765BAK5<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |      140000 | PA      | $129040.32    | 0.03%             | 2042-02-15      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | SR UNSECURED 04/44 5.3        | CUSIP: 86765BAP4<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16984.62     | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                              | SR UNSECURED 10/47 5.4        | CUSIP: 86765BAV1<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |       40000 | PA      | $33814.32     | 0.01%             | 2047-10-01      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                        | COMPANY GUAR 02/42 5.7        | CUSIP: 29379VAV5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38963.73     | 0.01%             | 2042-02-15      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                        | COMPANY GUAR 02/78 VAR        | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       40000 | PA      | $30560.49     | 0.01%             | 2078-02-15      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                        | COMPANY GUAR 10/28 4.15       | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      980000 | PA      | $929639.20    | 0.21%             | 2028-10-16      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                        | COMPANY GUAR 01/51 3.7        | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      260000 | PA      | $188877.19    | 0.04%             | 2051-01-31      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| EOG RESOURCES INC                               | SR UNSECURED 04/35 3.9        | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      200000 | PA      | $179184.45    | 0.04%             | 2035-04-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| EOG RESOURCES INC                               | SR UNSECURED 01/26 4.15       | CUSIP: 26875PAP6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68703.21     | 0.02%             | 2026-01-15      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| EOG RESOURCES INC                               | SR UNSECURED 04/50 4.95       | CUSIP: 26875PAT8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      190000 | PA      | $182199.59    | 0.04%             | 2050-04-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| EOG RESOURCES INC                               | SR UNSECURED 04/30 4.375      | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       60000 | PA      | $58249.00     | 0.01%             | 2030-04-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                        | SR UNSECURED 07/28 5.5        | CUSIP: 26885BAC4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8941.58      | 0.00%             | 2028-07-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| EQT CORP                                        | SR UNSECURED 10/27 3.9        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      280000 | PA      | $258562.51    | 0.06%             | 2027-10-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| EQT CORP                                        | SR UNSECURED 02/30 7          | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51856.00     | 0.01%             | 2030-02-01      | Fixed         | 7.00%                 | No            | 2                  | On Loan: —       |
| EQT CORP                                        | SR UNSECURED 02/25 6.125      | CUSIP: 26884LAH2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20047.00     | 0.00%             | 2025-02-01      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| EQUATE PETROCHEMICAL BV                         | COMPANY GUAR 144A 11/26 4.25  | CUSIP: 29441WAC9<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |      230000 | PA      | $219712.56    | 0.05%             | 2026-11-03      | Fixed         | 4.25%                 | Yes           | 2                  | On Loan: No      |
| EQUINIX INC                                     | SR UNSECURED 05/31 2.5        | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     1641000 | PA      | $1322901.06   | 0.30%             | 2031-05-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| EURO-BOBL FUTURE  MAR23                         | XEUR 20230308                 | CUSIP: ADI26YV87<br>LEI: N/A                  | N/A              | DIR              |  | DE        |           9 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EURO-BUND FUTURE  MAR23                         | XEUR 20230308                 | CUSIP: ADI26YV61<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          11 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EURO-BUXL 30Y BND MAR23                         | XEUR 20230308                 | CUSIP: ADI26YV46<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          -2 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EURO-OAT FUTURE   MAR23                         | XEUR 20230308                 | CUSIP: ADI26ZJL9<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          15 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EXELON CORP                                     | SR UNSECURED 06/35 5.625      | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40738.18     | 0.01%             | 2035-06-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| EXXON MOBIL CORPORATION                         | SR UNSECURED 03/26 3.043      | CUSIP: 30231GAT9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      130000 | PA      | $124134.93    | 0.03%             | 2026-03-01      | Fixed         | 3.04%                 | No            | 2                  | On Loan: No      |
| EXXON MOBIL CORPORATION                         | SR UNSECURED 03/46 4.114      | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      200000 | PA      | $170654.79    | 0.04%             | 2046-03-01      | Fixed         | 4.11%                 | No            | 2                  | On Loan: No      |
| EXXON MOBIL CORPORATION                         | SR UNSECURED 03/50 4.327      | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17643.48     | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            | 2                  | On Loan: No      |
| EXXON MOBIL CORPORATION                         | SR UNSECURED 03/25 2.992      | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      340000 | PA      | $327824.21    | 0.08%             | 2025-03-19      | Fixed         | 2.99%                 | No            | 2                  | On Loan: No      |
| EXXON MOBIL CORPORATION                         | SR UNSECURED 03/30 3.482      | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      190000 | PA      | $177479.42    | 0.04%             | 2030-03-19      | Fixed         | 3.48%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2012 28 B                 | CUSIP: 3136A35F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |        3894 | PA      | $3955.91      | 0.00%             | 2039-06-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2012 51 B                 | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       44900 | PA      | $47665.53     | 0.01%             | 2042-05-25      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2012 46 BA                | CUSIP: 3136A5J49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       52718 | PA      | $54212.43     | 0.01%             | 2042-05-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2012 35 SC                | CUSIP: 3136A5LM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       58254 | PA      | $6594.48      | 0.00%             | 2042-04-25      | Floating      | 2.11%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2020 47 GZ                | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      315368 | PA      | $182778.74    | 0.04%             | 2050-07-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2012 74 SA                | CUSIP: 3136A65Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       31764 | PA      | $2385.83      | 0.00%             | 2042-03-25      | Floating      | 2.26%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2012 134 SK               | CUSIP: 3136AARL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      121392 | PA      | $14294.05     | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2012 133 CS               | CUSIP: 3136AAXW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       64368 | PA      | $8570.85      | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2013 9 BC                 | CUSIP: 3136ABQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       62016 | PA      | $64975.21     | 0.01%             | 2042-07-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2020 56 DI                | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      398543 | PA      | $62818.96     | 0.01%             | 2050-08-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2013 9 CB                 | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      212241 | PA      | $216906.26    | 0.05%             | 2042-04-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2005 88 IP                | CUSIP: 31394UEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       20609 | PA      | $1343.44      | 0.00%             | 2035-10-25      | Floating      | 0.03%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2020 74 EI                | CUSIP: 3136BCAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      157262 | PA      | $23778.07     | 0.01%             | 2050-10-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2013 54 BS                | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      154589 | PA      | $16794.55     | 0.00%             | 2043-06-25      | Floating      | 1.76%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2006 28 IP                | CUSIP: 31395BT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       25204 | PA      | $1322.53      | 0.00%             | 2036-03-25      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2011 87 SG                | CUSIP: 3136A03E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       49970 | PA      | $904.58       | 0.00%             | 2040-04-25      | Floating      | 2.16%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2006 59 IP                | CUSIP: 31395NQ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       55766 | PA      | $792.55       | 0.00%             | 2036-07-25      | Floating      | 0.15%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2014 6 Z                  | CUSIP: 3136AH6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      249885 | PA      | $208583.91    | 0.05%             | 2044-02-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2011 96 SA                | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      127077 | PA      | $10200.01     | 0.00%             | 2041-10-25      | Floating      | 2.16%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2020 89 DI                | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     1094838 | PA      | $161175.31    | 0.04%             | 2050-12-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2006 118 IP1              | CUSIP: 31396L4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       46941 | PA      | $3025.91      | 0.00%             | 2036-12-25      | Floating      | 4.08%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2013 124 SB               | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      206852 | PA      | $19888.14     | 0.00%             | 2043-12-25      | Floating      | 1.56%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2006 118 IP2              | CUSIP: 31396L4U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       38002 | PA      | $2338.75      | 0.00%             | 2036-12-25      | Floating      | 3.64%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2016 61 BS                | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       74142 | PA      | $5280.85      | 0.00%             | 2046-09-25      | Floating      | 1.71%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2020 97 AI                | CUSIP: 3136BDEF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      180604 | PA      | $23236.70     | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2011 59 NZ                | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      255674 | PA      | $263630.65    | 0.06%             | 2041-07-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2017 76 SB                | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      438083 | PA      | $45471.44     | 0.01%             | 2057-10-25      | Floating      | 1.71%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2021 3 QI                 | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      740122 | PA      | $111523.26    | 0.03%             | 2051-02-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE                                      | FNR 2017 85 SC                | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      125526 | PA      | $10550.64     | 0.00%             | 2047-11-25      | Floating      | 1.81%                 | No            | 2                  | On Loan: No      |
| FANNIE MAE   CAS                                | CAS 2019 R02 1M2 144A         | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |       55915 | PA      | $55930.06     | 0.01%             | 2031-08-25      | Floating      | 6.69%                 | Yes           | 2                  | On Loan: No      |
| FANNIE MAE   CAS                                | CAS 2019 R07 1M2 144A         | CUSIP: 20753WAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       45686 | PA      | $45673.37     | 0.01%             | 2039-10-25      | Floating      | 6.49%                 | Yes           | 2                  | On Loan: No      |
| FANNIE MAE   CAS                                | CAS 2022 R04 1M2 144A         | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |      680000 | PA      | $677461.56    | 0.16%             | 2042-03-25      | Floating      | 7.03%                 | Yes           | 2                  | On Loan: No      |
| FANNIE MAE   CAS                                | CAS 2018 C05 1B1              | CUSIP: 30711XY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      370000 | PA      | $380877.93    | 0.09%             | 2031-01-25      | Floating      | 8.64%                 | Yes           | 2                  | On Loan: No      |
| FANNIEMAE ACES                                  | FNA 2019 M19 A2               | CUSIP: 3136B57A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      434068 | PA      | $389558.72    | 0.09%             | 2029-09-25      | Fixed         | 2.56%                 | No            | 2                  | On Loan: No      |
| FANNIEMAE ACES                                  | FNA 2020 M36 X1               | CUSIP: 3136BBBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     1199029 | PA      | $98494.08     | 0.02%             | 2034-09-25      | Floating      | 1.50%                 | No            | 2                  | On Loan: No      |
| FANNIEMAE GRANTOR TRUST                         | FNGT 2017 T1 A                | CUSIP: 3136AV6R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       99394 | PA      | $93130.90     | 0.02%             | 2027-06-25      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| FANNIEMAE STRIP                                 | FNS 409 C2                    | CUSIP: 3136FLEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38358 | PA      | $1513.78      | 0.00%             | 2027-04-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FANNIEMAE STRIP                                 | FNS 409 C13                   | CUSIP: 3136FLFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50676 | PA      | $7501.49      | 0.00%             | 2041-11-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FANNIEMAE STRIP                                 | FNS 409 C18                   | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58628 | PA      | $10122.19     | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FANNIEMAE STRIP                                 | FNS 409 C22                   | CUSIP: 3136FLFR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38783 | PA      | $6774.18      | 0.00%             | 2039-11-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL 840698                        | FH 03/47 FLOATING VAR         | CUSIP: 31347AX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19235 | PA      | $17888.45     | 0.00%             | 2047-03-01      | Variable      | 2.10%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL 841076                        | FH 11/48 FLOATING VAR         | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      466069 | PA      | $442668.85    | 0.10%             | 2048-11-01      | Variable      | 3.01%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL 841077                        | FH 11/47 FLOATING VAR         | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      121246 | PA      | $115389.42    | 0.03%             | 2047-11-01      | Variable      | 2.88%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL 841081                        | FH 02/50 FLOATING VAR         | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      197997 | PA      | $189054.46    | 0.04%             | 2050-02-01      | Variable      | 3.09%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL C09071                        | FG 02/45 FIXED 4              | CUSIP: 31292SCG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      131045 | PA      | $126656.46    | 0.03%             | 2045-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL G06669                        | FG 09/39 FIXED 6.5            | CUSIP: 3128M8W67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8733 | PA      | $9285.30      | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL G06875                        | FG 12/38 FIXED 5.5            | CUSIP: 3128M86L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4444 | PA      | $4583.27      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL G07335                        | FG 03/39 FIXED 7              | CUSIP: 3128M9PU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18399 | PA      | $20133.86     | 0.00%             | 2039-03-01      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL G07509                        | FG 09/39 FIXED 6.5            | CUSIP: 3128M9VA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8054 | PA      | $8613.92      | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL G60985                        | FG 05/47 FIXED 3              | CUSIP: 31335BCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1164559 | PA      | $1052918.54   | 0.24%             | 2047-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL G67701                        | FG 10/46 FIXED 3              | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      586371 | PA      | $530708.12    | 0.12%             | 2046-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL G67713                        | FG 06/48 FIXED 4              | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      484662 | PA      | $467218.37    | 0.11%             | 2048-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL Q19135                        | FG 06/43 FIXED 4              | CUSIP: 3132JASZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23613 | PA      | $23006.99     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL Q19236                        | FG 06/43 FIXED 4              | CUSIP: 3132JAV69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15369 | PA      | $14926.62     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL Q19615                        | FG 07/43 FIXED 4              | CUSIP: 3132JBDV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23166 | PA      | $22571.59     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL Q19985                        | FG 07/43 FIXED 4              | CUSIP: 3132JBRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      677718 | PA      | $660315.45    | 0.15%             | 2043-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL Q41209                        | FG 06/46 FIXED 3.5            | CUSIP: 3132WEKX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123002 | PA      | $114976.78    | 0.03%             | 2046-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL Q49177                        | FG 06/47 FIXED 4.5            | CUSIP: 3132WPFT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48082 | PA      | $47556.72     | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QB5092                        | FR 11/50 FIXED 2.5            | CUSIP: 3133ABUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      160853 | PA      | $139101.39    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QB5093                        | FR 11/50 FIXED 2.5            | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       78319 | PA      | $67581.43     | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QB8602                        | FR 02/51 FIXED 2              | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       78872 | PA      | $65377.71     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QB9087                        | FR 02/51 FIXED 2              | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      394664 | PA      | $326894.22    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QB9290                        | FR 03/51 FIXED 2              | CUSIP: 3133AGKB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      258664 | PA      | $214166.59    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QB9482                        | FR 03/51 FIXED 2              | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       78179 | PA      | $64558.89     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QC0041                        | FR 03/51 FIXED 2              | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       78071 | PA      | $64470.23     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QC0160                        | FR 03/51 FIXED 2              | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       75367 | PA      | $62401.77     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QC0161                        | FR 03/51 FIXED 2              | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       82337 | PA      | $67992.48     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QC0165                        | FR 03/51 FIXED 2.5            | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       79735 | PA      | $68965.68     | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QC0885                        | FR 04/51 FIXED 2              | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       86350 | PA      | $71495.74     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QC1164                        | FR 04/51 FIXED 2              | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       78792 | PA      | $65187.95     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QC5830                        | FR 08/51 FIXED 2.5            | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      180472 | PA      | $155532.07    | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QC6551                        | FR 09/51 FIXED 2.5            | CUSIP: 3133ARH40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       87237 | PA      | $75127.32     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QC7411                        | FR 09/51 FIXED 2.5            | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       91464 | PA      | $78652.97     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QC9154                        | FR 10/51 FIXED 3              | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       94540 | PA      | $84141.03     | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QD2129                        | FR 11/51 FIXED 2              | CUSIP: 3133AYLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     1035667 | PA      | $849088.68    | 0.20%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QD6079                        | FR 02/52 FIXED 2.5            | CUSIP: 3133B3XG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       94099 | PA      | $80947.80     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL QD8675                        | FR 03/52 FIXED 2.5            | CUSIP: 3133B6T83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       94496 | PA      | $81186.00     | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL RA3882                        | FR 11/50 FIXED 2              | CUSIP: 3133KKJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      329746 | PA      | $271680.58    | 0.06%             | 2050-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL RA3913                        | FR 11/50 FIXED 2.5            | CUSIP: 3133KKK24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      460032 | PA      | $397824.36    | 0.09%             | 2050-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL RA4142                        | FR 12/50 FIXED 2.5            | CUSIP: 3133KKS75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       77106 | PA      | $66679.13     | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL RA6562                        | FR 01/52 FIXED 2.5            | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      181136 | PA      | $156273.70    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL RB5125                        | FR 09/41 FIXED 2              | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      891270 | PA      | $754100.69    | 0.17%             | 2041-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL RB5145                        | FR 02/42 FIXED 2              | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       94106 | PA      | $79475.87     | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD0573                        | FR 04/51 FIXED 2              | CUSIP: 3132DMT62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      151957 | PA      | $125815.78    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD0745                        | FR 11/51 FIXED 2              | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       91415 | PA      | $75431.62     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD0777                        | FR 11/51 FIXED 2.5            | CUSIP: 3132DM2J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       91960 | PA      | $78561.87     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD0849                        | FR 01/52 FIXED 2.5            | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       94000 | PA      | $80863.33     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD1143                        | FR 09/50 FIXED 4.5            | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       90330 | PA      | $88558.28     | 0.02%             | 2050-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD1305                        | FR 07/52 FIXED 5              | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      438978 | PA      | $436522.25    | 0.10%             | 2052-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD1749                        | FR 04/52 FIXED 2.5            | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      297102 | PA      | $254094.55    | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD1751                        | FR 10/51 FIXED 2.5            | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      195455 | PA      | $168261.42    | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD7509                        | FR 11/49 FIXED 3              | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       49590 | PA      | $44499.01     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD7525                        | FR 10/50 FIXED 2.5            | CUSIP: 3132DVLE3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |      149498 | PA      | $129329.36    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD7548                        | FR 11/51 FIXED 2.5            | CUSIP: 3132DVL52<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |      917484 | PA      | $791554.67    | 0.18%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD7552                        | FR 01/52 FIXED 2.5            | CUSIP: 3132DVL94<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |      281309 | PA      | $241730.92    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD8146                        | FR 05/51 FIXED 2              | CUSIP: 3132DWBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      952703 | PA      | $783452.16    | 0.18%             | 2051-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD8172                        | FR 10/51 FIXED 2              | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      277264 | PA      | $227574.18    | 0.05%             | 2051-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD8245                        | FR 09/52 FIXED 4.5            | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     2900858 | PA      | $2801566.95   | 0.64%             | 2052-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD8257                        | FR 10/52 FIXED 4.5            | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     2051199 | PA      | $1980348.84   | 0.46%             | 2052-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL SD8268                        | FR 11/52 FIXED 5.5            | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     6900065 | PA      | $6928230.29   | 1.59%             | 2052-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL U92272                        | FG 12/43 FIXED 4.5            | CUSIP: 3132HCMV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2641 | PA      | $2603.21      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL ZS8669                        | FR 09/32 FIXED 3              | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       65701 | PA      | $62492.58     | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL ZS8673                        | FR 10/32 FIXED 3              | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       45907 | PA      | $43664.71     | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL ZS9316                        | FR 01/38 FIXED 3.5            | CUSIP: 3132AAK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      271569 | PA      | $258451.36    | 0.06%             | 2038-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FED HM LN PC POOL ZT1257                        | FR 01/46 FIXED 3              | CUSIP: 3132ADME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      148414 | PA      | $135265.71    | 0.03%             | 2046-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FED HOME LN DISCOUNT NT                         | DISCOUNT NOT 02/23 0.00000    | CUSIP: 313384BX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     1270000 | PA      | $1263311.53   | 0.29%             | 2023-02-15      | None          | 0.01%                 | No            | 2                  | On Loan: No      |
