# EDGAR Filing Document

**Accession Number:** 0001070222
**File Stem:** 0001752724-25-210876
**Filing Date:** 2025-8
**Character Count:** 397208
**Document Hash:** 81dfed2c3d1467643687f59bd2c24a35
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-210876.hdr.sgml**: 20250828

**ACCESSION NUMBER**: 0001752724-25-210876

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250828

**DATE AS OF CHANGE**: 20250828

**PERIOD START**: 20250630

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09025
- **FILM NUMBER:** 251269651

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** JEFFERSONVILLE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 47130

  - **Telephone number:** 5025695984

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-06-30

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $369767873.65

**Total Liabilities:** $33238914.83

**Net Assets:** $336528958.82

**Cash Not Reported:** $3663076.57

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -576.69224901 | **1-Year:** -12854.94439980 | **5-Year:** -38771.90841571 | **10-Year:** -40257.23356890 | **30-Year:** -9212.63056724

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

- **3-Month:** -210.30659159 | **1-Year:** -3099.39996885 | **5-Year:** -7636.60212233 | **10-Year:** -6689.38532904 | **30-Year:** -1428.25979764

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000074155 | 1.38%                | -0.67%               | 0.70%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $31880.27                | $3557656.78                                |
| Month 2  | $-556501.41              | $-2364509.16                               |
| Month 3  | $124196.28               | $1125661.97                                |