| FED HOME LN DISCOUNT NT                         | DISCOUNT NOT 02/23 0.00000    | CUSIP: 313384CE7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     3620000 | PA      | $3597416.23   | 0.83%             | 2023-02-22      | None          | 0.01%                 | No            | 2                  | On Loan: No      |
| FED HOME LN DISCOUNT NT                         | DISCOUNT NOT 02/23 0.00000    | CUSIP: 313384CL1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     1580000 | PA      | $1569171.87   | 0.36%             | 2023-02-28      | None          | 0.01%                 | No            | 2                  | On Loan: No      |
| FED HOME LN DISCOUNT NT                         | DISCOUNT NOT 03/23 0.00000    | CUSIP: 313384CU1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     2420000 | PA      | $2401000.34   | 0.55%             | 2023-03-08      | None          | 0.01%                 | No            | 2                  | On Loan: No      |
| FED HOME LN DISCOUNT NT                         | DISCOUNT NOT 01/23 0.00000    | CUSIP: 313384AL3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |      340000 | PA      | $339670.14    | 0.08%             | 2023-01-11      | None          | 0.01%                 | No            | 2                  | On Loan: No      |
| FED REPUBLIC OF BRAZIL                          | SR UNSECURED 01/41 5.625      | CUSIP: 105756BR0<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      730000 | PA      | $617216.76    | 0.14%             | 2041-01-07      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| FED REPUBLIC OF BRAZIL                          | SR UNSECURED 01/45 5          | CUSIP: 105756BW9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      810000 | PA      | $600062.40    | 0.14%             | 2045-01-27      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED P                  | FHMS K743 X1                  | CUSIP: 3137H14D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     3997845 | PA      | $162943.35    | 0.04%             | 2028-05-25      | Floating      | 0.93%                 | No            | 2                  | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED P                  | FHMS K741 X1                  | CUSIP: 3137FF3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     2994882 | PA      | $68345.61     | 0.02%             | 2027-12-25      | Floating      | 0.57%                 | No            | 2                  | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED P                  | FHMS K094 X1                  | CUSIP: 3137FMU26<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |      994527 | PA      | $44741.96     | 0.01%             | 2029-06-25      | Floating      | 0.88%                 | No            | 2                  | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED P                  | FHMS K736 X1                  | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     2040961 | PA      | $75200.45     | 0.02%             | 2026-07-25      | Floating      | 1.29%                 | No            | 2                  | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED P                  | FHMS KC05 X1                  | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     1525784 | PA      | $49356.37     | 0.01%             | 2027-06-25      | Floating      | 1.21%                 | No            | 2                  | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED P                  | FHMS K110 X1                  | CUSIP: 3137FTZS9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     1295145 | PA      | $119799.52    | 0.03%             | 2030-04-25      | Floating      | 1.70%                 | No            | 2                  | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET                   | FFML 2006 FF15 A2             | CUSIP: 32028GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      282843 | PA      | $258275.62    | 0.06%             | 2036-11-25      | Floating      | 4.51%                 | No            | 2                  | On Loan: No      |
| FIRST QUANTUM MINERALS L                        | COMPANY GUAR 144A 10/27 6.875 | CUSIP: 335934AT2<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |      230000 | PA      | $215791.35    | 0.05%             | 2027-10-15      | Fixed         | 6.88%                 | Yes           | 2                  | On Loan: —       |
| FLAGSTAR MORTGAGE TRUST                         | FSMT 2018 2 A4 144A           | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       17543 | PA      | $17155.57     | 0.00%             | 2048-04-25      | Floating      | 3.50%                 | Yes           | 2                  | On Loan: No      |
| FNMA POOL 310088                                | FN 06/38 FIXED VAR            | CUSIP: 31374CND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19889 | PA      | $20097.33     | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL 481473                                | FN 02/29 FIXED 6              | CUSIP: 31382F2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          10 | PA      | $10.21        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL 867557                                | FN 02/36 FIXED 6              | CUSIP: 31409CZW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1434 | PA      | $1463.98      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL 890604                                | FN 10/44 FIXED VAR            | CUSIP: 31410LNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      192551 | PA      | $191360.98    | 0.04%             | 2044-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL 890827                                | FN 12/37 FIXED VAR            | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41766 | PA      | $39748.55     | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL 915154                                | FN 04/37 FIXED 5              | CUSIP: 31411UWP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29043 | PA      | $29375.36     | 0.01%             | 2037-04-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL 935520                                | FN 08/39 FIXED 4.5            | CUSIP: 31412UYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9677 | PA      | $9600.63      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL 974965                                | FN 04/38 FIXED 5              | CUSIP: 31414STW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73757 | PA      | $74597.22     | 0.02%             | 2038-04-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL 983077                                | FN 05/38 FIXED 5              | CUSIP: 31415LCN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21345 | PA      | $21582.44     | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL 993117                                | FN 01/39 FIXED 4.5            | CUSIP: 31415YG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1019 | PA      | $1009.15      | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL 995072                                | FN 08/38 FIXED VAR            | CUSIP: 31416BMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10620 | PA      | $10986.10     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AA0856                                | FN 01/39 FIXED 4.5            | CUSIP: 31416H5S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6425 | PA      | $6376.44      | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AA3495                                | FN 02/39 FIXED 4.5            | CUSIP: 31416L3D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5258 | PA      | $5213.83      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AB9683                                | FN 06/43 FIXED 4              | CUSIP: 31417GXM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34362 | PA      | $33277.28     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AD5481                                | FN 05/40 FIXED 4.5            | CUSIP: 31418TCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      251531 | PA      | $249685.91    | 0.06%             | 2040-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AD6914                                | FN 06/40 FIXED 4.5            | CUSIP: 31418UVG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28378 | PA      | $28167.24     | 0.01%             | 2040-06-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AD8685                                | FN 08/40 FIXED 4.5            | CUSIP: 31418WUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83182 | PA      | $82486.94     | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AE0469                                | FN 12/39 FIXED VAR            | CUSIP: 31419AQX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82886 | PA      | $86857.81     | 0.02%             | 2039-12-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AE0758                                | FN 02/39 FIXED VAR            | CUSIP: 31419AZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29355 | PA      | $32011.34     | 0.01%             | 2039-02-01      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AE2266                                | FN 03/40 FIXED 5              | CUSIP: 31419CQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51042 | PA      | $51660.91     | 0.01%             | 2040-03-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AK8441                                | FN 04/42 FIXED 4              | CUSIP: 3138EDLX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13474 | PA      | $13055.50     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AL3026                                | FN 12/42 FIXED VAR            | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32967 | PA      | $30886.67     | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AL3508                                | FN 04/43 FIXED VAR            | CUSIP: 3138EK3S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24694 | PA      | $24038.34     | 0.01%             | 2043-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AL4324                                | FN 05/40 FIXED VAR            | CUSIP: 3138ELYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53289 | PA      | $56965.89     | 0.01%             | 2040-05-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AL4341                                | FN 10/43 FIXED VAR            | CUSIP: 3138ELZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2828 | PA      | $2807.22      | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AL4741                                | FN 01/44 FIXED VAR            | CUSIP: 3138EMHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18521 | PA      | $18256.38     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AL5562                                | FN 04/44 FIXED VAR            | CUSIP: 3138ENFC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8253 | PA      | $8191.19      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AL9397                                | FN 10/46 FIXED VAR            | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69476 | PA      | $62626.18     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AL9546                                | FN 11/46 FIXED VAR            | CUSIP: 3138ERTC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      172141 | PA      | $161298.06    | 0.04%             | 2046-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AM8674                                | FN 04/25 FIXED 2.81           | CUSIP: 3138L9T85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50000 | PA      | $47814.54     | 0.01%             | 2025-04-01      | Fixed         | 2.81%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AN8048                                | FN 01/28 FIXED 3.08           | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210000 | PA      | $195513.30    | 0.05%             | 2028-01-01      | Fixed         | 3.08%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AO2711                                | FN 05/42 FIXED 4              | CUSIP: 3138LTAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10118 | PA      | $9798.83      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AO6086                                | FN 06/42 FIXED 4              | CUSIP: 3138LWXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21191 | PA      | $20521.45     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AP0692                                | FN 07/42 FIXED 4              | CUSIP: 3138M3XW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14673 | PA      | $14221.54     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AP2530                                | FN 08/42 FIXED 4              | CUSIP: 3138M5Y45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15500 | PA      | $15014.32     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AP4903                                | FN 09/42 FIXED 4              | CUSIP: 3138M8NV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24855 | PA      | $24083.40     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AP5333                                | FN 07/42 FIXED 4              | CUSIP: 3138M84T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      145615 | PA      | $140974.85    | 0.03%             | 2042-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AP7399                                | FN 09/42 FIXED 4              | CUSIP: 3138MBGH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38903 | PA      | $37676.81     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AP9229                                | FN 10/42 FIXED 4              | CUSIP: 3138MDHF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8461 | PA      | $8191.10      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AP9766                                | FN 10/42 FIXED 4              | CUSIP: 3138MDZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61801 | PA      | $59441.02     | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AQ3599                                | FN 11/42 FIXED 4              | CUSIP: 3138MJ7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16324 | PA      | $15805.61     | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AQ4078                                | FN 06/43 FIXED 4              | CUSIP: 3138MKQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22727 | PA      | $22123.18     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AQ4080                                | FN 06/43 FIXED 4              | CUSIP: 3138MKRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16306 | PA      | $15821.38     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AQ4555                                | FN 12/42 FIXED 4              | CUSIP: 3138MLBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28228 | PA      | $27332.25     | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AQ7003                                | FN 12/42 FIXED 4              | CUSIP: 3138MNX96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30640 | PA      | $29643.61     | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AQ7082                                | FN 01/43 FIXED 4              | CUSIP: 3138MN2Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37171 | PA      | $35962.36     | 0.01%             | 2043-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AQ7306                                | FN 01/43 FIXED 3              | CUSIP: 3138MPDL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24862 | PA      | $22208.89     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AR1202                                | FN 01/43 FIXED 3              | CUSIP: 3138NXKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33696 | PA      | $30099.72     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AR7399                                | FN 06/43 FIXED 3              | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19252 | PA      | $17498.76     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AS0038                                | FN 07/43 FIXED 3              | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42517 | PA      | $38644.30     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AS0070                                | FN 08/43 FIXED 4              | CUSIP: 3138W9CG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23519 | PA      | $22578.53     | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AS4271                                | FN 01/45 FIXED 4.5            | CUSIP: 3138WDW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23607 | PA      | $23557.20     | 0.01%             | 2045-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AS4347                                | FN 01/45 FIXED 4              | CUSIP: 3138WDZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40143 | PA      | $38925.79     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AS6328                                | FN 12/45 FIXED 3.5            | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      325728 | PA      | $301505.46    | 0.07%             | 2045-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AS6541                                | FN 01/46 FIXED 3.5            | CUSIP: 3138WGHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90042 | PA      | $84285.48     | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AS7844                                | FN 09/46 FIXED 3              | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60500 | PA      | $54591.89     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AS8740                                | FN 02/37 FIXED 3.5            | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66759 | PA      | $63638.43     | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AT8394                                | FN 06/43 FIXED 4              | CUSIP: 3138WWKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25023 | PA      | $24358.11     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AT9637                                | FN 07/43 FIXED 4              | CUSIP: 3138WXV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69477 | PA      | $67413.63     | 0.02%             | 2043-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AT9653                                | FN 07/43 FIXED 4              | CUSIP: 3138WXWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53376 | PA      | $51957.75     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AT9657                                | FN 07/43 FIXED 4              | CUSIP: 3138WXWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44105 | PA      | $42712.38     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AU6735                                | FN 10/43 FIXED 3              | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27077 | PA      | $24610.72     | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AW0318                                | FN 02/44 FIXED 4.5            | CUSIP: 3138XPK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46176 | PA      | $45832.96     | 0.01%             | 2044-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL AY6181                                | FN 04/45 FIXED 3.5            | CUSIP: 3138YK2P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84630 | PA      | $79246.24     | 0.02%             | 2045-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BC1509                                | FN 08/46 FIXED 3              | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34748 | PA      | $31354.42     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BC2817                                | FN 09/46 FIXED 3              | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45657 | PA      | $41198.64     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BD8104                                | FN 10/46 FIXED 3              | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      167688 | PA      | $151470.05    | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BF0104                                | FN 02/56 FIXED 4              | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79741 | PA      | $76177.00     | 0.02%             | 2056-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BF0141                                | FN 09/56 FIXED 5.5            | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      397753 | PA      | $410936.37    | 0.09%             | 2056-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BF0148                                | FN 04/56 FIXED 4.5            | CUSIP: 3140FXEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      352892 | PA      | $347228.80    | 0.08%             | 2056-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BF0183                                | FN 01/57 FIXED 4              | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44265 | PA      | $42286.44     | 0.01%             | 2057-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BF0191                                | FN 06/57 FIXED 4              | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77664 | PA      | $74144.72     | 0.02%             | 2057-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BF0222                                | FN 09/57 FIXED 4.5            | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      386706 | PA      | $378757.02    | 0.09%             | 2057-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BF0301                                | FN 08/58 FIXED 4.5            | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39699 | PA      | $38696.36     | 0.01%             | 2058-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BF0338                                | FN 01/59 FIXED 4.5            | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94147 | PA      | $91770.13     | 0.02%             | 2059-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BF0560                                | FN 09/61 FIXED 2.5            | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94372 | PA      | $79177.41     | 0.02%             | 2061-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BK2620                                | FN 06/50 FIXED 2.5            | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66963 | PA      | $57719.84     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BL2454                                | FN 05/29 FIXED 3.16           | CUSIP: 3140HTWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85703 | PA      | $79381.68     | 0.02%             | 2029-05-01      | Fixed         | 3.16%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BM1565                                | FN 04/47 FIXED VAR            | CUSIP: 3140J5W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      650399 | PA      | $587495.66    | 0.14%             | 2047-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BM1948                                | FN 07/41 FIXED VAR            | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95006 | PA      | $99296.69     | 0.02%             | 2041-07-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BM6623                                | FN 10/50 FIXED VAR            | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93303 | PA      | $77551.46     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BQ0254                                | FN 08/50 FIXED 2              | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71500 | PA      | $59356.22     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BQ1528                                | FN 09/50 FIXED 2              | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69846 | PA      | $57983.06     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BQ5876                                | FN 11/50 FIXED 2.5            | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82988 | PA      | $71610.05     | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BQ9453                                | FN 03/51 FIXED 2              | CUSIP: 3140KVQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      172354 | PA      | $142704.70    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR2641                                | FN 02/51 FIXED 2              | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79635 | PA      | $65960.75     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR2643                                | FN 02/51 FIXED 2              | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74880 | PA      | $61998.42     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR2644                                | FN 02/51 FIXED 2              | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75077 | PA      | $61997.04     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR2664                                | FN 02/51 FIXED 2              | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      301056 | PA      | $249360.16    | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR3256                                | FN 02/51 FIXED 2              | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76287 | PA      | $63259.21     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR3257                                | FN 02/51 FIXED 2              | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79493 | PA      | $65892.73     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR3286                                | FN 03/51 FIXED 2              | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78878 | PA      | $65333.42     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR3500                                | FN 02/51 FIXED 2              | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62251 | PA      | $51269.48     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR4722                                | FN 03/51 FIXED 2              | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76798 | PA      | $63418.28     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR4753                                | FN 03/51 FIXED 2              | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83941 | PA      | $69526.69     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR4756                                | FN 03/51 FIXED 2              | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75278 | PA      | $62163.46     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR5487                                | FN 03/51 FIXED 2              | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84345 | PA      | $69651.03     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR5577                                | FN 03/51 FIXED 2              | CUSIP: 3140L4FT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85319 | PA      | $70454.79     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR5587                                | FN 03/51 FIXED 2              | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84330 | PA      | $69822.61     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR5633                                | FN 03/51 FIXED 2              | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86063 | PA      | $71069.54     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR5649                                | FN 03/51 FIXED 2              | CUSIP: 3140L4H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87938 | PA      | $72617.53     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR7744                                | FN 04/51 FIXED 2              | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81732 | PA      | $67646.49     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR7745                                | FN 04/51 FIXED 2              | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77842 | PA      | $64402.68     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR8478                                | FN 04/51 FIXED 2              | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82960 | PA      | $68662.23     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BR8518                                | FN 04/51 FIXED 2              | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78168 | PA      | $64672.27     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BS6124                                | FN 07/32 FIXED 4.06           | CUSIP: 3140LGYW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $95148.08     | 0.02%             | 2032-07-01      | Fixed         | 4.06%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BS6131                                | FN 07/32 FIXED 3.89           | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300000 | PA      | $283546.44    | 0.07%             | 2032-07-01      | Fixed         | 3.89%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BS6149                                | FN 08/32 FIXED 3.84           | CUSIP: 3140LGZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $93854.47     | 0.02%             | 2032-08-01      | Fixed         | 3.84%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BS6215                                | FN 07/32 FIXED 3.84           | CUSIP: 3140LG3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $93972.61     | 0.02%             | 2032-07-01      | Fixed         | 3.84%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BS6565                                | FN 09/32 FIXED 3.74           | CUSIP: 3140LHJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $95168.20     | 0.02%             | 2032-09-01      | Fixed         | 3.74%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BS6949                                | FN 10/32 FIXED 3.98           | CUSIP: 3140LHWK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200000 | PA      | $188304.38    | 0.04%             | 2032-10-01      | Fixed         | 3.98%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BT3303                                | FN 08/51 FIXED 2.5            | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89261 | PA      | $76925.70     | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BU2599                                | FN 01/52 FIXED 2.5            | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92743 | PA      | $79781.34     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BV3089                                | FN 02/52 FIXED 2.5            | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94213 | PA      | $80943.18     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BV5395                                | FN 04/52 FIXED 3.5            | CUSIP: 3140MJ7H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93687 | PA      | $86402.14     | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL BV8546                                | FN 05/52 FIXED 3.5            | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95469 | PA      | $87866.72     | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CA2047                                | FN 07/48 FIXED 4.5            | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170264 | PA      | $168201.02    | 0.04%             | 2048-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CA5379                                | FN 03/50 FIXED 4.5            | CUSIP: 3140QC6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      178160 | PA      | $175291.35    | 0.04%             | 2050-03-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CA7257                                | FN 10/50 FIXED 2.5            | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79566 | PA      | $68657.32     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CA9358                                | FN 03/41 FIXED 2.5            | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83622 | PA      | $73817.07     | 0.02%             | 2041-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CB0100                                | FN 04/41 FIXED 2.5            | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170361 | PA      | $150491.96    | 0.03%             | 2041-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CB0458                                | FN 05/51 FIXED 2.5            | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      929577 | PA      | $794434.50    | 0.18%             | 2051-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CB1878                                | FN 10/51 FIXED 3              | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      179929 | PA      | $158675.25    | 0.04%             | 2051-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CB2680                                | FN 01/52 FIXED 3.5            | CUSIP: 3140QM6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92902 | PA      | $85272.19     | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CB3031                                | FN 03/52 FIXED 2.5            | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      186851 | PA      | $159015.28    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CB3044                                | FN 03/52 FIXED 2.5            | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97297 | PA      | $83410.30     | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL CB3833                                | FN 06/52 FIXED 3              | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96779 | PA      | $85490.87     | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM0068                                | FN 02/40 FIXED VAR            | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      211553 | PA      | $200012.51    | 0.05%             | 2040-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM0071                                | FN 02/40 FIXED VAR            | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43820 | PA      | $41429.66     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM3123                                | FN 03/38 FIXED VAR            | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      415015 | PA      | $379969.81    | 0.09%             | 2038-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM3347                                | FN 05/47 FIXED VAR            | CUSIP: 3140X6WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      190350 | PA      | $177645.56    | 0.04%             | 2047-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM3469                                | FN 08/48 FIXED VAR            | CUSIP: 3140X62B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      366181 | PA      | $342200.00    | 0.08%             | 2048-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM3773                                | FN 11/48 FIXED VAR            | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      384792 | PA      | $359110.45    | 0.08%             | 2048-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM4311                                | FN 08/50 FIXED VAR            | CUSIP: 3140X7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75552 | PA      | $67253.52     | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM4577                                | FN 10/50 FIXED VAR            | CUSIP: 3140X8CP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      210028 | PA      | $180577.16    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM5313                                | FN 10/50 FIXED VAR            | CUSIP: 3140X83X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85371 | PA      | $73239.46     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM5754                                | FN 03/37 FIXED VAR            | CUSIP: 3140X9MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52204 | PA      | $49976.24     | 0.01%             | 2037-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM6015                                | FN 08/39 FIXED VAR            | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54209 | PA      | $51674.96     | 0.01%             | 2039-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM6343                                | FN 03/51 FIXED VAR            | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86237 | PA      | $71213.36     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM6418                                | FN 03/51 FIXED VAR            | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84046 | PA      | $69640.30     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM6460                                | FN 03/51 FIXED VAR            | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      162742 | PA      | $140506.93    | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM7675                                | FN 06/51 FIXED VAR            | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      226556 | PA      | $195459.88    | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM7676                                | FN 06/51 FIXED VAR            | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87964 | PA      | $75725.71     | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM7900                                | FN 07/51 FIXED VAR            | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170402 | PA      | $146694.22    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM8576                                | FN 02/50 FIXED VAR            | CUSIP: 3140XCQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78824 | PA      | $71027.85     | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM8577                                | FN 08/51 FIXED VAR            | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      167494 | PA      | $150012.12    | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM8648                                | FN 09/51 FIXED VAR            | CUSIP: 3140XCTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83788 | PA      | $74335.84     | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM8864                                | FN 10/51 FIXED VAR            | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      175556 | PA      | $151185.87    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM9335                                | FN 10/51 FIXED VAR            | CUSIP: 3140XDLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90915 | PA      | $77527.15     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FM9489                                | FN 11/51 FIXED VAR            | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      185843 | PA      | $152363.21    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0024                                | FN 09/51 FIXED VAR            | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85448 | PA      | $73853.13     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0034                                | FN 12/51 FIXED VAR            | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91741 | PA      | $81993.82     | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0037                                | FN 08/51 FIXED VAR            | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80720 | PA      | $72383.82     | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0240                                | FN 01/52 FIXED VAR            | CUSIP: 3140XFHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91903 | PA      | $82224.65     | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0331                                | FN 01/52 FIXED VAR            | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93310 | PA      | $82542.90     | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0349                                | FN 01/52 FIXED VAR            | CUSIP: 3140XFL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188502 | PA      | $155013.78    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0366                                | FN 01/52 FIXED VAR            | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93839 | PA      | $81105.53     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0424                                | FN 01/52 FIXED VAR            | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93611 | PA      | $80425.64     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0434                                | FN 11/51 FIXED VAR            | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91046 | PA      | $78805.56     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0523                                | FN 02/52 FIXED VAR            | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94172 | PA      | $80731.49     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0549                                | FN 02/52 FIXED VAR            | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284074 | PA      | $242730.71    | 0.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS0551                                | FN 02/52 FIXED VAR            | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93853 | PA      | $80633.57     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1014                                | FN 02/52 FIXED VAR            | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95138 | PA      | $78326.04     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1015                                | FN 02/52 FIXED VAR            | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284950 | PA      | $234238.87    | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1074                                | FN 03/52 FIXED VAR            | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      469955 | PA      | $419546.62    | 0.10%             | 2052-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1092                                | FN 04/52 FIXED VAR            | CUSIP: 3140XGGA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284751 | PA      | $261059.44    | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1104                                | FN 11/51 FIXED VAR            | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90084 | PA      | $77775.57     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1112                                | FN 03/52 FIXED VAR            | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191438 | PA      | $158086.90    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1240                                | FN 12/51 FIXED VAR            | CUSIP: 3140XGLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90054 | PA      | $82679.65     | 0.02%             | 2051-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1289                                | FN 03/52 FIXED VAR            | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93508 | PA      | $83748.15     | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1454                                | FN 04/52 FIXED VAR            | CUSIP: 3140XGTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96912 | PA      | $88850.94     | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1462                                | FN 01/52 FIXED VAR            | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93114 | PA      | $86143.02     | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1555                                | FN 04/52 FIXED VAR            | CUSIP: 3140XGWR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96051 | PA      | $88191.99     | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS1556                                | FN 05/52 FIXED VAR            | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      384865 | PA      | $354939.42    | 0.08%             | 2052-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS2040                                | FN 02/52 FIXED VAR            | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      385978 | PA      | $316442.73    | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS2528                                | FN 01/51 FIXED VAR            | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97694 | PA      | $75650.07     | 0.02%             | 2051-01-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL FS3368                                | FN 03/52 FIXED VAR            | CUSIP: 3140XJW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      793966 | PA      | $679283.54    | 0.16%             | 2052-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA0706                                | FN 04/31 FIXED 4.5            | CUSIP: 31417YYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10253 | PA      | $10180.45     | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA0734                                | FN 05/31 FIXED 4.5            | CUSIP: 31417YY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35587 | PA      | $35289.60     | 0.01%             | 2031-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA0776                                | FN 06/31 FIXED 4.5            | CUSIP: 31417Y2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12200 | PA      | $12097.67     | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA0913                                | FN 11/31 FIXED 4.5            | CUSIP: 31418AAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9433 | PA      | $9353.99      | 0.00%             | 2031-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA0939                                | FN 12/31 FIXED 4.5            | CUSIP: 31418ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9208 | PA      | $9131.41      | 0.00%             | 2031-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA1177                                | FN 09/42 FIXED 3.5            | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17489 | PA      | $16417.40     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA1213                                | FN 10/42 FIXED 3.5            | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105633 | PA      | $99161.87     | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA1217                                | FN 10/42 FIXED 4              | CUSIP: 31418AK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77973 | PA      | $75044.20     | 0.02%             | 2042-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA1253                                | FN 11/42 FIXED 4              | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47694 | PA      | $45897.26     | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA1547                                | FN 08/43 FIXED 4              | CUSIP: 31418AWH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24445 | PA      | $23467.45     | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA1591                                | FN 09/43 FIXED 4.5            | CUSIP: 31418AXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45879 | PA      | $45222.69     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA1629                                | FN 10/43 FIXED 4.5            | CUSIP: 31418AY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41173 | PA      | $40583.57     | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA1664                                | FN 11/43 FIXED 4.5            | CUSIP: 31418AZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19433 | PA      | $19137.24     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA1711                                | FN 12/43 FIXED 4.5            | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43487 | PA      | $42823.99     | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA2110                                | FN 12/34 FIXED 3.5            | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59309 | PA      | $56777.71     | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA2138                                | FN 01/35 FIXED 3.5            | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30497 | PA      | $29195.76     | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA2320                                | FN 07/35 FIXED 3              | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39683 | PA      | $37246.50     | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA2523                                | FN 02/36 FIXED 3              | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      268887 | PA      | $252376.96    | 0.06%             | 2036-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA2579                                | FN 04/36 FIXED 3              | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194983 | PA      | $183010.44    | 0.04%             | 2036-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA2749                                | FN 09/36 FIXED 2.5            | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42572 | PA      | $38977.53     | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA2773                                | FN 10/36 FIXED 3              | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      898043 | PA      | $841497.43    | 0.19%             | 2036-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4120                                | FN 09/50 FIXED 2.5            | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58426 | PA      | $50123.48     | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4237                                | FN 01/51 FIXED 2              | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80859 | PA      | $66595.42     | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4280                                | FN 03/51 FIXED 1.5            | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      350622 | PA      | $271507.91    | 0.06%             | 2051-03-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4325                                | FN 05/51 FIXED 2              | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      699418 | PA      | $575164.41    | 0.13%             | 2051-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4465                                | FN 11/51 FIXED 2              | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      186649 | PA      | $153023.36    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4501                                | FN 12/41 FIXED 2              | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92540 | PA      | $78298.11     | 0.02%             | 2041-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4626                                | FN 06/52 FIXED 4              | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17419544 | PA      | $16390582.20  | 3.77%             | 2052-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4733                                | FN 09/52 FIXED 4.5            | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4168233 | PA      | $4025561.22   | 0.93%             | 2052-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4785                                | FN 10/52 FIXED 5              | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1620626 | PA      | $1600417.39   | 0.37%             | 2052-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4806                                | FN 11/52 FIXED 5              | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8963362 | PA      | $8851593.23   | 2.04%             | 2052-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FNMA POOL MA4842                                | FN 12/52 FIXED 5.5            | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      547293 | PA      | $549527.15    | 0.13%             | 2052-12-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 2                                | SINGLE FAMILY MORTGAGE        | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $817812.50    | 0.19%             | 2053-01-12      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 2                                | SINGLE FAMILY MORTGAGE        | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $81875.00     | 0.02%             | 2053-02-13      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 2.5                              | SINGLE FAMILY MORTGAGE        | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4400000 | PA      | $3738625.00   | 0.86%             | 2051-12-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 2.5                              | SINGLE FAMILY MORTGAGE        | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300000 | PA      | $255140.64    | 0.06%             | 2053-02-13      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 3                                | SINGLE FAMILY MORTGAGE        | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2700000 | PA      | $2377054.62   | 0.55%             | 2052-02-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 3                                | SINGLE FAMILY MORTGAGE        | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $881015.60    | 0.20%             | 2052-02-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 3.5                              | SINGLE FAMILY MORTGAGE        | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3000000 | PA      | $2733046.80   | 0.63%             | 2049-02-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 3.5                              | SINGLE FAMILY MORTGAGE        | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      600000 | PA      | $546890.64    | 0.13%             | 2053-02-13      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 4                                | SINGLE FAMILY MORTGAGE        | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1300000 | PA      | $1222609.44   | 0.28%             | 2053-02-13      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 4                                | SINGLE FAMILY MORTGAGE        | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      500000 | PA      | $470156.25    | 0.11%             | 2053-01-12      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 4.5                              | SINGLE FAMILY MORTGAGE        | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      800000 | PA      | $772124.96    | 0.18%             | 2053-01-12      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 4.5                              | SINGLE FAMILY MORTGAGE        | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1200000 | PA      | $1158187.44   | 0.27%             | 2053-02-13      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 5                                | SINGLE FAMILY MORTGAGE        | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      900000 | PA      | $888046.92    | 0.20%             | 2053-02-13      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| FNMA TBA 30 YR 5.5                              | SINGLE FAMILY MORTGAGE        | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300000 | PA      | $300972.66    | 0.07%             | 2053-02-13      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| FOCUS FINANCIAL PARTNERS, LLC                   | 2022 TERM LOAN B5             | CUSIP: 34416DAW8<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |      119700 | PA      | $118104.40    | 0.03%             | 2028-06-30      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| FORD MOTOR COMPANY                              | SR UNSECURED 01/43 4.75       | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       90000 | PA      | $64641.20     | 0.01%             | 2043-01-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| FORD MOTOR COMPANY                              | SR UNSECURED 08/32 6.1        | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       90000 | PA      | $83261.16     | 0.02%             | 2032-08-19      | Fixed         | 6.10%                 | No            | 2                  | On Loan: —       |
| FORD MOTOR CREDI                                | SR UNSECURED 06/31 3.625      | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      220000 | PA      | $172983.18    | 0.04%             | 2031-06-17      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | SR UNSECURED 06/25 5.125      | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $192202.28    | 0.04%             | 2025-06-16      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | SR UNSECURED 08/27 4.125      | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $179000.00    | 0.04%             | 2027-08-17      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | SR UNSECURED 11/30 4          | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $164168.00    | 0.04%             | 2030-11-13      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | SR UNSECURED 02/28 2.9        | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      390000 | PA      | $322108.44    | 0.07%             | 2028-02-16      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | SR UNSECURED 05/27 4.95       | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      250000 | PA      | $233225.00    | 0.05%             | 2027-05-28      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| FOX CORP                                        | SR UNSECURED 01/39 5.476      | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |       90000 | PA      | $82299.51     | 0.02%             | 2039-01-25      | Fixed         | 5.48%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 5040 IB                   | CUSIP: 3137F6P92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      149047 | PA      | $21000.39     | 0.00%             | 2050-11-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 5059 IB                   | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      700293 | PA      | $111569.33    | 0.03%             | 2051-01-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 5140 NI                   | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      275083 | PA      | $38417.54     | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 5224 HL                   | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      400000 | PA      | $360950.92    | 0.08%             | 2052-04-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 5069 MI                   | CUSIP: 3137F9CW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |       79780 | PA      | $11489.51     | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 4793 CB                   | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      195848 | PA      | $177239.50    | 0.04%             | 2048-05-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 4793 CD                   | CUSIP: 3137FEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      123944 | PA      | $112126.67    | 0.03%             | 2048-06-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 5085 NI                   | CUSIP: 3137FFZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      622802 | PA      | $74468.83     | 0.02%             | 2051-03-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 4813 CJ                   | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      101989 | PA      | $94693.86     | 0.02%             | 2048-08-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 3422 AI                   | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |        6976 | PA      | $48.94        | 0.00%             | 2038-01-15      | Floating      | 0.25%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 3621 SB                   | CUSIP: 31398W2M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |       20244 | PA      | $1953.01      | 0.00%             | 2040-01-15      | Floating      | 1.91%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 5010 IK                   | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      208757 | PA      | $30225.33     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 5010 JI                   | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      494025 | PA      | $77882.17     | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 5013 IN                   | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      253386 | PA      | $40310.03     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 5018 MI                   | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      347549 | PA      | $45550.92     | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 3973 SA                   | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      128170 | PA      | $14301.99     | 0.00%             | 2041-12-15      | Floating      | 2.17%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 4203 PS                   | CUSIP: 3137B2DY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |       83883 | PA      | $6265.14      | 0.00%             | 2042-09-15      | Floating      | 1.93%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC                                     | FHR 4391 MZ                   | CUSIP: 3137BDMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      256085 | PA      | $219796.76    | 0.05%             | 2044-09-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC   STACR                             | STACR 2017 DNA1 B1            | CUSIP: 3137G0MX4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     1450000 | PA      | $1526280.01   | 0.35%             | 2029-07-25      | Floating      | 9.34%                 | No            | 2                  | On Loan: No      |
| FREDDIE MAC   STACR                             | STACR 2020 DNA1 B1 144A       | CUSIP: 35565HBD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      380000 | PA      | $358386.02    | 0.08%             | 2050-01-25      | Floating      | 6.69%                 | Yes           | 2                  | On Loan: No      |
| FREDDIE MAC   STACR                             | STACR 2020 DNA2 M2 144A       | CUSIP: 35565KAH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      330520 | PA      | $329084.08    | 0.08%             | 2050-02-25      | Floating      | 6.24%                 | Yes           | 2                  | On Loan: No      |
| FREDDIE MAC   STACR                             | STACR 2020 DNA6 M2 144A       | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |      679338 | PA      | $673969.65    | 0.16%             | 2050-12-25      | Floating      | 5.93%                 | Yes           | 2                  | On Loan: No      |
| FREDDIE MAC REFERENCE REMIC                     | FHRR R007 ZA                  | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |       54124 | PA      | $55989.32     | 0.01%             | 2036-05-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| FREDDIEMAC STRIP                                | FHS 334 S7                    | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88260 | PA      | $8991.72      | 0.00%             | 2044-08-15      | Floating      | 1.78%                 | No            | 2                  | On Loan: No      |