**Designated Index Information**

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

- **Index Identifier:** LEHINT_AGG

### Schedule of Portfolio Investments

| Name                                                                         | Title                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 280 PARK AVENUE MORTGAGE TRUST COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES | 280 PARK AVENUE 2017-280P MORTGAGE TRUST PRK 2017-280P A                          | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    130000 | PA      | $128781.25    | 0.04%             | 2034-09-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 2.950000% 11/21/2026                                                   | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19666.94     | 0.01%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 3.200000% 11/21/2029                                                   | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    150000 | PA      | $143440.09    | 0.04%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 4.800000% 03/15/2027                                                   | CUSIP: 00287YDR7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111042.88    | 0.03%             | 2027-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 4.800000% 03/15/2029                                                   | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    180000 | PA      | $183488.57    | 0.05%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CORPORATION                                             | ABFC 2006-OPT1 TRUST ABFC 2006-OPT1 A3D                                           | CUSIP: 00075QAD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    354668 | PA      | $350257.39    | 0.10%             | 2036-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST                                                                   | ACRA TRUST 2024-NQM1 ACRA 2024-NQM1 A1                                            | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    717138 | PA      | $717505.15    | 0.21%             | 2064-10-25      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                           | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 2.450000% 10/29/2026           | CUSIP: 00774MAV7<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |    190000 | PA      | $185133.67    | 0.06%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                           | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028           | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |   1046000 | PA      | $996497.97    | 0.30%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                           | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028           | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |    180000 | PA      | $171449.92    | 0.05%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO LTD                                                                | AIMCO CLO 11 LTD AIMCO 2020-11A A1R2                                              | CUSIP: 00140NAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    553000 | PA      | $554797.25    | 0.16%             | 2037-07-17      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                        | AIR LEASE CORP 3.375000% 07/01/2025                                               | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100000.00    | 0.03%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                        | AIR LEASE CORP 5.300000% 02/01/2028                                               | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91962.56     | 0.03%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES, INC.                                        | ALEXANDRIA REAL ESTATE EQUITIES INC 3.950000% 01/15/2028                          | CUSIP: 015271AK5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    141000 | PA      | $139458.73    | 0.04%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 1.200000% 06/03/2027                                               | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18988.03     | 0.01%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 3.150000% 08/22/2027                                               | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    470000 | PA      | $462301.21    | 0.14%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 3.300000% 04/13/2027                                               | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    140000 | PA      | $138430.82    | 0.04%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 3.450000% 04/13/2029                                               | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    160000 | PA      | $156989.50    | 0.05%             | 2029-04-13      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc                                           | AMCOR FLEXIBLES NORTH AMERICA INC 144A 5.100000% 03/17/2030                       | CUSIP: 02344AAD0<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    425000 | PA      | $432097.28    | 0.13%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc                                           | AMCOR FLEXIBLES NORTH AMERICA INC 144A 5.500000% 03/17/2035                       | CUSIP: 02344AAE8<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30427.71     | 0.01%             | 2035-03-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                     | AMERICAN EXPRESS CO 5.016000% 04/25/2031                                          | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    520000 | PA      | $530979.42    | 0.16%             | 2031-04-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORPORATION                                                   | AMERICAN TOWER CORP 2.900000% 01/15/2030                                          | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    170000 | PA      | $158375.43    | 0.05%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORPORATION                                                   | AMERICAN TOWER CORP 4.900000% 03/15/2030                                          | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    175000 | PA      | $177227.86    | 0.05%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TRUST #1                                                      | AMERICAN TOWER TRUST #1 144A 5.490000% 03/15/2028                                 | CUSIP: 03027WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    554000 | PA      | $563343.65    | 0.17%             | 2028-03-15      | Fixed         | 5.49%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SYSTEMS, INCORPORATED                                  | AMERICAN TRANSMISSION SYSTEMS INC 144A 2.650000% 01/15/2032                       | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $52792.92     | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL CORP.                                                 | AMERICAN WATER CAPITAL CORP 2.800000% 05/01/2030                                  | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   1203000 | PA      | $1117682.67   | 0.33%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AMMC CLO LIMITED                                                             | AMMC CLO 24 LTD AMMC 2021-24A AR                                                  | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500850.50    | 0.15%             | 2035-01-20      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| AMSR TRUST                                                                   | AMSR 2023-SFR1 TRUST AMSR 2023-SFR1 A                                             | CUSIP: 66981XAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    960000 | PA      | $944038.46    | 0.28%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR TRUST                                                                   | AMSR 2024-SFR1 TRUST AMSR 2024-SFR1 A                                             | CUSIP: 00179CAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    600000 | PA      | $591677.28    | 0.18%             | 2041-07-17      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| APIDOS CLO                                                                   | APIDOS CLO XLVIII LTD APID 2024-48A A1                                            | CUSIP: 03770WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    284000 | PA      | $284877.84    | 0.08%             | 2037-07-25      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| APPLE INC.                                                                   | APPLE INC 2.450000% 08/04/2026                                                    | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68800.36     | 0.02%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LIMITED                                                 | APTIV SWISS HOLDINGS LTD 3.250000% 03/01/2032                                     | CUSIP: 00217GAB9<br>LEI: N/A                  | Long             | DBT              | NUSS              | US        |    639000 | PA      | $571917.08    | 0.17%             | 2032-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL, INC.                                                        | ASHTEAD CAPITAL INC 144A 5.800000% 04/15/2034                                     | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $716418.42    | 0.21%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 2.300000% 06/01/2027                                                     | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    120000 | PA      | $115681.26    | 0.03%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 2.550000% 12/01/2033                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    472000 | PA      | $395019.64    | 0.12%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 4.250000% 03/01/2027                                                     | CUSIP: 00206RDQ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149839.14    | 0.04%             | 2027-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AUTOZONE, INC.                                                               | AUTOZONE INC 5.125000% 06/15/2030                                                 | CUSIP: 053332BM3<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    170000 | PA      | $174315.03    | 0.05%             | 2030-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                   | AVIATION CAPITAL GROUP LLC 144A 1.950000% 01/30/2026                              | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    567000 | PA      | $558006.94    | 0.17%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO                                                      | BAIN CAPITAL CREDIT CLO 2021-6 LTD BCC 2021-6A A1R                                | CUSIP: 05684PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    425000 | PA      | $424541.00    | 0.13%             | 2034-10-21      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                         | BANK 2021-BNK36 BANK 2021-BN36 A5                                                 | CUSIP: 06540DBH7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    410000 | PA      | $358215.61    | 0.11%             | 2064-09-15      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| BANK                                                                         | BANK 2022-BNK42 BANK 2022-BNK42 A5                                                | CUSIP: 06541MBN3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    450000 | PA      | $437705.42    | 0.13%             | 2055-06-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 1.734000% 07/22/2027                                         | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    971000 | PA      | $943791.42    | 0.28%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 2.592000% 04/29/2031                                         | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    380000 | PA      | $347322.53    | 0.10%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 2.651000% 