| FREDDIEMAC STRIP                                | FHS 353 S1                    | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      213456 | PA      | $21199.02     | 0.00%             | 2046-12-15      | Floating      | 1.68%                 | No            | 2                  | On Loan: No      |
| FREEPORT MCMORAN INC                            | COMPANY GUAR 03/43 5.45       | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      466000 | PA      | $420350.64    | 0.10%             | 2043-03-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| FREEPORT MCMORAN INC                            | COMPANY GUAR 11/24 4.55       | CUSIP: 35671DBL8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9859.94      | 0.00%             | 2024-11-14      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| FREEPORT MCMORAN INC                            | COMPANY GUAR 08/30 4.625      | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      120000 | PA      | $111795.60    | 0.03%             | 2030-08-01      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| FREMF MORTGAGE TRUST                            | FREMF 2019 KF58 B 144A        | CUSIP: 302986AC8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |      506574 | PA      | $471889.36    | 0.11%             | 2026-01-25      | Floating      | 6.29%                 | Yes           | 2                  | On Loan: No      |
| FRESENIUS MED CARE II                           | COMPANY GUAR 144A 10/24 4.75  | CUSIP: 35802XAJ2<br>LEI: 5493008GJ5TVVTY4UM62 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68720.25     | 0.02%             | 2024-10-15      | Fixed         | 4.75%                 | Yes           | 2                  | On Loan: No      |
| GENERAL DYNAMICS CORP                           | COMPANY GUAR 05/25 3.5        | CUSIP: 369550BG2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48755.86     | 0.01%             | 2025-05-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GENERAL DYNAMICS CORP                           | COMPANY GUAR 04/40 4.25       | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18352.81     | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| GENERAL DYNAMICS CORP                           | COMPANY GUAR 04/50 4.25       | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       50000 | PA      | $44513.21     | 0.01%             | 2050-04-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| GENERAL MOTORS CO                               | SR UNSECURED 10/25 6.125      | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20371.40     | 0.00%             | 2025-10-01      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| GENERAL MOTORS CO                               | SR UNSECURED 04/36 6.6        | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9858.97      | 0.00%             | 2036-04-01      | Fixed         | 6.60%                 | No            | 2                  | On Loan: No      |
| GENERAL MOTORS CO                               | SR UNSECURED 04/38 5.15       | CUSIP: 37045VAP5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       40000 | PA      | $34660.64     | 0.01%             | 2038-04-01      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| GENERAL MOTORS CO                               | SR UNSECURED 04/49 5.95       | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      110000 | PA      | $96433.26     | 0.02%             | 2049-04-01      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| GENERAL MOTORS CO                               | SR UNSECURED 04/45 5.2        | CUSIP: 37045VAJ9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      960000 | PA      | $785865.48    | 0.18%             | 2045-04-01      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| GENERAL MOTORS CO                               | SR UNSECURED 10/32 5.6        | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     1840000 | PA      | $1718986.13   | 0.40%             | 2032-10-15      | Fixed         | 5.60%                 | No            | 2                  | On Loan: No      |
| GENERAL MOTORS FINL CO                          | COMPANY GUAR 05/23 4.25       | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9958.53      | 0.00%             | 2023-05-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| GENERAL MOTORS FINL CO                          | SR UNSECURED 01/32 3.1        | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31453.31     | 0.01%             | 2032-01-12      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| GENESEE + WYOMING INC NEW                       | TERM LOAN                     | CUSIP: 55316HAB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |      233159 | PA      | $231643.17    | 0.05%             | 2026-12-30      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| GILEAD SCIENCES INC                             | SR UNSECURED 04/24 3.7        | CUSIP: 375558AW3<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |      130000 | PA      | $127836.82    | 0.03%             | 2024-04-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| GILEAD SCIENCES INC                             | SR UNSECURED 02/45 4.5        | CUSIP: 375558BA0<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8862.88      | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GILEAD SCIENCES INC                             | SR UNSECURED 03/46 4.75       | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |       40000 | PA      | $36130.82     | 0.01%             | 2046-03-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| GLENCORE FUNDING LLC                            | COMPANY GUAR 144A 05/23 4.125 | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      130000 | PA      | $129323.94    | 0.03%             | 2023-05-30      | Fixed         | 4.12%                 | Yes           | 2                  | On Loan: No      |
| GLENCORE FUNDING LLC                            | COMPANY GUAR 144A 03/27 4     | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      270000 | PA      | $255178.75    | 0.06%             | 2027-03-27      | Fixed         | 4.00%                 | Yes           | 2                  | On Loan: No      |
| GLENCORE FUNDING LLC                            | COMPANY GUAR 144A 10/27 3.875 | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       90000 | PA      | $84009.60     | 0.02%             | 2027-10-27      | Fixed         | 3.88%                 | Yes           | 2                  | On Loan: No      |
| GLENCORE FUNDING LLC                            | COMPANY GUAR 144A 03/24 4.125 | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      130000 | PA      | $127956.50    | 0.03%             | 2024-03-12      | Fixed         | 4.12%                 | Yes           | 2                  | On Loan: No      |
| GLOBAL MEDICAL RESPONSE INC                     | 2020 TERM LOAN B              | CUSIP: 00169QAF6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      381052 | PA      | $265547.64    | 0.06%             | 2025-10-02      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| GLP CAPITAL LP / FIN II                         | COMPANY GUAR 04/26 5.375      | CUSIP: 361841AH2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39253.12     | 0.01%             | 2026-04-15      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| GLP CAPITAL LP / FIN II                         | COMPANY GUAR 06/25 5.25       | CUSIP: 361841AJ8<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9822.80      | 0.00%             | 2025-06-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL 004747                             | G2 07/40 FIXED 5              | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       49450 | PA      | $50046.39     | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL 783298                             | G2 04/41 FIXED 4.5            | CUSIP: 36241LUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79724 | PA      | $79064.96     | 0.02%             | 2041-04-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL 783368                             | G2 07/41 FIXED 4.5            | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11774 | PA      | $11676.81     | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL 784106                             | G2 01/46 FIXED 3.5            | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55991 | PA      | $52621.38     | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL 784825                             | G2 10/49 FIXED 3.5            | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       45209 | PA      | $41301.48     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL 785944                             | G2 02/52 FIXED 3              | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       95114 | PA      | $84656.08     | 0.02%             | 2052-02-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL 786095                             | G2 04/52 FIXED 3              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       98006 | PA      | $85699.53     | 0.02%             | 2052-04-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL 786134                             | G2 04/52 FIXED 3              | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       93506 | PA      | $82933.01     | 0.02%             | 2052-04-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL 786216                             | G2 06/52 FIXED 3.5            | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       98468 | PA      | $90264.88     | 0.02%             | 2052-06-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL BC4732                             | G2 10/47 FIXED 3.5            | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      198528 | PA      | $184346.93    | 0.04%             | 2047-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL BD0384                             | G2 10/47 FIXED 3.5            | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      143572 | PA      | $133316.27    | 0.03%             | 2047-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL BM7534                             | G2 02/50 FIXED 3.5            | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       61148 | PA      | $56531.56     | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL BM9734                             | G2 10/49 FIXED 4              | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34330 | PA      | $32772.07     | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL BM9743                             | G2 11/49 FIXED 4              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42096 | PA      | $40185.96     | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL BS1728                             | G2 01/50 FIXED 4              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44471 | PA      | $42452.84     | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL BS1742                             | G2 02/50 FIXED 4              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36245 | PA      | $34600.71     | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL BS1757                             | G2 03/50 FIXED 4              | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30108 | PA      | $28741.52     | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL BS8420                             | G2 04/50 FIXED 4              | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      144737 | PA      | $138169.29    | 0.03%             | 2050-04-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL CJ9477                             | G2 01/52 FIXED 3              | CUSIP: 3617XSQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      274648 | PA      | $244108.16    | 0.06%             | 2052-01-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA1995                             | G2 06/44 FIXED 3.5            | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       49444 | PA      | $46576.17     | 0.01%             | 2044-06-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA2678                             | G2 03/45 FIXED 3.5            | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21267 | PA      | $20027.27     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA3597                             | G2 04/46 FIXED 3.5            | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       88357 | PA      | $82929.66     | 0.02%             | 2046-04-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA4068                             | G2 11/46 FIXED 3              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19504 | PA      | $17706.97     | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA4511                             | G2 06/47 FIXED 4              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      550114 | PA      | $529275.78    | 0.12%             | 2047-06-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA4654                             | G2 08/47 FIXED 4.5            | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      120379 | PA      | $119089.62    | 0.03%             | 2047-08-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA4720                             | G2 09/47 FIXED 4              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      358652 | PA      | $344730.38    | 0.08%             | 2047-09-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA5138                             | G2 04/48 FIXED 4.5            | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      181721 | PA      | $178979.00    | 0.04%             | 2048-04-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA5193                             | G2 05/48 FIXED 4.5            | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      186893 | PA      | $183897.67    | 0.04%             | 2048-05-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA5265                             | G2 06/48 FIXED 4.5            | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      162333 | PA      | $159680.56    | 0.04%             | 2048-06-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA5331                             | G2 07/48 FIXED 4.5            | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40762 | PA      | $40082.77     | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA5818                             | G2 03/49 FIXED 4.5            | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53938 | PA      | $53056.93     | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA6711                             | G2 06/50 FIXED 3.5            | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      345007 | PA      | $321899.84    | 0.07%             | 2050-06-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA6997                             | G2 11/50 FIXED 3.5            | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      421532 | PA      | $393002.93    | 0.09%             | 2050-11-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA7136                             | G2 01/51 FIXED 2.5            | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       66404 | PA      | $58034.06     | 0.01%             | 2051-01-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA7312                             | G2 04/51 FIXED 2.5            | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      153355 | PA      | $133822.23    | 0.03%             | 2051-04-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA7590                             | G2 09/51 FIXED 3              | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      336227 | PA      | $301466.19    | 0.07%             | 2051-09-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA7706                             | G2 11/51 FIXED 3              | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      718782 | PA      | $644020.96    | 0.15%             | 2051-11-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA II POOL MA7767                             | G2 12/51 FIXED 2.5            | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      738699 | PA      | $642015.23    | 0.15%             | 2051-12-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 2.5                           | JUMBOS                        | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3100000 | PA      | $2690703.28   | 0.62%             | 2053-01-23      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 2.5                           | JUMBOS                        | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100000 | PA      | $86867.19     | 0.02%             | 2053-02-21      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 3                             | JUMBOS                        | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1200000 | PA      | $1070906.28   | 0.25%             | 2053-01-23      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 3                             | JUMBOS                        | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      300000 | PA      | $267878.91    | 0.06%             | 2053-02-21      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 3.5                           | JUMBOS                        | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1100000 | PA      | $1012257.84   | 0.23%             | 2053-01-23      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 3.5                           | JUMBOS                        | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      400000 | PA      | $368265.64    | 0.08%             | 2053-02-21      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 4                             | JUMBOS                        | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      900000 | PA      | $853664.04    | 0.20%             | 2053-02-21      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 4.5                           | JUMBOS                        | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1000000 | PA      | $971562.50    | 0.22%             | 2053-02-21      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 5                             | JUMBOS                        | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1400000 | PA      | $1387914.08   | 0.32%             | 2053-02-21      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 5.5                           | JUMBOS                        | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1000000 | PA      | $1004960.90   | 0.23%             | 2053-02-21      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| GNMA II TBA 30 YR 6                             | JUMBOS                        | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      400000 | PA      | $405750.00    | 0.09%             | 2053-02-21      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL 487588                                | GN 04/29 FIXED 6              | CUSIP: 36210BUM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |         613 | PA      | $626.90       | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL 595077                                | GN 10/32 FIXED 6              | CUSIP: 36200ACN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |         188 | PA      | $193.78       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL 596620                                | GN 10/32 FIXED 6              | CUSIP: 36200BYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          64 | PA      | $65.87        | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL 604706                                | GN 10/33 FIXED 6              | CUSIP: 36200MYB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26366 | PA      | $27300.02     | 0.01%             | 2033-10-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL 636251                                | GN 03/35 FIXED 6              | CUSIP: 36291RZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3591 | PA      | $3733.49      | 0.00%             | 2035-03-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL 658029                                | GN 07/36 FIXED 6              | CUSIP: 36294SA64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7224 | PA      | $7535.06      | 0.00%             | 2036-07-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL 782034                                | GN 01/36 FIXED 6              | CUSIP: 36241KHK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28067 | PA      | $29139.48     | 0.01%             | 2036-01-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL 783669                                | GN 09/42 FIXED 3              | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      141426 | PA      | $129505.00    | 0.03%             | 2042-09-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL 784571                                | GN 06/48 FIXED 3.5            | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      167448 | PA      | $157008.21    | 0.04%             | 2048-06-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GNMA POOL AA5649                                | GN 09/42 FIXED 3              | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       76395 | PA      | $69873.06     | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL AB2892                                | GN 09/42 FIXED 3              | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       76542 | PA      | $70062.23     | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL AB9108                                | GN 10/42 FIXED 3              | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      545721 | PA      | $499131.14    | 0.11%             | 2042-10-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL AB9109                                | GN 10/42 FIXED 3              | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46146 | PA      | $42222.77     | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL AB9207                                | GN 11/42 FIXED 3              | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40036 | PA      | $36618.21     | 0.01%             | 2042-11-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GNMA POOL BS8439                                | GN 05/50 FIXED 3.5            | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      129954 | PA      | $120227.29    | 0.03%             | 2050-05-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS CAPITAL II                        | LIMITD GUARA 12/49 VAR        | CUSIP: 381427AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        8000 | PA      | $6010.72      | 0.00%             | 2049-12-29      | Floating      | 5.53%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 06/28 VAR        | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      430000 | PA      | $399476.40    | 0.09%             | 2028-06-05      | Fixed         | 3.69%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 05/29 VAR        | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      490000 | PA      | $457287.68    | 0.11%             | 2029-05-01      | Fixed         | 4.22%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 04/25 3.5        | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      370000 | PA      | $355996.35    | 0.08%             | 2025-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 04/42 VAR        | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       40000 | PA      | $28988.98     | 0.01%             | 2042-04-22      | Fixed         | 3.21%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 07/42 VAR        | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       80000 | PA      | $54782.82     | 0.01%             | 2042-07-21      | Fixed         | 2.91%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 03/28 VAR        | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46531.14     | 0.01%             | 2028-03-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 11/26 3.5        | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      200000 | PA      | $187671.90    | 0.04%             | 2026-11-16      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SUBORDINATED 05/45 5.15       | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      290000 | PA      | $262055.02    | 0.06%             | 2045-05-22      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 07/24 3.85       | CUSIP: 38141EC23<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       90000 | PA      | $88112.58     | 0.02%             | 2024-07-08      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SUBORDINATED 10/37 6.75       | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       80000 | PA      | $85108.37     | 0.02%             | 2037-10-01      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 02/41 6.25       | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      130000 | PA      | $136426.13    | 0.03%             | 2041-02-01      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 03/24 4          | CUSIP: 38141GVM3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98686.23     | 0.02%             | 2024-03-03      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SUBORDINATED 10/25 4.25       | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      260000 | PA      | $254097.76    | 0.06%             | 2025-10-21      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 10/45 4.75       | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      130000 | PA      | $114662.67    | 0.03%             | 2045-10-21      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 11/24 5.7        | CUSIP: 38141GZV9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2810000 | PA      | $2846805.89   | 0.66%             | 2024-11-01      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| GOLUB CAPITAL BDC                               | SR UNSECURED 08/26 2.5        | CUSIP: 38173MAB8<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |     1570000 | PA      | $1334595.27   | 0.31%             | 2026-08-24      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 H09 NF               | CUSIP: 38380QBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      122157 | PA      | $122622.93    | 0.03%             | 2070-04-20      | Floating      | 5.09%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2010 85 HS                | CUSIP: 38374YVW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |        4623 | PA      | $48.26        | 0.00%             | 2040-01-20      | Floating      | 2.30%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2017 H15 KI               | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      106298 | PA      | $5605.71      | 0.00%             | 2067-07-20      | Floating      | 1.70%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 H13 FA               | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      131003 | PA      | $128118.72    | 0.03%             | 2070-07-20      | Floating      | 2.98%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2010 H28 FE               | CUSIP: 38375BJE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       71796 | PA      | $71201.05     | 0.02%             | 2060-12-20      | Floating      | 4.24%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2021 60 IO                | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     2296140 | PA      | $146594.29    | 0.03%             | 2063-05-16      | Floating      | 0.83%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 H13 FC               | CUSIP: 38380QGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       52162 | PA      | $51056.14     | 0.01%             | 2070-07-20      | Floating      | 3.28%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2011 H08 FG               | CUSIP: 38375BLC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       63241 | PA      | $62775.90     | 0.01%             | 2061-03-20      | Floating      | 4.32%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2017 H18 BI               | CUSIP: 38376R6U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     2720313 | PA      | $110232.53    | 0.03%             | 2067-09-20      | Floating      | 0.16%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2011 H09 AF               | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       39239 | PA      | $38988.31     | 0.01%             | 2061-03-20      | Floating      | 4.34%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2022 3 B                  | CUSIP: 38381ETU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      200000 | PA      | $118884.32    | 0.03%             | 2061-02-16      | Fixed         | 1.85%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2012 H27 AI               | CUSIP: 38375BZC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      304027 | PA      | $10064.50     | 0.00%             | 2062-10-20      | Floating      | 1.70%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2022 196 BE               | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      200000 | PA      | $152533.82    | 0.04%             | 2064-10-16      | Floating      | 3.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2017 H20 IB               | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       55174 | PA      | $2367.54      | 0.00%             | 2067-10-20      | Floating      | 0.15%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2012 144 IO               | CUSIP: 38378B2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     2207330 | PA      | $26596.56     | 0.01%             | 2053-01-16      | Floating      | 0.32%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 47 MI                | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      271343 | PA      | $45232.64     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2014 H20 FA               | CUSIP: 38375UQY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      814039 | PA      | $804452.34    | 0.19%             | 2064-10-20      | Floating      | 4.27%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 47 NI                | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       73971 | PA      | $12456.91     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2012 135 IO               | CUSIP: 38378BT58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     2297455 | PA      | $32006.30     | 0.01%             | 2053-01-16      | Floating      | 0.34%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 123 NI               | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      404914 | PA      | $54488.39     | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 123 IL               | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      158958 | PA      | $21059.65     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 127 IN               | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      159591 | PA      | $21764.50     | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2013 107 AD               | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      155245 | PA      | $143265.65    | 0.03%             | 2047-11-16      | Floating      | 2.85%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 129 IE               | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      164620 | PA      | $22131.92     | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2013 53 OI                | CUSIP: 38378MVC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      304898 | PA      | $31937.05     | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 160 IH               | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      167890 | PA      | $23147.26     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 160 YI               | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      669059 | PA      | $89332.64     | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2013 150 IA               | CUSIP: 38378UGA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       19034 | PA      | $596.41       | 0.00%             | 2042-11-20      | Floating      | 0.48%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 160 VI               | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      246786 | PA      | $33884.79     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2014 186 IO               | CUSIP: 38378XW72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      348322 | PA      | $3567.62      | 0.00%             | 2054-08-16      | Floating      | 0.37%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 181 WI               | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     1348126 | PA      | $147278.00    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2021 115 MI               | CUSIP: 38382T4P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      262245 | PA      | $28771.87     | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2015 167 OI               | CUSIP: 38379FFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       46899 | PA      | $8207.96      | 0.00%             | 2045-04-16      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2022 189 PT               | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      297994 | PA      | $248076.76    | 0.06%             | 2051-10-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2014 176 IA               | CUSIP: 38379GZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       36713 | PA      | $6198.38      | 0.00%             | 2044-11-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2017 41 IO                | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      525393 | PA      | $16587.59     | 0.00%             | 2058-07-16      | Floating      | 0.60%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2016 21 ST                | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       57634 | PA      | $6329.70      | 0.00%             | 2046-02-20      | Floating      | 1.80%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2016 84 IG                | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      215877 | PA      | $42431.15     | 0.01%             | 2045-11-16      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2016 135 SB               | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      103045 | PA      | $14272.62     | 0.00%             | 2046-10-16      | Floating      | 1.77%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2018 H07 FD               | CUSIP: 38380LCX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      236534 | PA      | $234115.80    | 0.05%             | 2068-05-20      | Floating      | 4.14%                 | No            | 2                  | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                  | GNR 2020 H09 FL               | CUSIP: 38380QAW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      383086 | PA      | $380640.55    | 0.09%             | 2070-05-20      | Floating      | 2.88%                 | No            | 2                  | On Loan: No      |
| GRIFOLS WORLDWIDE OPERATIONS U                  | USD 2019 TERM LOAN B          | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      307795 | PA      | $297151.52    | 0.07%             | 2027-11-15      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| GS MORTGAGE SECURITIES CORP.                    | GSMSC 2014 2R 3B 144A         | CUSIP: 36249UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1220000 | PA      | $1033652.69   | 0.24%             | 2037-11-26      | Floating      | 0.70%                 | Yes           | 2                  | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                    | GSMS 2018 SRP5 A 144A         | CUSIP: 36255TAA0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     1228563 | PA      | $1067145.29   | 0.25%             | 2031-09-15      | Floating      | 6.12%                 | Yes           | 2                  | On Loan: No      |
| GSAA HOME EQUITY TRUST                          | GSAA 2006 5 2A3               | CUSIP: 362334GT5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      311843 | PA      | $142830.21    | 0.03%             | 2036-03-25      | Floating      | 4.93%                 | No            | 2                  | On Loan: No      |
| GSK CONSUMER HEALTHCARE                         | COMPANY GUAR 03/29 3.375      | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |      260000 | PA      | $234301.94    | 0.05%             | 2029-03-24      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                         | GSR 2005 AR5 2A3              | CUSIP: 362341MC0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |       44845 | PA      | $24752.51     | 0.01%             | 2035-10-25      | Floating      | 3.56%                 | No            | 2                  | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                         | SECURED 144A 06/25 1.1        | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |      120000 | PA      | $108776.59    | 0.03%             | 2025-06-23      | Fixed         | 1.10%                 | Yes           | 2                  | On Loan: No      |
| H+E EQUIPMENT SERVICES                          | COMPANY GUAR 144A 12/28 3.875 | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17035.80     | 0.00%             | 2028-12-15      | Fixed         | 3.88%                 | Yes           | 2                  | On Loan: No      |
| HALLIBURTON CO                                  | SR UNSECURED 11/25 3.8        | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |        2000 | PA      | $1947.09      | 0.00%             | 2025-11-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| HALLIBURTON CO                                  | SR UNSECURED 11/35 4.85       | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18590.57     | 0.00%             | 2035-11-15      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| HALLIBURTON CO                                  | SR UNSECURED 11/45 5          | CUSIP: 406216BK6<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |      110000 | PA      | $97775.64     | 0.02%             | 2045-11-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| HARBOR FREIGHT TOOLS USA INC                    | 2021 TERM LOAN B              | CUSIP: 41151PAP0<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |      372572 | PA      | $354196.67    | 0.08%             | 2027-10-19      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST                  | HVMLT 2006 2 1A               | CUSIP: 41161PJ38<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       27306 | PA      | $9925.35      | 0.00%             | 2036-02-25      | Floating      | 3.72%                 | No            | 2                  | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                        | SR SECURED 144A 01/26 5.75    | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       10000 | PA      | $9050.00      | 0.00%             | 2026-01-20      | Fixed         | 5.75%                 | Yes           | 2                  | On Loan: No      |
| HCA INC                                         | COMPANY GUAR 03/24 5          | CUSIP: 404119BN8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49729.23     | 0.01%             | 2024-03-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| HCA INC                                         | COMPANY GUAR 06/26 5.25       | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       60000 | PA      | $59300.90     | 0.01%             | 2026-06-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| HCA INC                                         | SR SECURED 02/27 4.5          | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38603.35     | 0.01%             | 2027-02-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| HCA INC                                         | COMPANY GUAR 06/47 5.5        | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       80000 | PA      | $71314.46     | 0.02%             | 2047-06-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| HCA INC                                         | COMPANY GUAR 09/30 3.5        | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       70000 | PA      | $60556.43     | 0.01%             | 2030-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| HERSHEY COMPANY                                 | SR UNSECURED 06/25 0.9        | CUSIP: 427866BF4<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45669.97     | 0.01%             | 2025-06-01      | Fixed         | 0.90%                 | No            | 2                  | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC                     | HERTZ 2021 2A C 144A          | CUSIP: 42806MAG4<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |     2500000 | PA      | $2012242.25   | 0.46%             | 2027-12-27      | Fixed         | 2.52%                 | Yes           | 2                  | On Loan: No      |
| HESS CORP                                       | SR UNSECURED 10/29 7.875      | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      110000 | PA      | $122212.03    | 0.03%             | 2029-10-01      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| HESS CORP                                       | SR UNSECURED 08/31 7.3        | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      210000 | PA      | $228683.91    | 0.05%             | 2031-08-15      | Fixed         | 7.30%                 | No            | 2                  | On Loan: No      |
| HOME DEPOT INC                                  | SR UNSECURED 06/47 3.9        | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       40000 | PA      | $33102.59     | 0.01%             | 2047-06-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| HOME DEPOT INC                                  | SR UNSECURED 12/28 3.9        | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28928.96     | 0.01%             | 2028-12-06      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| HOME DEPOT INC                                  | SR UNSECURED 04/30 2.7        | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       70000 | PA      | $61067.21     | 0.01%             | 2030-04-15      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| HOME DEPOT INC                                  | SR UNSECURED 04/40 3.3        | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      120000 | PA      | $96146.76     | 0.02%             | 2040-04-15      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| HOME DEPOT INC                                  | SR UNSECURED 04/50 3.35       | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      220000 | PA      | $163827.27    | 0.04%             | 2050-04-15      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| HONEYWELL INTERNATIONAL                         | SR UNSECURED 06/25 1.35       | CUSIP: 438516CB0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |       80000 | PA      | $74021.35     | 0.02%             | 2025-06-01      | Fixed         | 1.35%                 | No            | 2                  | On Loan: No      |
| HORIZON THERAPEUTICS USA INC                    | 2021 TERM LOAN B              | CUSIP: 44055UAD7<br>LEI: 254900IS87RLPXY88S03 | Long             | LON              | CORP              | US        |      471600 | PA      | $471010.50    | 0.11%             | 2028-03-15      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                               | SUBORDINATED 08/25 4.25       | CUSIP: 404280AU3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      330000 | PA      | $317708.04    | 0.07%             | 2025-08-18      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                               | SR UNSECURED 05/26 3.9        | CUSIP: 404280BB4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $190705.13    | 0.04%             | 2026-05-25      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                               | SR UNSECURED 06/26 VAR        | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      510000 | PA      | $465012.85    | 0.11%             | 2026-06-04      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                               | SUBORDINATED 03/33 VAR        | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $173899.81    | 0.04%             | 2033-03-29      | Fixed         | 4.76%                 | No            | 2                  | On Loan: No      |
| HUDBAY MINERALS INC                             | COMPANY GUAR 144A 04/29 6.125 | CUSIP: 443628AH5<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |       10000 | PA      | $9049.50      | 0.00%             | 2029-04-01      | Fixed         | 6.12%                 | Yes           | 2                  | On Loan: No      |
| HUMANA INC                                      | SR UNSECURED 12/42 4.625      | CUSIP: 444859BB7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       70000 | PA      | $61360.62     | 0.01%             | 2042-12-01      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| HUMANA INC                                      | SR UNSECURED 03/47 4.8        | CUSIP: 444859BG6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8836.26      | 0.00%             | 2047-03-15      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| HUMANA INC                                      | SR UNSECURED 04/25 4.5        | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49426.33     | 0.01%             | 2025-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| HUMANA INC                                      | SR UNSECURED 02/32 2.15       | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31324.85     | 0.01%             | 2032-02-03      | Fixed         | 2.15%                 | No            | 2                  | On Loan: No      |
| IBM CORP                                        | SR UNSECURED 05/24 3          | CUSIP: 459200JY8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      320000 | PA      | $311323.75    | 0.07%             | 2024-05-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                        | 2020 TERM LOAN                | CUSIP: 45174UAF5<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |      495927 | PA      | $453619.58    | 0.10%             | 2026-05-01      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| II VI INCORPORATED                              | 2022 TERM LOAN B              | CUSIP: 45173JAQ7<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |      156743 | PA      | $154744.39    | 0.04%             | 2029-07-02      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| ILFC E CAPITAL TRUST II                         | LIMITD GUARA 144A 12/65 VAR   | CUSIP: 44965UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $6450.00      | 0.00%             | 2065-12-21      | Floating      | 6.54%                 | Yes           | 2                  | On Loan: No      |
| IMM EUR FUT OPT JUN23P 97                       | EXP 06/20/2023                | CUSIP: ADI216392<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -22 | NC      | $-119212.50   | -0.03%            |  |  |  | No            | 1                  | On Loan: No      |
| INDONESIA GOVERNMENT                            | BONDS 02/31 6.5               | CUSIP: ACI1Q75B0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 58983000000 | PA      | $3677083.76   | 0.85%             | 2031-02-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| INSTAR LEASING III, LLC                         | INSTR 2021 1A A 144A          | CUSIP: 45783NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      572410 | PA      | $473596.58    | 0.11%             | 2054-02-15      | Fixed         | 2.30%                 | Yes           | 2                  | On Loan: No      |
| INTEL CORP                                      | SR UNSECURED 07/25 3.7        | CUSIP: 458140AS9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39051.78     | 0.01%             | 2025-07-29      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| INTEL CORP                                      | SR UNSECURED 03/50 4.75       | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17399.16     | 0.00%             | 2050-03-25      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| INTEL CORP                                      | SR UNSECURED 08/28 1.6        | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      190000 | PA      | $161717.65    | 0.04%             | 2028-08-12      | Fixed         | 1.60%                 | No            | 2                  | On Loan: No      |
| INTEL CORP                                      | SR UNSECURED 08/51 3.05       | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       90000 | PA      | $58758.47     | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            | 2                  | On Loan: No      |
| INTERCONTINENTALEXCHANGE                        | SR UNSECURED 03/33 4.6        | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       80000 | PA      | $76781.20     | 0.02%             | 2033-03-15      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| INTERCONTINENTALEXCHANGE                        | SR UNSECURED 06/52 4.95       | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18666.12     | 0.00%             | 2052-06-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| INTESA SANPAOLO SPA                             | SUBORDINATED 144A 06/24 5.017 | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      900000 | PA      | $865517.08    | 0.20%             | 2024-06-26      | Fixed         | 5.02%                 | Yes           | 2                  | On Loan: No      |
| INTESA SANPAOLO SPA                             | SUBORDINATED 144A 01/26 5.71  | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      200000 | PA      | $192395.15    | 0.04%             | 2026-01-15      | Fixed         | 5.71%                 | Yes           | 2                  | On Loan: No      |
| INTESA SANPAOLO SPA                             | SR UNSECURED 144A 01/23 3.375 | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      350000 | PA      | $349827.21    | 0.08%             | 2023-01-12      | Fixed         | 3.38%                 | Yes           | 2                  | On Loan: No      |
| JACKSON NATL LIFE GLOBAL                        | SECURED 144A 06/24 VAR        | CUSIP: 46849CJL6<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     3450000 | PA      | $3450685.76   | 0.79%             | 2024-06-28      | Floating      | 5.45%                 | Yes           | 2                  | On Loan: No      |
| JANE STREET GROUP LLC                           | 2021 TERM LOAN                | CUSIP: 47077DAG5<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |      276745 | PA      | $268182.23    | 0.06%             | 2028-01-26      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| JAZZ FINANCING LUX SARL                         | USD TERM LOAN                 | CUSIP: G5080AAF9<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      435231 | PA      | $430808.71    | 0.10%             | 2028-05-05      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| JOHNSON + JOHNSON                               | SR UNSECURED 03/37 3.625      | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      320000 | PA      | $283692.39    | 0.07%             | 2037-03-03      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| JOHNSON + JOHNSON                               | SR UNSECURED 09/27 0.95       | CUSIP: 478160CP7<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |       40000 | PA      | $34502.42     | 0.01%             | 2027-09-01      | Fixed         | 0.95%                 | No            | 2                  | On Loan: No      |
| JP MORGAN MORTGAGE TRUST                        | JPMMT 2018 4 A1 144A          | CUSIP: 46649CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      103980 | PA      | $90148.71     | 0.02%             | 2048-10-25      | Floating      | 3.50%                 | Yes           | 2                  | On Loan: No      |
| JP MORGAN MORTGAGE TRUST                        | JPMMT 2018 5 A1 144A          | CUSIP: 46649KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      130847 | PA      | $113299.54    | 0.03%             | 2048-10-25      | Floating      | 3.50%                 | Yes           | 2                  | On Loan: No      |
| JP MORGAN MORTGAGE TRUST                        | JPMMT 2018 3 A1 144A          | CUSIP: 46649TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      244539 | PA      | $211619.26    | 0.05%             | 2048-09-25      | Floating      | 3.50%                 | Yes           | 2                  | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECU                  | JPMBB 2014 C19 XA             | CUSIP: 46641WAX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      991047 | PA      | $5600.31      | 0.00%             | 2047-04-15      | Floating      | 0.62%                 | No            | 2                  | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECU                  | JPMBB 2015 C31 B              | CUSIP: 46644YBA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      160000 | PA      | $138852.91    | 0.03%             | 2048-08-15      | Floating      | 4.62%                 | No            | 2                  | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECU                  | JPMBB 2013 C17 B              | CUSIP: 46640UAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       30000 | PA      | $29006.21     | 0.01%             | 2047-01-15      | Floating      | 4.88%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SR UNSECURED 11/32 VAR        | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      160000 | PA      | $126908.26    | 0.03%             | 2032-11-08      | Fixed         | 2.54%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SR UNSECURED 01/29 VAR        | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       70000 | PA      | $63634.28     | 0.01%             | 2029-01-23      | Fixed         | 3.51%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SR UNSECURED 07/29 VAR        | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      310000 | PA      | $289381.25    | 0.07%             | 2029-07-23      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SR UNSECURED 12/29 VAR        | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      830000 | PA      | $781148.76    | 0.18%             | 2029-12-05      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SR UNSECURED 04/26 VAR        | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      340000 | PA      | $315461.87    | 0.07%             | 2026-04-22      | Fixed         | 2.08%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SR UNSECURED 04/31 VAR        | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      300000 | PA      | $246207.47    | 0.06%             | 2031-04-22      | Fixed         | 2.52%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SR UNSECURED 04/51 VAR        | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       80000 | PA      | $52834.90     | 0.01%             | 2051-04-22      | Fixed         | 3.11%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SR UNSECURED 04/52 VAR        | CUSIP: 46647PCE4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      350000 | PA      | $239516.45    | 0.06%             | 2052-04-22      | Fixed         | 3.33%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SR UNSECURED 07/33 VAR        | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1770000 | PA      | $1693329.48   | 0.39%             | 2033-07-25      | Fixed         | 4.91%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SUBORDINATED 09/24 3.875      | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      300000 | PA      | $293776.48    | 0.07%             | 2024-09-10      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SUBORDINATED 06/45 4.95       | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      140000 | PA      | $125515.01    | 0.03%             | 2045-06-01      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE + CO                             | SUBORDINATED 10/27 4.25       | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       70000 | PA      | $67452.07     | 0.02%             | 2027-10-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| JPN 10Y BOND(OSE) MAR23                         | XOSE 20230313                 | CUSIP: ADI26ZJJ4<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          -4 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                         | SR UNSECURED 144A 04/30 5.375 | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      200000 | PA      | $178674.19    | 0.04%             | 2030-04-24      | Fixed         | 5.38%                 | Yes           | 2                  | On Loan: No      |
| KINDER MORGAN ENER PART                         | COMPANY GUAR 03/44 5.5        | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27298.88     | 0.01%             | 2044-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| KINDER MORGAN INC                               | COMPANY GUAR 03/28 4.3        | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      110000 | PA      | $105552.61    | 0.02%             | 2028-03-01      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| KINDER MORGAN INC                               | COMPANY GUAR 03/48 5.2        | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17459.81     | 0.00%             | 2048-03-01      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| KKR GROUP FIN CO II                             | COMPANY GUAR 144A 02/43 5.5   | CUSIP: 48249DAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $18494.98     | 0.00%             | 2043-02-01      | Fixed         | 5.50%                 | Yes           | 2                  | On Loan: —       |
| L3HARRIS TECH INC                               | SR UNSECURED 04/45 5.054      | CUSIP: 413875AT2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45022.43     | 0.01%             | 2045-04-27      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| LAS VEGAS SANDS CORP                            | SR UNSECURED 08/24 3.2        | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      790000 | PA      | $750660.58    | 0.17%             | 2024-08-08      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| LAS VEGAS SANDS CORP                            | SR UNSECURED 06/25 2.9        | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      100000 | PA      | $92003.38     | 0.02%             | 2025-06-25      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| LENNAR CORP                                     | COMPANY GUAR 11/27 4.75       | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38542.37     | 0.01%             | 2027-11-29      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| LENNAR CORP                                     | COMPANY GUAR 04/24 4.5        | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98698.13     | 0.02%             | 2024-04-30      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| LEVEL 3 FINANCING INC                           | 2019 TERM LOAN B              | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |      316209 | PA      | $302374.41    | 0.07%             | 2027-03-01      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| LLOYDS BANKING GROUP PLC                        | SR UNSECURED 08/28 4.55       | CUSIP: 539439AT6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      370000 | PA      | $348736.35    | 0.08%             | 2028-08-16      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| LOCKHEED MARTIN CORP                            | SR UNSECURED 01/26 3.55       | CUSIP: 539830BH1<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       45000 | PA      | $43756.00     | 0.01%             | 2026-01-15      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| LOCKHEED MARTIN CORP                            | SR UNSECURED 05/36 4.5        | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       60000 | PA      | $57514.92     | 0.01%             | 2036-05-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| LOCKHEED MARTIN CORP                            | SR UNSECURED 06/32 3.9        | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47196.41     | 0.01%             | 2032-06-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| LOCKHEED MARTIN CORP                            | SR UNSECURED 06/53 4.15       | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      320000 | PA      | $273328.70    | 0.06%             | 2053-06-15      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| LONG GILT FUTURE  MAR23                         | IFLL 20230329                 | CUSIP: ADI27GKW4<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          14 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| LOWE S COS INC                                  | SR UNSECURED 04/30 4.5        | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48045.90     | 0.01%             | 2030-04-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| LOWE S COS INC                                  | SR UNSECURED 04/53 5.625      | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     2341000 | PA      | $2225858.73   | 0.51%             | 2053-04-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| MACQUARIE GROUP LTD                             | SR UNSECURED 144A 11/24 6.207 | CUSIP: 55608JBL1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     3580000 | PA      | $3602935.31   | 0.83%             | 2024-11-22      | Fixed         | 6.21%                 | Yes           | 2                  | On Loan: No      |
| MAGNOLIA FINANCE X DAC 2019 1                   | CSEMC 2019 1OTF A 144A        | CUSIP: 55960WAB7<br>LEI: 213800P1BCRS8AAU4W28 | Long             | DBT              | CORP              | IE        |      940000 | PA      | $919641.13    | 0.21%             | 2024-08-09      | Floating      | 7.31%                 | Yes           | 2                  | On Loan: No      |
| MARS INC                                        | COMPANY GUAR 144A 04/25 2.7   | CUSIP: 571676AA3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      140000 | PA      | $133370.08    | 0.03%             | 2025-04-01      | Fixed         | 2.70%                 | Yes           | 2                  | On Loan: No      |
| MARS INC                                        | COMPANY GUAR 144A 04/30 3.2   | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |       80000 | PA      | $71661.57     | 0.02%             | 2030-04-01      | Fixed         | 3.20%                 | Yes           | 2                  | On Loan: No      |