03/11/2032                                         | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     90000 | PA      | $80766.14     | 0.02%             | 2032-03-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 2.687000% 04/22/2032                                         | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $170488.74    | 0.05%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 3.419000% 12/20/2028                                         | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    234000 | PA      | $228695.48    | 0.07%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 6.204000% 11/10/2028                                         | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    584000 | PA      | $607755.95    | 0.18%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.500000% 04/19/2026                                     | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    130000 | PA      | $129067.86    | 0.04%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.593000% 07/21/2028                                     | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    210000 | PA      | $206748.17    | 0.06%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.974000% 02/07/2030                                     | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78727.48     | 0.02%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 4.250000% 10/22/2026                                     | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9981.01      | 0.00%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                                                  | BANK OF NEW YORK MELLON/THE 4.729000% 04/20/2029                                  | CUSIP: 06405LAH4<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |    235000 | PA      | $238277.06    | 0.07%             | 2029-04-20      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                        | BANK5 2023-5YR3 BANK5 2023-5YR3 A2                                                | CUSIP: 06211EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    399673 | PA      | $415646.34    | 0.12%             | 2056-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                 | BARCLAYS PLC 6.490000% 09/13/2029                                                 | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | NUSS              | GB        |    887000 | PA      | $937792.90    | 0.28%             | 2029-09-13      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD                                                              | BARINGS CLO LTD 2019-III BABSN 2019-3A A1RR                                       | CUSIP: 06761KAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $449716.50    | 0.13%             | 2036-01-20      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| BBCMS TRUST                                                                  | BBCMS MORTGAGE TRUST 2024-5C25 BBCMS 2024-5C25 A3                                 | CUSIP: 05554VAB6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    759000 | PA      | $792225.38    | 0.24%             | 2057-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                  | BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024-5C29 A3                                 | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    854000 | PA      | $870939.94    | 0.26%             | 2057-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                     | BENCHMARK 2021-B26 MORTGAGE TRUST BMARK 2021-B26 A3                               | CUSIP: 08163EBA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    604000 | PA      | $561773.88    | 0.17%             | 2054-06-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                     | BENCHMARK 2024-V6 MORTGAGE TRUST BMARK 2024-V6 A3                                 | CUSIP: 081927AB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    819000 | PA      | $854495.62    | 0.25%             | 2057-03-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO. L.L.C.                                       | BLACKSTONE HOLDINGS FINANCE CO LLC 144A 1.600000% 03/30/2031                      | CUSIP: 09261BAA8<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    590000 | PA      | $503602.29    | 0.15%             | 2031-03-30      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1                      | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     12505 | PA      | $12121.73     | 0.00%             | 2060-03-25      | Floating      | 0.97%                 | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2022-NQM3 BRAVO 2022-NQM3 A1                      | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    254881 | PA      | $253783.27    | 0.08%             | 2062-07-25      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                      | BRISTOL-MYERS SQUIBB CO 3.200000% 06/15/2026                                      | CUSIP: 110122CN6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     79000 | PA      | $78258.61     | 0.02%             | 2026-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                      | BRISTOL-MYERS SQUIBB CO 3.400000% 07/26/2029                                      | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     16000 | PA      | $15499.14     | 0.00%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                      | BRISTOL-MYERS SQUIBB CO 4.950000% 02/20/2026                                      | CUSIP: 110122ED6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    130000 | PA      | $130487.91    | 0.04%             | 2026-02-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                      | BRISTOL-MYERS SQUIBB CO 5.100000% 02/22/2031                                      | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51774.48     | 0.02%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| THE BROOKLYN UNION GAS COMPANY                                               | BROOKLYN UNION GAS CO/THE 144A 3.407000% 03/10/2026                               | CUSIP: 114259AN4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    400000 | PA      | $395875.96    | 0.12%             | 2026-03-10      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A                             | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    615206 | PA      | $613283.34    | 0.18%             | 2036-09-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2024-XL4 BX 2024-XL4 A                               | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    785985 | PA      | $786964.75    | 0.23%             | 2039-02-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2022-CLS BX 2022-CLS A                                                   | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    534000 | PA      | $540529.75    | 0.16%             | 2027-10-13      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2024-VLT4 BX 2024-VLT4 B                                                 | CUSIP: 05612TAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    250000 | PA      | $249843.75    | 0.07%             | 2029-07-15      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2025-VLT6 BX 2025-VLT6 A                                                 | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    518000 | PA      | $517676.25    | 0.15%             | 2042-03-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACS FING AUTH REV                                         | CALIFORNIA ST HLTH FACS FING A CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY   | CUSIP: 13032UC55<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    575000 | PA      | $562059.80    | 0.17%             | 2028-06-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP 4.927000% 05/10/2028                                   | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30219.61     | 0.01%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP 5.700000% 02/01/2030                                   | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    322000 | PA      | $333084.85    | 0.10%             | 2030-02-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP 7.149000% 10/29/2027                                   | CUSIP: 14040HDB8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    189000 | PA      | $195280.57    | 0.06%             | 2027-10-29      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP 7.624000% 10/30/2031                                   | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    446000 | PA      | $503911.16    | 0.15%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORPORATION                                                   | CARRIER GLOBAL CORP 2.722000% 02/15/2030                                          | CUSIP: 14448CAQ7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    625000 | PA      | $580822.72    | 0.17%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                               | CASCADE MH ASSET TRUST 2021-MH1 CMHAT 2021-MH1 A1                                 | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     54467 | PA      | $49728.48     | 0.01%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| CBRE SERVICES, INC.                                                          | CBRE SERVICES INC 4.800000% 06/15/2030                                            | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    182000 | PA      | $182571.57    | 0.05%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                          | CENTENE CORP 2.500000% 03/01/2031                                                 | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    380000 | PA      | $327041.38    | 0.10%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 3.750000% 02/15/2028           | CUSIP: 161175BJ2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196173.88    | 0.06%             | 2028-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.400000% 04/01/2033           | CUSIP: 161175CJ1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    510000 | PA      | $480205.16    | 0.14%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.050000% 03/30/2029           | CUSIP: 161175BR4<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    220000 | PA      | $222017.86    | 0.07%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST                                            | CHASE HOME LENDING MORTGAGE TRUST 2024-8 CHASE 2024-8 A6A                         | CUSIP: 16159XAL6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    359592 | PA      | $358888.83    | 0.11%             | 2055-08-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST                                            | CHASE HOME LENDING MORTGAGE TRUST 2025-5 CHASE 2025-5 A4A                         | CUSIP: 161935AE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    510277 | PA      | $511904.69    | 0.15%             | 2056-04-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CHI COMMERCIAL MORTGAGE TRUST                                                | CHI COMMERCIAL MORTGAGE TRUST 2025-SFT CHI 2025-SFT A                             | CUSIP: 16706GAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    450000 | PA      | $458272.08    | 0.14%             | 2042-04-15      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                             | CIFC FUNDING 2016-I LTD CIFC 2016-1A AR3                                          | CUSIP: 17180TBL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    412332 | PA      | $411721.20    | 0.12%             | 2031-10-21      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                             | CIFC FUNDING 2023-III LTD CIFC 2023-3A A                                          | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1043000 | PA      | $1044948.32   | 0.31%             | 2037-01-20      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| THE CIGNA GROUP                                                              | CIGNA GROUP/THE 1.250000% 03/15/2026                                              | CUSIP: 125523CP3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    302000 | PA      | $295554.97    | 0.09%             | 2026-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| THE CIGNA GROUP                                                              | CIGNA GROUP/THE 4.375000% 10/15/2028                                              | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    420000 | PA      | $420434.45    | 0.12%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 CGCMT 2016-P6 AAB                     | CUSIP: 17291EAX9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    247227 | PA      | $245420.75    | 0.07%             | 2049-12-10      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 2.520000% 11/03/2032                                                | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    110000 | PA      | $96164.09     | 0.03%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.200000% 10/21/2026                                                | CUSIP: 172967KY6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    287000 | PA      | $282899.58    | 0.08%             | 2026-10-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.668000% 07/24/2028                                                | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    340000 | PA      | $334659.33    | 0.10%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.785000% 03/17/2033                                                | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    250000 | PA      | $233745.42    | 0.07%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.300000% 11/20/2026                                                | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39942.74     | 0.01%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.450000% 09/29/2027                                                | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90071.62     | 0.03%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.542000% 09/19/2030                                                | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    776000 | PA      | $772482.52    | 0.23%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.658000% 05/24/2028                                                | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    140000 | PA      | $140506.49    | 0.04%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 5.500000% 09/13/2025                                                | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    330000 | PA      | $330401.80    | 0.10%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEACUBE CONTAINER CLIF                                                       | CLI FUNDING VI LLC CLIF 2020-1A A                                                 | CUSIP: 12563LAN7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    381761 | PA      | $354572.03    | 0.11%             | 2045-09-18      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| SEACUBE CONTAINER CLIF                                                       | CLI FUNDING VI LLC CLIF 2020-3A A                                                 | CUSIP: 12563LAS6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    120833 | PA      | $112452.23    | 0.03%             | 2045-10-18      | Fixed         | 2.07%                 | Yes           |                  2 | On Loan: No      |
| CLOUD CAPITAL DATA CENTERS                                                   | CLOUD CAPITAL HOLDCO LP CLDCD 2024-1A A2                                          | CUSIP: 102104AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    260000 | PA      | $263359.51    | 0.08%             | 2049-11-22      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| CLOVER CLO LLC                                                               | CLOVER CLO 2021-3 LLC CLVR 2021-3A AR                                             | CUSIP: 18915FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    450000 | PA      | $449117.10    | 0.13%             | 2035-01-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2022-2 MORTGAGE LOAN TRUST COLT 2022-2 A1                                    | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     65636 | PA      | $62322.89     | 0.02%             | 2067-02-25      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING COMPANY LLC                                     | COLUMBIA PIPELINES OPERATING CO LLC 144A 6.036000% 11/15/2033                     | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $262398.03    | 0.08%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON COMPANY                                                  | COMMONWEALTH EDISON CO 3.700000% 08/15/2028                                       | CUSIP: 202795JN1<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    468000 | PA      | $462230.52    | 0.14%             | 2028-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 CAS 2021-R03 1M2                     | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    440000 | PA      | $442613.60    | 0.13%             | 2041-12-25      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LLC                                              | CONSOLIDATED COMMUNICATIONS LLC/FIDIUM FIBER FINAN CNSL 2025-1A A2                | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    155000 | PA      | $159809.25    | 0.05%             | 2055-05-20      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CONSUMERS SECURITIZATION FUNDING LLC                                         | CONSUMERS 2023 SECURITIZATION FUNDING LLC 5.210000% 09/01/2030                    | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    512000 | PA      | $525533.43    | 0.16%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST                                            | CREDIT ACCEPTANCE AUTO LOAN TRUST 2025-1 CAALT 2025-1A C                          | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    335000 | PA      | $342105.82    | 0.10%             | 2035-07-16      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| CRH AMERICA FINANCE, INC.                                                    | CRH AMERICA FINANCE INC 5.500000% 01/09/2035                                      | CUSIP: 12636YAF9<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    689000 | PA      | $706091.81    | 0.21%             | 2035-01-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST                                                         | CROSS 2024-H6 MORTGAGE TRUST CROSS 2024-H6 A1                                     | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    468243 | PA      | $466505.98    | 0.14%             | 2069-09-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM3 CSMC 2021-NQM3 A3                                                  | CUSIP: 12660LAC3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    121056 | PA      | $106231.23    | 0.03%             | 2066-04-25      | Floating      | 1.63%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM5 TRUST CSMC 2021-NQM5 A1                                            | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    717551 | PA      | $607054.58    | 0.18%             | 2066-05-25      | Floating      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM7 CSMC 2021-NQM7 A1                                                  | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     77046 | PA      | $67664.30     | 0.02%             | 2066-10-25      | Floating      | 1.76%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2022-NQM1 TRUST CSMC 2022-NQM1 A1                                            | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    312254 | PA      | $283952.74    | 0.08%             | 2066-11-25      | Floating      | 2.27%                 | Yes           |                  2 | On Loan: No      |
| CUMMINS INC.                                                                 | CUMMINS INC 5.150000% 02/20/2034                                                  | CUSIP: 231021AW6<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | DBT              | CORP              | US        |    840000 | PA      | $856667.14    | 0.25%             | 2034-02-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 1.875000% 02/28/2031                                              | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17113.61     | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 2.125000% 09/15/2031                                              | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    150000 | PA      | $128249.10    | 0.04%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 3.875000% 07/20/2025                                              | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     95000 | PA      | $94933.78     | 0.03%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 4.300000% 03/25/2028                                              | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    164000 | PA      | $163305.91    | 0.05%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 5.050000% 03/25/2048                                              | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     60000 | PA      | $51885.98     | 0.02%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 5.700000% 06/01/2034                                              | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    250000 | PA      | $257522.63    | 0.08%             | 2034-06-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS PASS-THROUGH TRUST 144A 5.773000% 01/10/2033                                  | CUSIP: 126650BV1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    274452 | PA      | $276618.59    | 0.08%             | 2033-01-10      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS PASS-THROUGH TRUST 144A 7.507000% 01/10/2032                                  | CUSIP: 126650BS8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    818342 | PA      | $856981.13    | 0.25%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| DUNKIN BRANDS                                                                | DB MASTER FINANCE LLC DNKN 2021-1A A2II                                           | CUSIP: 233046AQ4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1012285 | PA      | $937307.68    | 0.28%             | 2051-11-20      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| DC COMMERCIAL MORTGAGE TRUST                                                 | DC COMMERCIAL MORTGAGE TRUST 2023-DC DC 2023-DC A                                 | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    410000 | PA      | $427696.46    | 0.13%             | 2040-09-12      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                                         | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-1 DRMT 2022-1 A1                        | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    215397 | PA      | $197348.00    | 0.06%             | 2067-01-25      | Floating      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| DELL INTERNATIONAL L.L.C.                                                    | DELL INTERNATIONAL LLC / EMC CORP 4.750000% 04/01/2028                            | CUSIP: 24703TAL0<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    255000 | PA      | $257951.07    | 0.08%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL L.L.C.                                                    | DELL INTERNATIONAL LLC / EMC CORP 5.000000% 04/01/2030                            | CUSIP: 24703TAM8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    170000 | PA      | $172685.84    | 0.05%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines                                                              | DELTA AIR LINES 2015-1 CLASS AA PASS THROUGH TRUST 3.625000% 07/30/2027           | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385399 | PA      | $378104.84    | 0.11%             | 2027-07-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS, LLC                                                | DISCOVERY COMMUNICATIONS LLC 4.125000% 05/15/2029                                 | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    200000 | PA      | $171964.00    | 0.05%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DRYDEN CLO LTD                                                               | DRYDEN 68 CLO LTD DRSLF 2019-68A ARR                                              | CUSIP: 26252QAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $399890.40    | 0.12%             | 2035-07-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Carolinas, LLC                                                   | DUKE ENERGY CAROLINAS LLC 2.850000% 03/15/2032                                    | CUSIP: 26442CBG8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1057000 | PA      | $948213.86    | 0.28%             | 2032-03-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress, LLC                                                    | DUKE ENERGY PROGRESS LLC 5.050000% 03/15/2035                                     | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    340000 | PA      | $341589.48    | 0.10%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH, INC.                                                        | ELEVANCE HEALTH INC 2.550000% 03/15/2031                                          | CUSIP: 036752AP8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1023000 | PA      | $918575.10    | 0.27%             | 2031-03-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH, INC.                                                        | ELEVANCE HEALTH INC 4.100000% 05/15/2032                                          | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76825.39     | 0.02%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ELI LILLY AND COMPANY                                                        | ELI LILLY & CO 4.500000% 02/09/2029                                               | CUSIP: 532457CK2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202791.10    | 0.06%             | 2029-02-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                           | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1                          | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    235511 | PA      | $196614.04    | 0.06%             | 2066-06-25      | Floating      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                           | ELLINGTON FINANCIAL MORTGAGE TRUST 2022-1 EFMT 2022-1 A1                          | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     78908 | PA      | $68377.06     | 0.02%             | 2067-01-25      | Floating      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| ELMWOOD CLO                                                                  | ELMWOOD CLO 22 LTD ELM22 2023-1A AR                                               | CUSIP: 29001YAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    355000 | PA      | $355053.25    | 0.11%             | 2038-04-17      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                           | ENERGY TRANSFER LP 3.750000% 05/15/2030                                           | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    220000 | PA      | $210883.88    | 0.06%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                           | ENERGY TRANSFER LP 4.950000% 06/15/2028                                           | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10134.93     | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EXELON CORPORATION                                                           | EXELON CORP 5.625000% 06/15/2035                                                  | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    343000 | PA      | $352714.82    | 0.10%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JULY)                                         | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1325000 | PA      | $1145747.68   | 0.34%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JULY)                                         | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2075000 | PA      | $1984150.94   | 0.59%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JULY)                                         | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1475000 | PA      | $1223235.60   | 0.36%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JULY)                                         | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1950000 | PA      | $1910882.22   | 0.57%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JULY)                                         | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4150000 | PA      | $3857856.72   | 1.15%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JULY)                                         | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4350000 | PA      | $3917543.58   | 1.16%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JULY)                                         | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   7425000 | PA      | $5875313.10   | 1.75%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JULY)                                         | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    575000 | PA      | $574894.85    | 0.17%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 255935                                                         | CUSIP: 31371MHL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       574 | PA      | $572.60       | 0.00%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 735228                                                         | CUSIP: 31402QYZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     40513 | PA      | $41711.06     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 863729                                                         | CUSIP: 31408XSS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     17714 | PA      | $18210.00     | 0.01%             | 2036-01-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 870545                                                         | CUSIP: 31409GES1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     15525 | PA      | $15847.10     | 0.00%             | 2036-03-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 889151                                                         | CUSIP: 31410GZQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     18172 | PA      | $18800.31     | 0.01%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 890604                                                         | CUSIP: 31410LNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    159054 | PA      | $157089.43    | 0.05%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 890695                                                         | CUSIP: 31410LRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    367927 | PA      | $349588.42    | 0.10%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 890843                                                         | CUSIP: 31410LWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    131211 | PA      | $116867.81    | 0.03%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 928938                                                         | CUSIP: 31412MBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       895 | PA      | $943.73       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 934648                                                         | CUSIP: 31412TZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2602 | PA      | $2742.04      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 955183                                                         | CUSIP: 31413TUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2824 | PA      | $2976.46      | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 991549                                                         | CUSIP: 31415WQA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2011 | PA      | $2118.95      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 992249                                                         | CUSIP: 31415XH20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2363 | PA      | $2490.54      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AB3467                                                         | CUSIP: 31416YZ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    112358 | PA      | $111865.79    | 0.03%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AB9597                                                         | CUSIP: 31417GUX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     17462 | PA      | $16838.40     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AK4523                                                         | CUSIP: 3138E9AZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    248871 | PA      | $240109.23    | 0.07%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AK5556                                                         | CUSIP: 3138EAE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    773332 | PA      | $745772.27    | 0.22%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL4741                                                         | CUSIP: 3138EMHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     13329 | PA      | $13082.00     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL6663                                                         | CUSIP: 3138EPMM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    233159 | PA      | $229328.09    | 0.07%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL9546                                                         | CUSIP: 3138ERTC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     32744 | PA      | $30443.51     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AP2422                                                         | CUSIP: 3138M5VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    447588 | PA      | $419971.38    | 0.12%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AQ4078                                                         | CUSIP: 3138MKQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     16289 | PA      | $15709.96     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AQ4080                                                         | CUSIP: 3138MKRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     12868 | PA      | $12409.96     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AR7399                                                         | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     15449 | PA      | $13892.56     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS0038                                                         | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     33897 | PA      | $30483.10     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS0070                                                         | CUSIP: 3138W9CG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     15863 | PA      | $15168.89     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS4271                                                         | CUSIP: 3138WDW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     16559 | PA      | $16258.74     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS4347                                                         | CUSIP: 3138WDZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     14988 | PA      | $14248.54     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS4583                                                         | CUSIP: 3138WECV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    205173 | PA      | $194818.74    | 0.06%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS6340                                                         | CUSIP: 3138WGBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     21006 | PA      | $19486.63     | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS6562                                                         | CUSIP: 3138WGJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     36877 | PA      | $33967.30     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS7533                                                         | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     