| MASTERCARD INC                                  | SR UNSECURED 03/50 3.85       | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |       50000 | PA      | $42240.25     | 0.01%             | 2050-03-26      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| MCAFEE LLC                                      | 2021 USD TERM LOAN B          | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      465100 | PA      | $395916.38    | 0.09%             | 2028-07-27      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| MCDONALD S CORP                                 | SR UNSECURED 07/30 3.6        | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      190000 | PA      | $174733.95    | 0.04%             | 2030-07-01      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| MCDONALD S CORP                                 | SR UNSECURED 04/50 4.2        | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      140000 | PA      | $117365.87    | 0.03%             | 2050-04-01      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| MCDONALD S CORP                                 | SR UNSECURED 04/28 3.8        | CUSIP: 58013MFF6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      110000 | PA      | $105438.89    | 0.02%             | 2028-04-01      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| MCDONALD S CORP                                 | SR UNSECURED 09/49 3.625      | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       40000 | PA      | $30275.06     | 0.01%             | 2049-09-01      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| MCDONALD S CORP                                 | SR UNSECURED 07/25 3.3        | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       60000 | PA      | $58045.44     | 0.01%             | 2025-07-01      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| MCDONALD S CORP                                 | SR UNSECURED 07/27 3.5        | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      180000 | PA      | $171003.06    | 0.04%             | 2027-07-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| MDC HOLDINGS INC                                | COMPANY GUAR 01/43 6          | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16454.48     | 0.00%             | 2043-01-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| MEDTRONIC INC                                   | COMPANY GUAR 03/45 4.625      | CUSIP: 585055BU9<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |       18000 | PA      | $16870.50     | 0.00%             | 2045-03-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| MERCK + CO INC                                  | SR UNSECURED 02/26 0.75       | CUSIP: 58933YAY1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      200000 | PA      | $177283.27    | 0.04%             | 2026-02-24      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| MERCK + CO INC                                  | SR UNSECURED 06/30 1.45       | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      120000 | PA      | $96021.62     | 0.02%             | 2030-06-24      | Fixed         | 1.45%                 | No            | 2                  | On Loan: No      |
| MERCK + CO INC                                  | SR UNSECURED 12/51 2.75       | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      200000 | PA      | $134285.57    | 0.03%             | 2051-12-10      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| META PLATFORMS INC                              | SR UNSECURED 08/52 4.45       | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     3215000 | PA      | $2573759.92   | 0.59%             | 2052-08-15      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| METLIFE CAPITAL TRUST IV                        | JR SUBORDINA 144A 12/67 7.875 | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $216021.57    | 0.05%             | 2067-12-15      | Fixed         | 7.88%                 | Yes           | 2                  | On Loan: No      |
| MEX BONOS DESARR FIX RT                         | SR UNSECURED 11/42 7.75       | CUSIP: ACI01W4Q2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    46165600 | PA      | $2067164.15   | 0.48%             | 2042-11-13      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| MEX BONOS DESARR FIX RT                         | SR UNSECURED 11/34 7.75       | CUSIP: ACI087B66<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    17120000 | PA      | $793521.42    | 0.18%             | 2034-11-23      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| MEX BONOS DESARR FIX RT                         | BONDS 11/47 8                 | CUSIP: ACI0SZJH0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    76980000 | PA      | $3521963.88   | 0.81%             | 2047-11-07      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| MEX BONOS DESARR FIX RT                         | SR UNSECURED 05/29 8.5        | CUSIP: P9767G6N6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    28500000 | PA      | $1422052.96   | 0.33%             | 2029-05-31      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| MICROSOFT CORP                                  | SR UNSECURED 08/26 2.4        | CUSIP: 594918BR4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      530000 | PA      | $494434.99    | 0.11%             | 2026-08-08      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| MICROSOFT CORP                                  | SR UNSECURED 02/27 3.3        | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      290000 | PA      | $279774.23    | 0.06%             | 2027-02-06      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| MICROSOFT CORP                                  | SR UNSECURED 06/50 2.525      | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      133000 | PA      | $88561.90     | 0.02%             | 2050-06-01      | Fixed         | 2.52%                 | No            | 2                  | On Loan: No      |
| MICROSOFT CORP                                  | SR UNSECURED 03/52 2.921      | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      107000 | PA      | $76432.18     | 0.02%             | 2052-03-17      | Fixed         | 2.92%                 | No            | 2                  | On Loan: No      |
| MICROSOFT CORP                                  | SR UNSECURED 03/62 3.041      | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       83000 | PA      | $57967.09     | 0.01%             | 2062-03-17      | Fixed         | 3.04%                 | No            | 2                  | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                        | SR SECURED 144A 06/27 6.5     | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      297019 | PA      | $295296.99    | 0.07%             | 2027-06-20      | Fixed         | 6.50%                 | Yes           | 2                  | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                          | SR UNSECURED 04/26 VAR        | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $192768.46    | 0.04%             | 2026-04-17      | Fixed         | 3.84%                 | No            | 2                  | On Loan: —       |
| ML CFC COMMERCIAL MORTGAGE TRU                  | MLCFC 2007 9 AJ               | CUSIP: 60688CAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        2926 | PA      | $2764.95      | 0.00%             | 2049-09-12      | Floating      | 6.19%                 | No            | 2                  | On Loan: No      |
| MOLSON COORS BEVERAGE                           | COMPANY GUAR 07/46 4.2        | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |       50000 | PA      | $39029.59     | 0.01%             | 2046-07-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| MOLSON COORS BEVERAGE                           | COMPANY GUAR 07/26 3          | CUSIP: 60871RAG5<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46459.42     | 0.01%             | 2026-07-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| MONDELEZ INTERNATIONAL                          | SR UNSECURED 05/25 1.5        | CUSIP: 609207AU9<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |      390000 | PA      | $361240.62    | 0.08%             | 2025-05-04      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                  | SR UNSECURED 01/30 VAR        | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9358.96      | 0.00%             | 2030-01-23      | Fixed         | 4.43%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                  | SR UNSECURED 01/31 VAR        | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8286.85      | 0.00%             | 2031-01-22      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                  | SR UNSECURED 04/31 VAR        | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      750000 | PA      | $656596.56    | 0.15%             | 2031-04-01      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                  | SR UNSECURED 04/26 VAR        | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      340000 | PA      | $316189.59    | 0.07%             | 2026-04-28      | Fixed         | 2.19%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                  | SR UNSECURED 01/29 VAR        | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      350000 | PA      | $321051.79    | 0.07%             | 2029-01-24      | Fixed         | 3.77%                 | No            | 2                  | On Loan: No      |
| MORTGAGE REPURCHASE AGREEMENT                   | MRAFT 2022 S1 A1 144A         | CUSIP: 61916TAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      290000 | PA      | $285886.93    | 0.07%             | 2025-03-30      | Floating      | 5.80%                 | Yes           | 2                  | On Loan: No      |
| MOSAIC SOLAR LOANS LLC                          | MSAIC 2021 3A B 144A          | CUSIP: 61946TAB1<br>LEI: 549300ZLA8SW2SVJMN33 | Long             | ABS-O            | CORP              | US        |      811811 | PA      | $612455.31    | 0.14%             | 2052-06-20      | Fixed         | 1.92%                 | Yes           | 2                  | On Loan: No      |
| MPLX LP                                         | SR UNSECURED 12/24 4.875      | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       90000 | PA      | $89309.17     | 0.02%             | 2024-12-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| MPLX LP                                         | SR UNSECURED 04/38 4.5        | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       70000 | PA      | $59282.26     | 0.01%             | 2038-04-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| MPLX LP                                         | SR UNSECURED 04/48 4.7        | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      210000 | PA      | $166730.29    | 0.04%             | 2048-04-15      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| MPLX LP                                         | SR UNSECURED 02/29 4.8        | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      190000 | PA      | $182277.99    | 0.04%             | 2029-02-15      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| MPLX LP                                         | SR UNSECURED 02/49 5.5        | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      100000 | PA      | $88525.87     | 0.02%             | 2049-02-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| MPT OPER PARTNERSP/FINL                         | COMPANY GUAR 08/29 4.625      | CUSIP: 55342UAJ3<br>LEI: 254900U6E39J1MQCCY14 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7625.85      | 0.00%             | 2029-08-01      | Fixed         | 4.62%                 | No            | 2                  | On Loan: —       |
| MPT OPER PARTNERSP/FINL                         | COMPANY GUAR 03/31 3.5        | CUSIP: 55342UAM6<br>LEI: WUQXXXF7PXTUPGROE843 | Long             | DBT              | CORP              | US        |      110000 | PA      | $75403.19     | 0.02%             | 2031-03-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: —       |
| MPT OPER PARTNERSP/FINL                         | COMPANY GUAR 10/27 5          | CUSIP: 55342UAH7<br>LEI: WUQXXXF7PXTUPGROE843 | Long             | DBT              | CORP              | US        |       30000 | PA      | $25215.90     | 0.01%             | 2027-10-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: —       |
| MTN COMMERCIAL MORTGAGE TRUST                   | MTN 2022 LPFL A 144A          | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      190000 | PA      | $184947.94    | 0.04%             | 2039-03-15      | Floating      | 5.73%                 | Yes           | 2                  | On Loan: No      |
| NATIONAL SECS CLEARING                          | SR UNSECURED 144A 04/25 1.5   | CUSIP: 637639AB1<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |      250000 | PA      | $231914.89    | 0.05%             | 2025-04-23      | Fixed         | 1.50%                 | Yes           | 2                  | On Loan: No      |
| NATWEST GROUP PLC                               | SR UNSECURED 06/24 VAR        | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $198166.80    | 0.05%             | 2024-06-25      | Fixed         | 4.52%                 | No            | 2                  | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                      | NAVSL 2020 IA A1A 144A        | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      385809 | PA      | $327226.93    | 0.08%             | 2069-04-15      | Fixed         | 1.33%                 | Yes           | 2                  | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN                   | NRZT 2017 4A A1 144A          | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      223504 | PA      | $207147.22    | 0.05%             | 2057-05-25      | Floating      | 4.00%                 | Yes           | 2                  | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN                   | NRZT 2018 RPL1 M2 144A        | CUSIP: 64829VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      730000 | PA      | $577819.89    | 0.13%             | 2057-12-25      | Floating      | 3.50%                 | Yes           | 2                  | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                        | SR SECURED 144A 06/25 0.95    | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |      100000 | PA      | $90620.13     | 0.02%             | 2025-06-24      | Fixed         | 0.95%                 | Yes           | 2                  | On Loan: No      |
| NEXSTAR BROADCASTING INC                        | 2019 TERM LOAN B4             | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |      190766 | PA      | $189001.42    | 0.04%             | 2026-09-18      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| NIKE INC                                        | SR UNSECURED 03/30 2.85       | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      280000 | PA      | $250866.91    | 0.06%             | 2030-03-27      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| NIKE INC                                        | SR UNSECURED 03/40 3.25       | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      130000 | PA      | $105924.54    | 0.02%             | 2040-03-27      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| NIKE INC                                        | SR UNSECURED 03/50 3.375      | CUSIP: 654106AM5<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31498.99     | 0.01%             | 2050-03-27      | Fixed         | 3.38%                 | No            | 2                  | On Loan: —       |
| NISSAN MOTOR CO                                 | SR UNSECURED 144A 09/23 3.043 | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $195947.00    | 0.05%             | 2023-09-15      | Fixed         | 3.04%                 | Yes           | 2                  | On Loan: No      |
| NISSAN MOTOR CO                                 | SR UNSECURED 144A 09/25 3.522 | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      410000 | PA      | $381184.35    | 0.09%             | 2025-09-17      | Fixed         | 3.52%                 | Yes           | 2                  | On Loan: No      |
| NISSAN MOTOR CO                                 | SR UNSECURED 144A 09/27 4.345 | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      300000 | PA      | $272318.62    | 0.06%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           | 2                  | On Loan: No      |
| NORTHROP GRUMMAN CORP                           | SR UNSECURED 01/25 2.93       | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      160000 | PA      | $153556.47    | 0.04%             | 2025-01-15      | Fixed         | 2.93%                 | No            | 2                  | On Loan: No      |
| NORTHROP GRUMMAN CORP                           | SR UNSECURED 01/28 3.25       | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      290000 | PA      | $267920.85    | 0.06%             | 2028-01-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| NORTHROP GRUMMAN CORP                           | SR UNSECURED 05/50 5.25       | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      160000 | PA      | $158789.25    | 0.04%             | 2050-05-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| NVIDIA CORP                                     | SR UNSECURED 04/30 2.85       | CUSIP: 67066GAF1<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |       90000 | PA      | $78592.58     | 0.02%             | 2030-04-01      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| NVIDIA CORP                                     | SR UNSECURED 04/40 3.5        | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      240000 | PA      | $195587.38    | 0.05%             | 2040-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| NVIDIA CORP                                     | SR UNSECURED 04/50 3.5        | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      170000 | PA      | $128742.80    | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| NVIDIA CORP                                     | SR UNSECURED 04/60 3.7        | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      170000 | PA      | $126519.11    | 0.03%             | 2060-04-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                          | COMPANY GUAR 05/25 2.7        | CUSIP: 62954HAW8<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |      120000 | PA      | $113033.40    | 0.03%             | 2025-05-01      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | SR UNSECURED 06/45 4.625      | CUSIP: 674599CF0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       80000 | PA      | $64255.30     | 0.01%             | 2045-06-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | SR UNSECURED 04/46 4.4        | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31240.80     | 0.01%             | 2046-04-15      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | SR UNSECURED 03/46 6.6        | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      630000 | PA      | $648263.70    | 0.15%             | 2046-03-15      | Fixed         | 6.60%                 | No            | 2                  | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                        | SR UNSECURED 144A 06/31 3.75  | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      260000 | PA      | $217360.00    | 0.05%             | 2031-06-23      | Fixed         | 3.75%                 | Yes           | 2                  | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                        | SR UNSECURED 144A 06/51 5.125 | CUSIP: 67091TAE5<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      220000 | PA      | $166400.96    | 0.04%             | 2051-06-23      | Fixed         | 5.12%                 | Yes           | 2                  | On Loan: No      |
| OPEN TEXT HOLDINGS INC                          | COMPANY GUAR 144A 02/30 4.125 | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $8046.51      | 0.00%             | 2030-02-15      | Fixed         | 4.12%                 | Yes           | 2                  | On Loan: No      |
| OPEN TEXT HOLDINGS INC                          | COMPANY GUAR 144A 12/31 4.125 | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $7772.95      | 0.00%             | 2031-12-01      | Fixed         | 4.12%                 | Yes           | 2                  | On Loan: No      |
| ORACLE CORP                                     | SR UNSECURED 04/30 2.95       | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17136.62     | 0.00%             | 2030-04-01      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| ORACLE CORP                                     | SR UNSECURED 03/26 1.65       | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      300000 | PA      | $269150.88    | 0.06%             | 2026-03-25      | Fixed         | 1.65%                 | No            | 2                  | On Loan: No      |
| ORACLE CORP                                     | SR UNSECURED 03/31 2.875      | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      350000 | PA      | $291214.42    | 0.07%             | 2031-03-25      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| ORBIA ADVANCE CORP SAB                          | COMPANY GUAR 144A 05/31 2.875 | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      490000 | PA      | $382812.50    | 0.09%             | 2031-05-11      | Fixed         | 2.88%                 | Yes           | 2                  | On Loan: No      |
| OTIS WORLDWIDE CORP                             | SR UNSECURED 04/25 2.056      | CUSIP: 68902VAH0<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |      140000 | PA      | $131085.82    | 0.03%             | 2025-04-05      | Fixed         | 2.06%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS + ELECTRIC                          | 1ST MORTGAGE 08/50 3.5        | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       80000 | PA      | $50553.63     | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS + ELECTRIC                          | 1ST MORTGAGE 08/27 2.1        | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      140000 | PA      | $119637.02    | 0.03%             | 2027-08-01      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS + ELECTRIC                          | 1ST MORTGAGE 02/31 2.5        | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31255.49     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS + ELECTRIC                          | 1ST MORTGAGE 08/40 3.3        | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       50000 | PA      | $34043.45     | 0.01%             | 2040-08-01      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| PARK AEROSPACE HOLDINGS                         | COMPANY GUAR 144A 02/24 5.5   | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |       50000 | PA      | $49362.97     | 0.01%             | 2024-02-15      | Fixed         | 5.50%                 | Yes           | 2                  | On Loan: No      |
| PARK AEROSPACE HOLDINGS                         | COMPANY GUAR 144A 03/23 4.5   | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |       10000 | PA      | $9975.32      | 0.00%             | 2023-03-15      | Fixed         | 4.50%                 | Yes           | 2                  | On Loan: No      |
| PAYPAL HOLDINGS INC                             | SR UNSECURED 06/25 1.65       | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |      270000 | PA      | $250441.54    | 0.06%             | 2025-06-01      | Fixed         | 1.65%                 | No            | 2                  | On Loan: No      |
| PCI GAMING AUTHORITY                            | TERM LOAN                     | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |      258892 | PA      | $256950.62    | 0.06%             | 2026-05-29      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| PEPSICO INC                                     | SR UNSECURED 05/30 1.625      | CUSIP: 713448EZ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      170000 | PA      | $139005.11    | 0.03%             | 2030-05-01      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| PERATON CORP                                    | TERM LOAN B                   | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |      273963 | PA      | $267056.15    | 0.06%             | 2028-02-01      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                        | COMPANY GUAR 01/28 5.999      | CUSIP: 71647NAY5<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      780000 | PA      | $775398.00    | 0.18%             | 2028-01-27      | Fixed         | 6.00%                 | No            | 2                  | On Loan: —       |
| PETROLEOS MEXICANOS                             | COMPANY GUAR 06/35 6.625      | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      303000 | PA      | $219947.91    | 0.05%             | 2035-06-15      | Fixed         | 6.62%                 | No            | 2                  | On Loan: —       |
| PETROLEOS MEXICANOS                             | COMPANY GUAR 01/45 6.375      | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      220000 | PA      | $136317.94    | 0.03%             | 2045-01-23      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| PETROLEOS MEXICANOS                             | COMPANY GUAR 08/26 6.875      | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      160000 | PA      | $151124.08    | 0.03%             | 2026-08-04      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| PFCA HOME EQUITY INVESTMENT TR                  | PFCA 2003 IFC6 A 144A         | CUSIP: 717060AH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      380671 | PA      | $354738.83    | 0.08%             | 2035-04-22      | Fixed         | 4.77%                 | No            | 2                  | On Loan: No      |
| PFIZER INC                                      | SR UNSECURED 05/30 1.7        | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      340000 | PA      | $280259.53    | 0.06%             | 2030-05-28      | Fixed         | 1.70%                 | No            | 2                  | On Loan: —       |
| PFP III                                         | PFP 2021 8 A 144A             | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      659278 | PA      | $628408.88    | 0.14%             | 2037-08-09      | Floating      | 5.33%                 | Yes           | 2                  | On Loan: No      |
| PHILIP MORRIS INTL INC                          | SR UNSECURED 05/30 2.1        | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32460.14     | 0.01%             | 2030-05-01      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| PHILIP MORRIS INTL INC                          | SR UNSECURED 05/23 1.125      | CUSIP: 718172CQ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      190000 | PA      | $187641.42    | 0.04%             | 2023-05-01      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| PHILIP MORRIS INTL INC                          | SR UNSECURED 03/42 4.5        | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       80000 | PA      | $67867.83     | 0.02%             | 2042-03-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| PHOENIX GUARANTOR INC                           | 2020 TERM LOAN B              | CUSIP: 71913BAE2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      487403 | PA      | $455823.83    | 0.10%             | 2026-03-05      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| PIONEER NATURAL RESOURCE                        | SR UNSECURED 01/31 2.15       | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      190000 | PA      | $151167.68    | 0.03%             | 2031-01-15      | Fixed         | 2.15%                 | No            | 2                  | On Loan: No      |
| PIONEER NATURAL RESOURCE                        | SR UNSECURED 01/26 1.125      | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |       40000 | PA      | $35690.95     | 0.01%             | 2026-01-15      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| PRIME MORTGAGE TRUST                            | PRIME 2006 DR1 1A1 144A       | CUSIP: 74159UAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4478 | PA      | $4364.58      | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | Yes           | 2                  | On Loan: No      |
| PRIME MORTGAGE TRUST                            | PRIME 2006 DR1 2A2 144A       | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      479138 | PA      | $408056.77    | 0.09%             | 2035-05-25      | Fixed         | 6.00%                 | Yes           | 2                  | On Loan: No      |
| PRIME SECURITY SERV BOROWR LLC                  | 2021 TERM LOAN                | CUSIP: 03765VAK6<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |      281904 | PA      | $279113.59    | 0.06%             | 2026-09-23      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| PRINCIPAL LFE GLB FND II                        | SECURED 144A 06/25 1.25       | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |      110000 | PA      | $100121.03    | 0.02%             | 2025-06-23      | Fixed         | 1.25%                 | Yes           | 2                  | On Loan: No      |
| PROCTER + GAMBLE CO/THE                         | SR UNSECURED 03/30 3          | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |      100000 | PA      | $91423.70     | 0.02%             | 2030-03-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| PROSUS NV                                       | SR UNSECURED 144A 08/50 4.027 | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      310000 | PA      | $194699.96    | 0.04%             | 2050-08-03      | Fixed         | 4.03%                 | Yes           | 2                  | On Loan: No      |
| PROSUS NV                                       | SR UNSECURED 144A 02/51 3.832 | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      210000 | PA      | $127755.87    | 0.03%             | 2051-02-08      | Fixed         | 3.83%                 | Yes           | 2                  | On Loan: No      |
| PROSUS NV                                       | SR UNSECURED 144A 07/31 3.061 | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      570000 | PA      | $441027.67    | 0.10%             | 2031-07-13      | Fixed         | 3.06%                 | Yes           | 2                  | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                        | SR UNSECURED 144A 09/37 VAR   | CUSIP: ACI208T77<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | CORP              | AR        |      540019 | PA      | $186306.56    | 0.04%             | 2037-09-01      | Variable      | 6.62%                 | Yes           | 2                  | On Loan: No      |
| RACKSPACE TECHNOLOGY GLOBAL                     | 2021 TERM LOAN B              | CUSIP: 75009XAB6<br>LEI: 549300QTYCKLMFSE8I97 | Long             | LON              | CORP              | US        |      432201 | PA      | $268552.26    | 0.06%             | 2028-02-15      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| RAYTHEON TECH CORP                              | SR UNSECURED 07/30 2.25       | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      110000 | PA      | $91826.90     | 0.02%             | 2030-07-01      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| RAYTHEON TECH CORP                              | SR UNSECURED 06/42 4.5        | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       80000 | PA      | $72518.66     | 0.02%             | 2042-06-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| RAYTHEON TECH CORP                              | SR UNSECURED 11/28 4.125      | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      160000 | PA      | $153447.64    | 0.04%             | 2028-11-16      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| RBSSP RESECURITIZATION TRUST                    | RBSSP 2010 4 6A2 144A         | CUSIP: 74927DAM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      646546 | PA      | $615137.80    | 0.14%             | 2036-02-26      | Floating      | 5.83%                 | Yes           | 2                  | On Loan: No      |
| RELIANCE INDUSTRIES LTD                         | SR UNSECURED 144A 01/52 3.625 | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |      330000 | PA      | $218168.27    | 0.05%             | 2052-01-12      | Fixed         | 3.62%                 | Yes           | 2                  | On Loan: No      |
| REPUBLIC OF ARGENTINA                           | SR UNSECURED 07/35 VAR        | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     1927319 | PA      | $488562.84    | 0.11%             | 2035-07-09      | Variable      | 1.50%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF ARGENTINA                           | SR UNSECURED 07/41 VAR        | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      110000 | PA      | $31017.33     | 0.01%             | 2041-07-09      | Variable      | 3.50%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF COLOMBIA                            | SR UNSECURED 02/42 4.125      | CUSIP: 195325EA9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      440000 | PA      | $276062.60    | 0.06%             | 2042-02-22      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF COLOMBIA                            | SR UNSECURED 04/32 3.25       | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      430000 | PA      | $312616.44    | 0.07%             | 2032-04-22      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF INDONESIA                           | SR UNSECURED REGS 01/45 5.125 | CUSIP: Y20721BM0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      220000 | PA      | $212314.77    | 0.05%             | 2045-01-15      | Fixed         | 5.12%                 | Yes           | 2                  | On Loan: No      |
| REPUBLIC OF KENYA                               | SR UNSECURED 144A 01/34 6.3   | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      370000 | PA      | $284160.00    | 0.07%             | 2034-01-23      | Fixed         | 6.30%                 | Yes           | 2                  | On Loan: No      |
| REPUBLIC OF NIGERIA                             | SR UNSECURED 144A 02/30 7.143 | CUSIP: 65412JAD5<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      210000 | PA      | $160578.60    | 0.04%             | 2030-02-23      | Fixed         | 7.14%                 | Yes           | 2                  | On Loan: No      |
| REPUBLIC OF PANAMA                              | SR UNSECURED 04/56 4.5        | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      350000 | PA      | $254782.94    | 0.06%             | 2056-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF PERU                                | SR UNSECURED 03/37 6.55       | CUSIP: 715638AU6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      210000 | PA      | $220616.89    | 0.05%             | 2037-03-14      | Fixed         | 6.55%                 | No            | 2                  | On Loan: No      |
| REPUBLIC SERVICES INC                           | SR UNSECURED 08/24 2.5        | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |      230000 | PA      | $220502.09    | 0.05%             | 2024-08-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Repurchase Agreement                            | FIXED INC CLEARING CORP.REPO  | CUSIP: 85748R009<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |     8365075 | PA      | $8365075.07   | 1.93%             |  |  |  | No            | 1                  | On Loan: No      |
| REYNOLDS AMERICAN INC                           | COMPANY GUAR 08/45 5.85       | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      110000 | PA      | $94228.67     | 0.02%             | 2045-08-15      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| ROYAL BANK OF CANADA                            | SR UNSECURED 04/23 1.6        | CUSIP: 78015K7G3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       30000 | PA      | $29740.13     | 0.01%             | 2023-04-17      | Fixed         | 1.60%                 | No            | 2                  | On Loan: No      |
| ROYAL BANK OF CANADA                            | SR UNSECURED 06/25 1.15       | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      310000 | PA      | $283981.47    | 0.07%             | 2025-06-10      | Fixed         | 1.15%                 | No            | 2                  | On Loan: No      |
| ROYAL BANK OF CANADA                            | SR UNSECURED 05/32 3.875      | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       40000 | PA      | $36549.48     | 0.01%             | 2032-05-04      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| RUSSIA GOVT BOND   OFZ                          | BONDS 05/34 7.25              | CUSIP: ACI116PV3<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    60500000 | PA      | $221491.53    | 0.05%             | 2034-05-10      | Fixed         | 0.00%                 | No            | 2                  | On Loan: No      |
| RUSSIA GOVT BOND   OFZ                          | BONDS 05/29 6.9               | CUSIP: ACI11WJ43<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   128828000 | PA      | $471641.49    | 0.11%             | 2029-05-23      | Fixed         | 0.00%                 | No            | 2                  | On Loan: No      |
| RUSSIA GOVT BOND   OFZ                          | BONDS 03/39 7.7               | CUSIP: ACI1CRWV7<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    86260000 | PA      | $315799.32    | 0.07%             | 2039-03-16      | Fixed         | 0.00%                 | No            | 2                  | On Loan: No      |
| SALESFORCE INC                                  | SR UNSECURED 04/23 3.25       | CUSIP: 79466LAE4<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |       60000 | PA      | $59783.66     | 0.01%             | 2023-04-11      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| SALESFORCE INC                                  | SR UNSECURED 04/28 3.7        | CUSIP: 79466LAF1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48050.53     | 0.01%             | 2028-04-11      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| SANDS CHINA LTD                                 | SR UNSECURED 08/25 5.625      | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      750000 | PA      | $718387.70    | 0.17%             | 2025-08-08      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| SANDS CHINA LTD                                 | SR UNSECURED 01/26 4.3        | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      280000 | PA      | $258381.47    | 0.06%             | 2026-01-08      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| SANTANDER HOLDINGS USA                          | SR UNSECURED 07/25 4.5        | CUSIP: 80282KAE6<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48947.32     | 0.01%             | 2025-07-17      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| SAXON ASSET SECURITIES TRUST                    | SAST 2006 3 A4                | CUSIP: 80556AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      440000 | PA      | $372734.25    | 0.09%             | 2046-10-25      | Floating      | 4.63%                 | No            | 2                  | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                         | SR UNSECURED 144A 05/28 3.9   | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |       31000 | PA      | $28934.45     | 0.01%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           | 2                  | On Loan: No      |
| SCIENTIFIC GAMES INTL INC                       | 2022 USD TERM LOAN            | CUSIP: 80875AAT8<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |      238800 | PA      | $234962.48    | 0.05%             | 2029-04-14      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| SHELL INTERNATIONAL FIN                         | COMPANY GUAR 08/43 4.55       | CUSIP: 822582AY8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $90622.15     | 0.02%             | 2043-08-12      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| SHELL INTERNATIONAL FIN                         | COMPANY GUAR 05/46 4          | CUSIP: 822582BQ4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      180000 | PA      | $147744.39    | 0.03%             | 2046-05-10      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| SHELL INTERNATIONAL FIN                         | COMPANY GUAR 05/26 2.875      | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      130000 | PA      | $122632.18    | 0.03%             | 2026-05-10      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| SHELL INTERNATIONAL FIN                         | COMPANY GUAR 04/30 2.75       | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      160000 | PA      | $140627.12    | 0.03%             | 2030-04-06      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| SHELL INTERNATIONAL FIN                         | COMPANY GUAR 04/50 3.25       | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      230000 | PA      | $166209.83    | 0.04%             | 2050-04-06      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| SHOPS AT CRYSTALS TRUST 2016 C                  | SHOPS 2016 CSTL A 144A        | CUSIP: 82510WAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      320000 | PA      | $277551.04    | 0.06%             | 2036-07-05      | Fixed         | 3.13%                 | Yes           | 2                  | On Loan: No      |
| SINOPEC GRP OVERSEA 2014                        | COMPANY GUAR 144A 04/24 4.375 | CUSIP: 82937WAE5<br>LEI: 549300ZIMV82UUECOQ45 | Long             | DBT              | CORP              | VG        |      330000 | PA      | $327545.11    | 0.08%             | 2024-04-10      | Fixed         | 4.38%                 | Yes           | 2                  | On Loan: No      |
| SLM STUDENT LOAN TRUST                          | SLMA 2003 7A A5A 144A         | CUSIP: 78442GHH2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      305484 | PA      | $298144.06    | 0.07%             | 2033-12-15      | Floating      | 5.97%                 | Yes           | 2                  | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION                   | SBAP 2019 20D 1               | CUSIP: 83162CB51<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      134852 | PA      | $124021.24    | 0.03%             | 2039-04-01      | Fixed         | 2.98%                 | No            | 2                  | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION                   | SBAP 2019 25G 1               | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      203018 | PA      | $172880.01    | 0.04%             | 2044-07-01      | Fixed         | 2.69%                 | No            | 2                  | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU                  | SMB 2021 A B 144A             | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      600000 | PA      | $504188.70    | 0.12%             | 2053-01-15      | Fixed         | 2.31%                 | Yes           | 2                  | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU                  | SMB 2020 A A2A 144A           | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      436001 | PA      | $397275.26    | 0.09%             | 2037-09-15      | Fixed         | 2.23%                 | Yes           | 2                  | On Loan: No      |
| SOFR 1YR MIDCURVE JAN23P 95.62                  | EXP 01/13/2023                | CUSIP: ADI2BJ641<br>LEI: N/A                  | N/A              | DIR              |  | US        |         104 | NC      | $13650.00     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| SOFR 1YR MIDCURVE JAN23P 95.87                  | EXP 01/13/2023                | CUSIP: ADI2BKVL2<br>LEI: N/A                  | N/A              | DIR              |  | US        |         107 | NC      | $38787.50     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| SOLIS IV BV                                     | USD TERM LOAN B1              | CUSIP: N8137FAB6<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |      368150 | PA      | $322458.90    | 0.07%             | 2029-02-26      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| SOTERA HEALTH HOLDINGS LLC                      | 2021 TERM LOAN                | CUSIP: 83600VAE1<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |      260000 | PA      | $239200.00    | 0.06%             | 2026-12-11      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| SOUTHERN COPPER CORP                            | SR UNSECURED 11/42 5.25       | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |     1230000 | PA      | $1173161.80   | 0.27%             | 2042-11-08      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| SOUTHERN NATURAL GAS                            | SR UNSECURED 03/32 8          | CUSIP: 843452AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      148000 | PA      | $162827.21    | 0.04%             | 2032-03-01      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| SOUTHWESTERN ENERGY CO                          | COMPANY GUAR 03/30 5.375      | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18240.38     | 0.00%             | 2030-03-15      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| SOUTHWESTERN ENERGY CO                          | COMPANY GUAR 02/32 4.75       | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       60000 | PA      | $51275.40     | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: —       |
| SPIRIT LOYALTY KY LTD/IP                        | SR SECURED 144A 09/25 8       | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      240000 | PA      | $240772.80    | 0.06%             | 2025-09-20      | Fixed         | 8.00%                 | Yes           | 2                  | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                        | SR SECURED 144A 09/25 8       | CUSIP: 84859BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $251282.50    | 0.06%             | 2025-09-20      | Fixed         | 8.00%                 | Yes           | 2                  | On Loan: —       |
| SPRINT CAPITAL CORP                             | COMPANY GUAR 03/32 8.75       | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |       20000 | PA      | $23802.00     | 0.01%             | 2032-03-15      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                        | SR SECURED 144A 03/25 4.738   | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      123750 | PA      | $122339.78    | 0.03%             | 2025-03-20      | Fixed         | 4.74%                 | Yes           | 2                  | On Loan: No      |
| STARBUCKS CORP                                  | SR UNSECURED 11/30 2.55       | CUSIP: 855244AZ2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |      990000 | PA      | $834872.34    | 0.19%             | 2030-11-15      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| STATE OF ISRAEL                                 | SR UNSECURED 07/30 2.75       | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      310000 | PA      | $281247.50    | 0.06%             | 2030-07-03      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| State Street Navigator Securities Lending Trust | Prime Portfolio               | CUSIP: 638995910<br>LEI: 5493005HD34MZLK62085 | Long             | STIV             | RF                | US        |     9365725 | NS      | $9365725.00   | 2.16%             |  |  |  | No            | 1                  | On Loan: No      |
| STATION CASINOS LLC                             | 2020 TERM LOAN B              | CUSIP: 85769EAZ4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      461492 | PA      | $449714.41    | 0.10%             | 2027-02-08      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| STRIP PRINC                                     | 05/49 0.00000                 | CUSIP: 912803FJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1450000 | PA      | $516210.15    | 0.12%             | 2049-05-15      | None          | 0.01%                 | No            | 2                  | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MOR                  | SARM 2006 7 1A1               | CUSIP: 86361BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      156050 | PA      | $109030.62    | 0.03%             | 2036-08-25      | Floating      | 3.51%                 | No            | 2                  | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LO                  | SAIL 2004 8 A9                | CUSIP: 86358ELT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      597120 | PA      | $583184.92    | 0.13%             | 2034-09-25      | Floating      | 5.39%                 | No            | 2                  | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVE                  | SAMI 2005 AR7 4A1             | CUSIP: 86359LQM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      167660 | PA      | $156693.10    | 0.04%             | 2046-03-25      | Floating      | 4.20%                 | No            | 2                  | On Loan: No      |
| SUZANO AUSTRIA GMBH                             | COMPANY GUAR 01/31 3.75       | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      430000 | PA      | $360908.42    | 0.08%             | 2031-01-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| SUZANO AUSTRIA GMBH                             | COMPANY GUAR 01/32 3.125      | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |       80000 | PA      | $62373.69     | 0.01%             | 2032-01-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| SWS031724 IRS MXN R F  7.45000                  | 7.45%   18 Jul 2029           | CUSIP: 99S19WBX7<br>LEI: N/A                  | N/A              | DIR              |  | US        |    88370000 | PA      | $-290920.08   | -0.07%            |  |  |  | No            | 2                  | On Loan: No      |
| SWS075507 CDS USD R F  1.00000                  | 1%   20 Dec 2027              | CUSIP: 99S1U8N39<br>LEI: N/A                  | N/A              | DCR              |  | US        |    54179000 | PA      | $433215.28    | 0.10%             |  |  |  | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 01/53 5.65       | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1232000 | PA      | $1202393.20   | 0.28%             | 2053-01-15      | Fixed         | 5.65%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 04/25 3.5        | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      350000 | PA      | $336815.58    | 0.08%             | 2025-04-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 04/27 3.75       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47158.66     | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 04/30 3.875      | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      190000 | PA      | $172559.92    | 0.04%             | 2030-04-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 02/41 3          | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       60000 | PA      | $42400.73     | 0.01%             | 2041-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 02/51 3.3        | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       20000 | PA      | $13355.04     | 0.00%             | 2051-02-15      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 02/26 2.25       | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       70000 | PA      | $63654.47     | 0.01%             | 2026-02-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 02/29 2.625      | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      230000 | PA      | $194792.25    | 0.04%             | 2029-02-15      | Fixed         | 2.62%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 02/31 2.875      | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      170000 | PA      | $140408.08    | 0.03%             | 2031-02-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 04/29 3.375      | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       70000 | PA      | $61646.27     | 0.01%             | 2029-04-15      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 04/31 3.5        | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      440000 | PA      | $379802.94    | 0.09%             | 2031-04-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 11/31 2.25       | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       70000 | PA      | $55240.46     | 0.01%             | 2031-11-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| T MOBILE USA INC                                | COMPANY GUAR 02/31 2.55       | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      130000 | PA      | $106589.34    | 0.02%             | 2031-02-15      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| TACO BELL FUNDING, LLC                          | BELL 2021 1A A23 144A         | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3960000 | PA      | $3031657.99   | 0.70%             | 2051-08-25      | Fixed         | 2.54%                 | Yes           | 2                  | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                         | COMPANY GUAR 144A 12/30 6     | CUSIP: 87470LAJ0<br>LEI: 549300IQ3DN0F3VERF65 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8647.30      | 0.00%             | 2030-12-31      | Fixed         | 6.00%                 | Yes           | 2                  | On Loan: No      |
| TARGA RESOURCES CORP                            | COMPANY GUAR 02/33 4.2        | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      100000 | PA      | $86357.16     | 0.02%             | 2033-02-01      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| TARGA RESOURCES CORP                            | COMPANY GUAR 04/52 4.95       | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31818.44     | 0.01%             | 2052-04-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| TARGA RESOURCES PARTNERS                        | COMPANY GUAR 02/31 4.875      | CUSIP: 87612BBS0<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |      130000 | PA      | $116683.19    | 0.03%             | 2031-02-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| TARGET CORP                                     | SR UNSECURED 04/25 2.25       | CUSIP: 87612EBL9<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |      110000 | PA      | $104373.49    | 0.02%             | 2025-04-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| TEACHERS INSUR + ANNUITY                        | SUBORDINATED 144A 12/39 6.85  | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |       22000 | PA      | $24335.00     | 0.01%             | 2039-12-16      | Fixed         | 6.85%                 | Yes           | 2                  | On Loan: No      |
| TEACHERS INSUR + ANNUITY                        | SUBORDINATED 144A 09/44 4.9   | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45984.38     | 0.01%             | 2044-09-15      | Fixed         | 4.90%                 | Yes           | 2                  | On Loan: No      |
| TECK RESOURCES LIMITED                          | SR UNSECURED 08/40 6          | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $19182.29     | 0.00%             | 2040-08-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| TELEFONICA EMISIONES SAU                        | COMPANY GUAR 03/47 5.213      | CUSIP: 87938WAU7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |      150000 | PA      | $121204.34    | 0.03%             | 2047-03-08      | Fixed         | 5.21%                 | No            | 2                  | On Loan: No      |
| TENCENT HOLDINGS LTD                            | SR UNSECURED 144A 04/51 3.84  | CUSIP: 88032WBC9<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |      320000 | PA      | $228425.26    | 0.05%             | 2051-04-22      | Fixed         | 3.84%                 | Yes           | 2                  | On Loan: No      |
| TENET HEALTHCARE CORP                           | SR SECURED 144A 01/30 4.375   | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8655.65      | 0.00%             | 2030-01-15      | Fixed         | 4.38%                 | Yes           | 2                  | On Loan: No      |
| TENNESSEE GAS PIPELINE                          | COMPANY GUAR 144A 03/30 2.9   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $168044.61    | 0.04%             | 2030-03-01      | Fixed         | 2.90%                 | Yes           | 2                  | On Loan: No      |
| TEVA PHARMACEUTICALS NE                         | COMPANY GUAR 10/26 3.15       | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      900000 | PA      | $787050.00    | 0.18%             | 2026-10-01      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| TEVA PHARMACEUTICALS NE                         | COMPANY GUAR 04/24 6          | CUSIP: 88167AAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      350000 | PA      | $343029.01    | 0.08%             | 2024-04-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| TEVA PHARMACEUTICALS NE                         | COMPANY GUAR 01/25 7.125      | CUSIP: 88167AAN1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      390000 | PA      | $387812.10    | 0.09%             | 2025-01-31      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| TEXAS INSTRUMENTS INC                           | SR UNSECURED 05/30 1.75       | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |      110000 | PA      | $90762.30     | 0.02%             | 2030-05-04      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| TIME WARNER CABLE ENTRMN                        | SR SECURED 07/33 8.375        | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $22287.78     | 0.01%             | 2033-07-15      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| TIME WARNER CABLE LLC                           | SR SECURED 05/37 6.55         | CUSIP: 88732JAJ7<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47795.10     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            | 2                  | On Loan: No      |
| TIME WARNER CABLE LLC                           | SR SECURED 07/38 7.3          | CUSIP: 88732JAN8<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99474.73     | 0.02%             | 2038-07-01      | Fixed         | 7.30%                 | No            | 2                  | On Loan: No      |
| TIME WARNER CABLE LLC                           | SR SECURED 06/39 6.75         | CUSIP: 88732JAU2<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |      120000 | PA      | $113840.43    | 0.03%             | 2039-06-15      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| TORONTO DOMINION BANK                           | SR UNSECURED 06/25 1.15       | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      300000 | PA      | $273662.63    | 0.06%             | 2025-06-12      | Fixed         | 1.15%                 | No            | 2                  | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                       | TPMT 2017 4 B2 144A           | CUSIP: 89173UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      740000 | PA      | $541953.50    | 0.12%             | 2057-06-25      | Floating      | 3.46%                 | Yes           | 2                  | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                       | TPMT 2022 4 A1 144A           | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      419473 | PA      | $389989.47    | 0.09%             | 2062-09-25      | Fixed         | 3.75%                 | Yes           | 2                  | On Loan: No      |
| TRANSCONT GAS PIPE LINE                         | SR UNSECURED 02/26 7.85       | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $64096.24     | 0.01%             | 2026-02-01      | Fixed         | 7.85%                 | No            | 2                  | On Loan: No      |
| TRITON WATER HOLDINGS, INC.                     | TERM LOAN                     | CUSIP: 89678QAB2<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | LON              | CORP              | US        |      482651 | PA      | $447175.80    | 0.10%             | 2028-03-31      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| TTAN                                            | TTN 2021 MHC A 144A           | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      463810 | PA      | $449334.19    | 0.10%             | 2038-03-15      | Floating      | 5.17%                 | Yes           | 2                  | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                   | UBSCM 2017 C1 A4              | CUSIP: 90276EAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      170000 | PA      | $156639.07    | 0.04%             | 2050-06-15      | Fixed         | 3.46%                 | No            | 2                  | On Loan: No      |
| UBS GROUP AG                                    | SR UNSECURED 144A 03/28 4.253 | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      340000 | PA      | $317955.96    | 0.07%             | 2028-03-23      | Fixed         | 4.25%                 | Yes           | 2                  | On Loan: No      |
| UBS GROUP AG                                    | JR SUBORDINA 144A 12/99 VAR   | CUSIP: 90352JAF0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      500000 | PA      | $491997.96    | 0.11%             | 2099-12-31      | Fixed         | 7.00%                 | Yes           | 2                  | On Loan: No      |
| UNION PACIFIC CORP                              | SR UNSECURED 02/27 2.15       | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45211.16     | 0.01%             | 2027-02-05      | Fixed         | 2.15%                 | No            | 2                  | On Loan: No      |
| UNION PACIFIC CORP                              | SR UNSECURED 02/70 3.75       | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      150000 | PA      | $110011.14    | 0.03%             | 2070-02-05      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| UNION PACIFIC CORP                              | SR UNSECURED 04/36 2.891      | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      270000 | PA      | $215630.33    | 0.05%             | 2036-04-06      | Fixed         | 2.89%                 | No            | 2                  | On Loan: No      |
| UNION PACIFIC CORP                              | SR UNSECURED 07/25 3.75       | CUSIP: 907818ES3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68072.86     | 0.02%             | 2025-07-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| UNION PACIFIC CORP                              | SR UNSECURED 03/60 3.839      | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      120000 | PA      | $93502.61     | 0.02%             | 2060-03-20      | Fixed         | 3.84%                 | No            | 2                  | On Loan: No      |
| UNITED AIRLINES INC                             | SR SECURED 144A 04/26 4.375   | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |       80000 | PA      | $74154.08     | 0.02%             | 2026-04-15      | Fixed         | 4.38%                 | Yes           | 2                  | On Loan: No      |
| UNITED AIRLINES INC                             | SR SECURED 144A 04/29 4.625   | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      290000 | PA      | $252501.75    | 0.06%             | 2029-04-15      | Fixed         | 4.62%                 | Yes           | 2                  | On Loan: No      |
| UNITED AIRLINES, INC.                           | 2021 TERM LOAN B              | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |      481302 | PA      | $474351.86    | 0.11%             | 2028-04-21      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| UNITED MEXICAN STATES                           | SR UNSECURED 03/44 4.75       | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      830000 | PA      | $669000.53    | 0.15%             | 2044-03-08      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| UNITED RENTALS NORTH AM                         | COMPANY GUAR 02/31 3.875      | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16765.80     | 0.00%             | 2031-02-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| UNITED RENTALS NORTH AM                         | SECURED 11/27 3.875           | CUSIP: 911365BM5<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       60000 | PA      | $55529.40     | 0.01%             | 2027-11-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| UNITED RENTALS NORTH AM                         | COMPANY GUAR 01/32 3.75       | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       80000 | PA      | $65266.40     | 0.02%             | 2032-01-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 05/60 3.125      | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       30000 | PA      | $20519.63     | 0.00%             | 2060-05-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 03/36 5.8        | CUSIP: 91324PAR3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       70000 | PA      | $74106.84     | 0.02%             | 2036-03-15      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 05/31 2.3        | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16702.04     | 0.00%             | 2031-05-15      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 06/48 4.25       | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      110000 | PA      | $95681.42     | 0.02%             | 2048-06-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 05/29 4          | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95545.01     | 0.02%             | 2029-05-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 12/28 3.875      | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      110000 | PA      | $105113.25    | 0.02%             | 2028-12-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 05/32 4.2        | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       70000 | PA      | $66640.33     | 0.02%             | 2032-05-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 12/48 4.45       | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       50000 | PA      | $44659.45     | 0.01%             | 2048-12-15      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 08/59 3.875      | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       90000 | PA      | $70835.25     | 0.02%             | 2059-08-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 01/26 1.25       | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      110000 | PA      | $99820.52     | 0.02%             | 2026-01-15      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | SR UNSECURED 05/30 2          | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      100000 | PA      | $82668.55     | 0.02%             | 2030-05-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| US 10YR FUT OPTN  FEB23C 114                    | EXP 01/27/2023                | CUSIP: ADI2BYZB0<br>LEI: N/A                  | N/A              | DIR              |  | US        |         105 | NC      | $32812.50     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| US 10YR FUT OPTN  FEB23P 109                    | EXP 01/27/2023                | CUSIP: ADI2B0TP0<br>LEI: N/A                  | N/A              | DIR              |  | US        |          98 | NC      | $10718.75     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| US 10YR FUT OPTN  MAR23C 115.5                  | EXP 02/24/2023                | CUSIP: ADI2C27W4<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -84 | NC      | $-26250.00    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| US 10YR NOTE (CBT)MAR23                         | XCBT 20230322                 | CUSIP: ADI26YV04<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -862 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| US 10YR ULTRA FUT MAR23                         | XCBT 20230322                 | CUSIP: ADI26ZBM5<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -49 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| US 2YR NOTE (CBT) MAR23                         | XCBT 20230331                 | CUSIP: ADI27GZW8<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -299 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| US 5YR NOTE (CBT) MAR23                         | XCBT 20230331                 | CUSIP: ADI27GKS3<br>LEI: N/A                  | N/A              | DIR              |  | US        |        1721 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| US BANCORP                                      | SR UNSECURED 05/25 1.45       | CUSIP: 91159HHZ6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      280000 | PA      | $259800.53    | 0.06%             | 2025-05-12      | Fixed         | 1.45%                 | No            | 2                  | On Loan: No      |
| US LONG BOND(CBT) MAR23                         | XCBT 20230322                 | CUSIP: ADI26YSS7<br>LEI: N/A                  | N/A              | DIR              |  | US        |         144 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| US TREASURY FRN                                 | 04/24 VAR                     | CUSIP: 91282CEL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10150000 | PA      | $10126443.88  | 2.33%             | 2024-04-30      | Floating      | 4.32%                 | No            | 2                  | On Loan: No      |
| US TREASURY FRN                                 | 07/24 VAR                     | CUSIP: 91282CFD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7296900 | PA      | $7285089.24   | 1.68%             | 2024-07-31      | Floating      | 4.44%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 02/52 2.25                    | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19590000 | PA      | $13778765.58  | 3.17%             | 2052-02-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 05/52 2.875                   | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    44310000 | PA      | $35900422.82  | 8.26%             | 2052-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 08/52 3                       | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10580000 | PA      | $8825131.37   | 2.03%             | 2052-08-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 11/32 4.125                   | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10850000 | PA      | $11101518.19  | 2.56%             | 2032-11-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 02/51 1.875                   | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2320000 | PA      | $1491752.81   | 0.34%             | 2051-02-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 05/51 2.375                   | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1770000 | PA      | $1283386.64   | 0.30%             | 2051-05-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 05/41 2.25                    | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      300000 | PA      | $227068.62    | 0.05%             | 2041-05-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 08/41 1.75                    | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      110000 | PA      | $75866.32     | 0.02%             | 2041-08-15      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 11/27 3.875                   | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1750000 | PA      | $1743009.63   | 0.40%             | 2027-11-30      | Fixed         | 3.88%                 | No            | 2                  | On Loan: —       |
| US TREASURY N/B                                 | 12/25 4                       | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      790000 | PA      | $785832.83    | 0.18%             | 2025-12-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 11/51 1.875                   | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2067000 | PA      | $1324368.24   | 0.30%             | 2051-11-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 11/41 2                       | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      160000 | PA      | $115146.37    | 0.03%             | 2041-11-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 11/43 3.75                    | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      800000 | PA      | $755160.00    | 0.17%             | 2043-11-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 02/48 3                       | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       16000 | PA      | $13244.74     | 0.00%             | 2048-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 11/52 4                       | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      120000 | PA      | $121350.00    | 0.03%             | 2052-11-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 02/50 2                       | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1730000 | PA      | $1155856.25   | 0.27%             | 2050-02-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 11/50 1.625                   | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      710000 | PA      | $427645.35    | 0.10%             | 2050-11-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 11/42 4                       | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4290000 | PA      | $4231107.31   | 0.97%             | 2042-11-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: —       |
| US TREASURY N/B                                 | 11/23 0.25                    | CUSIP: 91282CAW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       70000 | PA      | $67328.35     | 0.02%             | 2023-11-15      | Fixed         | 0.25%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 11/31 1.375                   | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1190000 | PA      | $972044.12    | 0.22%             | 2031-11-15      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 05/27 2.625                   | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       60000 | PA      | $56625.13     | 0.01%             | 2027-05-31      | Fixed         | 2.62%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 08/32 2.75                    | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1570000 | PA      | $1433861.06   | 0.33%             | 2032-08-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 08/29 3.125                   | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      780000 | PA      | $742300.49    | 0.17%             | 2029-08-31      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 09/27 4.125                   | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      210000 | PA      | $211112.41    | 0.05%             | 2027-09-30      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 10/29 4                       | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2840000 | PA      | $2847785.01   | 0.66%             | 2029-10-31      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                                 | 10/27 4.125                   | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5770000 | PA      | $5799572.40   | 1.33%             | 2027-10-31      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| US ULTRA BOND CBT MAR23                         | XCBT 20230322                 | CUSIP: ADI26YTH0<br>LEI: N/A                  | N/A              | DIR              |  | US        |         156 | NC      | $0.00         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| USQ RAIL I LLC                                  | STEAM 2021 1A A 144A          | CUSIP: 90352WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      712121 | PA      | $598919.20    | 0.14%             | 2051-02-28      | Fixed         | 2.25%                 | Yes           | 2                  | On Loan: No      |
| VALE OVERSEAS LIMITED                           | COMPANY GUAR 11/36 6.875      | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      174000 | PA      | $183688.84    | 0.04%             | 2036-11-21      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| VANGUARD GROUP INC                              | 08/50 FIXED 3.05              | CUSIP: 935QKPII8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      450000 | PA      | $290681.56    | 0.07%             | 2050-08-22      | Floating      | 3.05%                 | No            | 2                  | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                        | SR SECURED 144A 11/33 3.875   | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |       80000 | PA      | $65352.00     | 0.02%             | 2033-11-01      | Fixed         | 3.88%                 | Yes           | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 01/31 1.75       | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      280000 | PA      | $217938.97    | 0.05%             | 2031-01-20      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 11/40 2.65       | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      260000 | PA      | $176683.39    | 0.04%             | 2040-11-20      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 11/50 2.875      | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      530000 | PA      | $333074.74    | 0.08%             | 2050-11-20      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 03/31 2.55       | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      570000 | PA      | $469545.61    | 0.11%             | 2031-03-21      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 03/41 3.4        | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       40000 | PA      | $30206.77     | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 11/42 3.85       | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31903.88     | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 03/32 2.355      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31752.41     | 0.01%             | 2032-03-15      | Fixed         | 2.35%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 11/34 4.4        | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      270000 | PA      | $248272.61    | 0.06%             | 2034-11-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 08/46 4.125      | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      180000 | PA      | $143897.03    | 0.03%             | 2046-08-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 03/37 5.25       | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      170000 | PA      | $168726.60    | 0.04%             | 2037-03-16      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 03/47 5.5        | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29159.39     | 0.01%             | 2047-03-16      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 08/33 4.5        | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37585.49     | 0.01%             | 2033-08-10      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 09/28 4.329      | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      440000 | PA      | $423842.45    | 0.10%             | 2028-09-21      | Fixed         | 4.33%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 02/29 3.875      | CUSIP: 92343VES9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      130000 | PA      | $122236.82    | 0.03%             | 2029-02-08      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 03/50 4          | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      120000 | PA      | $94695.63     | 0.02%             | 2050-03-22      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| VERSCEND HOLDING CORP                           | 2021 TERM LOAN B              | CUSIP: 92531HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      512728 | PA      | $508425.94    | 0.12%             | 2025-08-27      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| VERTIV GROUP CORPORATION                        | SR SECURED 144A 11/28 4.125   | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |       30000 | PA      | $25500.00     | 0.01%             | 2028-11-15      | Fixed         | 4.12%                 | Yes           | 2                  | On Loan: No      |
| VFH PARENT LLC                                  | 2022 TERM LOAN B              | CUSIP: 944YMTII0<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |      110000 | PA      | $106865.00    | 0.02%             | 2029-01-13      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| VIRGIN MEDIA BRISTOL LLC                        | TERM LOAN N                   | CUSIP: G9368PBC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      203954 | PA      | $200239.99    | 0.05%             | 2028-01-31      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                        | SR SECURED 144A 05/29 5.5     | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      210000 | PA      | $188113.80    | 0.04%             | 2029-05-15      | Fixed         | 5.50%                 | Yes           | 2                  | On Loan: No      |
| VISA INC                                        | SR UNSECURED 12/25 3.15       | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      200000 | PA      | $192837.82    | 0.04%             | 2025-12-14      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| VISA INC                                        | SR UNSECURED 12/45 4.3        | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      160000 | PA      | $146905.21    | 0.03%             | 2045-12-14      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| VMED O2 UK FINAN                                | SR SECURED 144A 07/31 4.75    | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $163176.94    | 0.04%             | 2031-07-15      | Fixed         | 4.75%                 | Yes           | 2                  | On Loan: No      |
| VOC ESCROW LTD                                  | SR SECURED 144A 02/28 5       | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      210000 | PA      | $180621.00    | 0.04%             | 2028-02-15      | Fixed         | 5.00%                 | Yes           | 2                  | On Loan: No      |
| WALMART INC                                     | SR UNSECURED 09/28 1.5        | CUSIP: 931142ES8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |       80000 | PA      | $68714.89     | 0.02%             | 2028-09-22      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| WALMART INC                                     | SR UNSECURED 09/31 1.8        | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32671.76     | 0.01%             | 2031-09-22      | Fixed         | 1.80%                 | No            | 2                  | On Loan: No      |
| WALT DISNEY COMPANY/THE                         | COMPANY GUAR 12/34 6.2        | CUSIP: 254687DZ6<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |       20000 | PA      | $21823.79     | 0.01%             | 2034-12-15      | Fixed         | 6.20%                 | No            | 2                  | On Loan: No      |
| WALT DISNEY COMPANY/THE                         | COMPANY GUAR 11/37 6.65       | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |       50000 | PA      | $56395.14     | 0.01%             | 2037-11-15      | Fixed         | 6.65%                 | No            | 2                  | On Loan: No      |
| WAMU MORTGAGE PASS THROUGH CER                  | WAMU 2006 AR3 A1B             | CUSIP: 92925CDB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      454890 | PA      | $390981.44    | 0.09%             | 2046-02-25      | Floating      | 3.05%                 | No            | 2                  | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                        | COMPANY GUAR 144A 03/27 3.755 | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       60000 | PA      | $54168.77     | 0.01%             | 2027-03-15      | Fixed         | 3.75%                 | Yes           | 2                  | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                        | COMPANY GUAR 144A 03/29 4.054 | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       80000 | PA      | $69342.54     | 0.02%             | 2029-03-15      | Fixed         | 4.05%                 | Yes           | 2                  | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                        | COMPANY GUAR 144A 03/32 4.279 | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      450000 | PA      | $371191.59    | 0.09%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           | 2                  | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                        | COMPANY GUAR 144A 03/42 5.05  | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15376.39     | 0.00%             | 2042-03-15      | Fixed         | 5.05%                 | Yes           | 2                  | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                        | COMPANY GUAR 144A 03/52 5.141 | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      400000 | PA      | $292206.85    | 0.07%             | 2052-03-15      | Fixed         | 5.14%                 | Yes           | 2                  | On Loan: No      |
| WATERFALL COMMERCIAL MORTGAGE                   | WCMT 2015 SBC5 A 144A         | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       45472 | PA      | $44756.16     | 0.01%             | 2022-09-14      | Floating      | 4.10%                 | Yes           | 2                  | On Loan: No      |
| WEA FINANCE LLC/WESTFIEL                        | COMPANY GUAR 144A 09/24 3.75  | CUSIP: 92890HAC6<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      220000 | PA      | $208022.13    | 0.05%             | 2024-09-17      | Fixed         | 3.75%                 | Yes           | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SR UNSECURED 04/51 VAR        | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1350000 | PA      | $1197571.00   | 0.28%             | 2051-04-04      | Fixed         | 5.01%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SR UNSECURED 04/26 VAR        | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      200000 | PA      | $186272.98    | 0.04%             | 2026-04-30      | Fixed         | 2.19%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SR UNSECURED 06/28 VAR        | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      230000 | PA      | $203304.73    | 0.05%             | 2028-06-02      | Fixed         | 2.39%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | JR SUBORDINA 12/49 VAR        | CUSIP: 949746RN3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48377.50     | 0.01%             | 2049-12-29      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SR UNSECURED 10/26 3          | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      350000 | PA      | $323886.84    | 0.07%             | 2026-10-23      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SR UNSECURED 03/33 VAR        | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      360000 | PA      | $304331.07    | 0.07%             | 2033-03-02      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SUBORDINATED 11/43 5.375      | CUSIP: 94974BFP0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      110000 | PA      | $102873.02    | 0.02%             | 2043-11-02      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SUBORDINATED 11/44 4.65       | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       80000 | PA      | $67768.96     | 0.02%             | 2044-11-04      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SUBORDINATED 07/27 4.3        | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      370000 | PA      | $356676.77    | 0.08%             | 2027-07-22      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SUBORDINATED 11/45 4.9        | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      250000 | PA      | $216585.49    | 0.05%             | 2045-11-17      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SUBORDINATED 06/46 4.4        | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      180000 | PA      | $144698.75    | 0.03%             | 2046-06-14      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SUBORDINATED 12/46 4.75       | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8427.22      | 0.00%             | 2046-12-07      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SR UNSECURED 10/30 VAR        | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      150000 | PA      | $127875.21    | 0.03%             | 2030-10-30      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO + COMPANY                           | SR UNSECURED 04/31 VAR        | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      210000 | PA      | $197398.85    | 0.05%             | 2031-04-04      | Fixed         | 4.48%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG                  | WFCM 2017 C42 D 144A          | CUSIP: 95001GAU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      710000 | PA      | $466969.13    | 0.11%             | 2050-12-15      | Fixed         | 2.80%                 | Yes           | 2                  | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG                  | WFCM 2019 C52 XA              | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5541528 | PA      | $394152.78    | 0.09%             | 2052-08-15      | Floating      | 1.60%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG                  | WFCM 2013 LC12 B              | CUSIP: 94988QAQ4<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-O            | CORP              | US        |      140000 | PA      | $130776.03    | 0.03%             | 2046-07-15      | Floating      | 4.30%                 | No            | 2                  | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                        | SR UNSECURED 08/48 5.5        | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16599.45     | 0.00%             | 2048-08-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                        | SR UNSECURED 02/50 5.5        | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      230000 | PA      | $187407.20    | 0.04%             | 2050-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                        | SR UNSECURED 02/25 3.35       | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      240000 | PA      | $227217.60    | 0.05%             | 2025-02-01      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                        | SR UNSECURED 02/30 4.3        | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      900000 | PA      | $778518.91    | 0.18%             | 2030-02-01      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                        | SR UNSECURED 01/23 VAR        | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       90000 | PA      | $89865.00     | 0.02%             | 2023-01-13      | Floating      | 5.04%                 | No            | 2                  | On Loan: No      |
| WF RBS COMMERCIAL MORTGAGE TRU                  | WFRBS 2014 LC14 D 144A        | CUSIP: 96221TAQ0<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $4599895.00   | 1.06%             | 2047-03-15      | Floating      | 4.59%                 | Yes           | 2                  | On Loan: No      |
| WF RBS COMMERCIAL MORTGAGE TRU                  | WFRBS 2014 C24 C              | CUSIP: 92939KAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      190000 | PA      | $161471.06    | 0.04%             | 2047-11-15      | Floating      | 4.29%                 | No            | 2                  | On Loan: No      |
| WF RBS COMMERCIAL MORTGAGE TRU                  | WFRBS 2014 C24 B              | CUSIP: 92939KBR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      190000 | PA      | $171491.53    | 0.04%             | 2047-11-15      | Floating      | 4.20%                 | No            | 2                  | On Loan: No      |
| WILLIAMS COMPANIES INC                          | SR UNSECURED 01/31 7.5        | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      200000 | PA      | $219522.15    | 0.05%             | 2031-01-15      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| WILLIAMS COMPANIES INC                          | SR UNSECURED 06/27 3.75       | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      170000 | PA      | $160280.86    | 0.04%             | 2027-06-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| WILLIAMS COS INC                                | SR UNSECURED 06/31 7.75       | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      350000 | PA      | $387041.11    | 0.09%             | 2031-06-15      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| WORKDAY INC                                     | SR UNSECURED 04/32 3.8        | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      100000 | PA      | $88608.96     | 0.02%             | 2032-04-01      | Fixed         | 3.80%                 | No            | 2                  | On Loan: —       |
| WORKDAY INC                                     | SR UNSECURED 04/27 3.5        | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46806.38     | 0.01%             | 2027-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| WORKDAY INC                                     | SR UNSECURED 04/29 3.7        | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       80000 | PA      | $73367.44     | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| XPO INC                                         | COMPANY GUAR 144A 05/25 6.25  | CUSIP: 983793AH3<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |        9000 | PA      | $9084.72      | 0.00%             | 2025-05-01      | Fixed         | 6.25%                 | Yes           | 2                  | On Loan: No      |

### Signature

**Date Signed:** 2023-02-23

**Name of Applicant:** MASSMUTUAL SELECT FUNDS

**Signature:** /s/ Renee Hitchcock

**Name of Signer:** Renee Hitchcock

**Title:** Treasurer and CFO