50750 | PA      | $45200.50     | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS7844                                                         | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     24483 | PA      | $21747.81     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS9588                                                         | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     73955 | PA      | $69931.44     | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT5860                                                         | CUSIP: 3138WTQN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    441656 | PA      | $413853.80    | 0.12%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT8394                                                         | CUSIP: 3138WWKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     19020 | PA      | $18310.26     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT9637                                                         | CUSIP: 3138WXV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     34085 | PA      | $32813.59     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT9653                                                         | CUSIP: 3138WXWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     39006 | PA      | $37559.05     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT9657                                                         | CUSIP: 3138WXWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     15272 | PA      | $14703.79     | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AU3751                                                         | CUSIP: 3138X3EZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    264922 | PA      | $255239.61    | 0.08%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AU5890                                                         | CUSIP: 3138X5RL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1648 | PA      | $1621.59      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AU6735                                                         | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     20908 | PA      | $18797.48     | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BC1509                                                         | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     27546 | PA      | $24465.53     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BE3776                                                         | CUSIP: 3140FPFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     39635 | PA      | $38594.58     | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0104                                                         | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     32446 | PA      | $30240.81     | 0.01%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0145                                                         | CUSIP: 3140FXET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    193910 | PA      | $173556.02    | 0.05%             | 2057-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0148                                                         | CUSIP: 3140FXEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    124369 | PA      | $120065.99    | 0.04%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0191                                                         | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30509 | PA      | $28435.52     | 0.01%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0222                                                         | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     93293 | PA      | $89257.19     | 0.03%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0301                                                         | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     61432 | PA      | $58775.34     | 0.02%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0560                                                         | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     76119 | PA      | $60449.53     | 0.02%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BJ9257                                                         | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     21598 | PA      | $21076.65     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BK2620                                                         | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     52846 | PA      | $44408.39     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM3259                                                         | CUSIP: 3140J7TR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    534910 | PA      | $483018.22    | 0.14%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM3286                                                         | CUSIP: 3140J7UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    202308 | PA      | $198162.87    | 0.06%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM4097                                                         | CUSIP: 3140J8RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    507576 | PA      | $493524.16    | 0.15%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM4751                                                         | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     58991 | PA      | $55548.77     | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM5695                                                         | CUSIP: 3140JAKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     99188 | PA      | $93691.75     | 0.03%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM5956                                                         | CUSIP: 3140JATN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    188593 | PA      | $186294.07    | 0.06%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BN1623                                                         | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     21286 | PA      | $20691.82     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BN4303                                                         | CUSIP: 3140JLX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    516919 | PA      | $513346.74    | 0.15%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BN6257                                                         | CUSIP: 3140JN5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    551385 | PA      | $511277.57    | 0.15%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BO1406                                                         | CUSIP: 3140JVR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    194700 | PA      | $177460.93    | 0.05%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BO6275                                                         | CUSIP: 3140K16M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    521646 | PA      | $474850.06    | 0.14%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BO9169                                                         | CUSIP: 3140K5FK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    728103 | PA      | $639544.07    | 0.19%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BP0661                                                         | CUSIP: 3140K7WX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    677588 | PA      | $638555.60    | 0.19%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BP2898                                                         | CUSIP: 3140KAGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     96902 | PA      | $90569.72     | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ3137                                                         | CUSIP: 3140KNPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    248361 | PA      | $209298.92    | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ3138                                                         | CUSIP: 3140KNPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    211383 | PA      | $177898.71    | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ5101                                                         | CUSIP: 3140KQU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    531066 | PA      | $464708.77    | 0.14%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ6341                                                         | CUSIP: 3140KSBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     35192 | PA      | $30871.37     | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR2664                                                         | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     60866 | PA      | $48946.67     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR4756                                                         | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     62868 | PA      | $50431.35     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5587                                                         | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     67724 | PA      | $54524.28     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5632                                                         | CUSIP: 3140L4HJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    580457 | PA      | $468280.12    | 0.14%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5633                                                         | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     69490 | PA      | $55885.94     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BU1030                                                         | CUSIP: 3140M2EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    220707 | PA      | $177269.20    | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BU2599                                                         | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72499 | PA      | $60901.47     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BV3089                                                         | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72464 | PA      | $60916.55     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BW0048                                                         | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     68455 | PA      | $67387.11     | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BW9916                                                         | CUSIP: 3140N3AS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     76007 | PA      | $74722.89     | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BX0426                                                         | CUSIP: 3140N4PL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    946179 | PA      | $950330.95    | 0.28%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2047                                                         | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     37909 | PA      | $36855.58     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2199                                                         | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     56394 | PA      | $54821.24     | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2472                                                         | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     49232 | PA      | $46378.85     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2482                                                         | CUSIP: 3140Q9XL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     37360 | PA      | $36391.24     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA4950                                                         | CUSIP: 3140QCQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    523898 | PA      | $477079.01    | 0.14%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5122                                                         | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    369172 | PA      | $325406.35    | 0.10%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5379                                                         | CUSIP: 3140QC6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     34698 | PA      | $33598.88     | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5969                                                         | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    878017 | PA      | $738732.80    | 0.22%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5986                                                         | CUSIP: 3140QDUL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    826575 | PA      | $695080.55    | 0.21%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA6097                                                         | CUSIP: 3140QDX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    533520 | PA      | $484638.20    | 0.14%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA6799                                                         | CUSIP: 3140QERV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1075952 | PA      | $864033.66    | 0.26%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA6871                                                         | CUSIP: 3140QET51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1168572 | PA      | $1094936.97   | 0.33%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA7257                                                         | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     64646 | PA      | $54555.67     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA7531                                                         | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     64829 | PA      | $56965.50     | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB1878                                                         | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    138500 | PA      | $120710.87    | 0.04%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB2664                                                         | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    301647 | PA      | $263704.48    | 0.08%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3044                                                         | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    157032 | PA      | $132171.77    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3126                                                         | CUSIP: 3140QNPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     81381 | PA      | $74231.77     | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3880                                                         | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72710 | PA      | $71940.13     | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3899                                                         | CUSIP: 3140QPKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    170927 | PA      | $154996.24    | 0.05%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB4103                                                         | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    153612 | PA      | $153157.40    | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB4337                                                         | CUSIP: 3140QPZB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    930421 | PA      | $903646.81    | 0.27%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB4352                                                         | CUSIP: 3140QPZS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    751393 | PA      | $745065.43    | 0.22%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB5108                                                         | CUSIP: 3140QQVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    162583 | PA      | $163675.81    | 0.05%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB6322                                                         | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     84292 | PA      | $84730.32     | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB7109                                                         | CUSIP: 3140QS3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    174761 | PA      | $176173.32    | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB7336                                                         | CUSIP: 3140QTEJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    746005 | PA      | $749369.83    | 0.22%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FA0658                                                         | CUSIP: 3140W0WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1421726 | PA      | $1361076.47   | 0.40%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1000                                                         | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    285083 | PA      | $252895.80    | 0.08%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1263                                                         | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     32921 | PA      | $31806.36     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1266                                                         | CUSIP: 3140X4MQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    288781 | PA      | $288517.44    | 0.09%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1363                                                         | CUSIP: 3140X4QR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    168995 | PA      | $163810.03    | 0.05%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1387                                                         | CUSIP: 3140X4RH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    388220 | PA      | $387881.64    | 0.12%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1727                                                         | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     76900 | PA      | $76832.47     | 0.02%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1756                                                         | CUSIP: 3140X45S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    194046 | PA      | $197165.43    | 0.06%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2256                                                         | CUSIP: 3140X5QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     61459 | PA      | $60372.25     | 0.02%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2336                                                         | CUSIP: 3140X5S20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    111885 | PA      | $105476.82    | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2373                                                         | CUSIP: 3140X5T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30282 | PA      | $30174.55     | 0.01%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2493                                                         | CUSIP: 3140X5XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     76779 | PA      | $76709.33     | 0.02%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2674                                                         | CUSIP: 3140X56L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    233052 | PA      | $219414.68    | 0.07%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2770                                                         | CUSIP: 3140X6CG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72946 | PA      | $66444.86     | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3002                                                         | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     21284 | PA      | $20780.43     | 0.01%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3049                                                         | CUSIP: 3140X6L74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     68938 | PA      | $66239.11     | 0.02%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3194                                                         | CUSIP: 3140X6RQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    590275 | PA      | $588976.17    | 0.18%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3250                                                         | CUSIP: 3140X6TG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    163786 | PA      | $149341.66    | 0.04%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3407                                                         | CUSIP: 3140X6YD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    202770 | PA      | $184957.83    | 0.05%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3444                                                         | CUSIP: 3140X6ZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    247007 | PA      | $225079.35    | 0.07%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3572                                                         | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    135615 | PA      | $131840.36    | 0.04%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3773                                                         | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     93299 | PA      | $86248.30     | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4252                                                         | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     62655 | PA      | $50020.87     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4311                                                         | CUSIP: 3140X7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     57780 | PA      | $50758.52     | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4330                                                         | CUSIP: 3140X7Y45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    440697 | PA      | $372053.96    | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4577                                                         | CUSIP: 3140X8CP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     64282 | PA      | $53988.46     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4946                                                         | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     63177 | PA      | $62523.75     | 0.02%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4965                                                         | CUSIP: 3140X8QT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    427088 | PA      | $393424.83    | 0.12%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5012                                                         | CUSIP: 3140X8SA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    173061 | PA      | $168260.66    | 0.05%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5313                                                         | CUSIP: 3140X83X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     71037 | PA      | $59734.26     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5423                                                         | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     66072 | PA      | $55608.87     | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5819                                                         | CUSIP: 3140X9PD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    509020 | PA      | $480146.08    | 0.14%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6117                                                         | CUSIP: 3140X9YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     92712 | PA      | $82152.69     | 0.02%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6184                                                         | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    127262 | PA      | $102545.11    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6460                                                         | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     63851 | PA      | $53846.87     | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6465                                                         | CUSIP: 3140XAFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    473601 | PA      | $452458.83    | 0.13%             | 2031-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6780                                                         | CUSIP: 3140XARA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     60318 | PA      | $50775.79     | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6954                                                         | CUSIP: 3140XAWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    463281 | PA      | $392126.93    | 0.12%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7148                                                         | CUSIP: 3140XA5J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    505541 | PA      | $490363.78    | 0.15%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7321                                                         | CUSIP: 3140XBD31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    247085 | PA      | $232954.97    | 0.07%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7785                                                         | CUSIP: 3140XBUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    801300 | PA      | $758353.42    | 0.23%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7786                                                         | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    132597 | PA      | $125551.02    | 0.04%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7796                                                         | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     49977 | PA      | $47350.36     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7900                                                         | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     68336 | PA      | $57603.93     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7910                                                         | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     71720 | PA      | $60894.60     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8216                                                         | CUSIP: 3140XCDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    643241 | PA      | $606246.80    | 0.18%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8576                                                         | CUSIP: 3140XCQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    253747 | PA      | $224950.42    | 0.07%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8648                                                         | CUSIP: 3140XCTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    133939 | PA      | $117017.41    | 0.03%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8672                                                         | CUSIP: 3140XCT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    357625 | PA      | $336816.03    | 0.10%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8786                                                         | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     75314 | PA      | $63305.10     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8864                                                         | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     69377 | PA      | $58464.76     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9044                                                         | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     67714 | PA      | $59719.87     | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9387                                                         | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     74351 | PA      | $59748.46     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9412                                                         | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1308250 | PA      | $1098519.86   | 0.33%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9461                                                         | CUSIP: 3140XDQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    540062 | PA      | $489370.70    | 0.15%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9464                                                         | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    137789 | PA      | $120968.23    | 0.04%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9728                                                         | CUSIP: 3140XDY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1576427 | PA      | $1323716.32   | 0.39%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0024                                                         | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     65038 | PA      | $55159.72     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0037                                                         | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     60131 | PA      | $53135.17     | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0067                                                         | CUSIP: 3140XFCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     59155 | PA      | $57089.16     | 0.02%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0191                                                         | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     74458 | PA      | $62717.08     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0240                                                         | CUSIP: 3140XFHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     71709 | PA      | $62959.15     | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0331                                                         | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    151094 | PA      | $131039.50    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0352                                                         | CUSIP: 3140XFMA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    236655 | PA      | $189911.55    | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0366                                                         | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     73146 | PA      | $62431.81     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0434                                                         | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72033 | PA      | $61062.66     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0520                                                         | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     75664 | PA      | $66405.04     | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0582                                                         | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     76413 | PA      | $64346.49     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0751                                                         | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    149835 | PA      | $130824.57    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1014                                                         | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     77816 | PA      | $62589.48     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1074                                                         | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    445957 | PA      | $392753.53    | 0.12%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1104                                                         | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     73092 | PA      | $61581.31     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1112                                                         | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    385066 | PA      | $311092.83    | 0.09%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1171                                                         | CUSIP: 3140XGJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    183619 | PA      | $159269.61    | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1462                                                         | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     73202 | PA      | $66910.54     | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1539                                                         | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72456 | PA      | $65153.57     | 0.02%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1556                                                         | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    310000 | PA      | $283464.56    | 0.08%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1938                                                         | CUSIP: 3140XHEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    889687 | PA      | $746327.70    | 0.22%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2296                                                         | CUSIP: 3140XHRS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    219974 | PA      | $199646.97    | 0.06%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2496                                                         | CUSIP: 3140XHX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    129738 | PA      | $124532.31    | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2764                                                         | CUSIP: 3140XJCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    490640 | PA      | $477799.74    | 0.14%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2914                                                         | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     80675 | PA      | $77757.54     | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS3196                                                         | CUSIP: 3140XJRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    758924 | PA      | $611789.23    | 0.18%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS3249                                                         | CUSIP: 3140XJTF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     68573 | PA      | $67544.79     | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS3800                                                         | CUSIP: 3140XKGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    423321 | PA      | $419356.57    | 0.12%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS4166                                                         | CUSIP: 3140XKTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     81527 | PA      | $82233.66     | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS4367                                                         | CUSIP: 3140XKZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    626982 | PA      | $613164.62    | 0.18%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS4764                                                         | CUSIP: 3140XLJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    905503 | PA      | $761912.45    | 0.23%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS4805                                                         | CUSIP: 3140XLKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85157 | PA      | $85231.72     | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS4922                                                         | CUSIP: 3140XLPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    919522 | PA      | $812212.36    | 0.24%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS5059                                                         | CUSIP: 3140XLTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     82701 | PA      | $76645.25     | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS5155                                                         | CUSIP: 3140XLWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    163137 | PA      | $161995.43    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS5625                                                         | CUSIP: 3140XMHB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    771626 | PA      | $765038.36    | 0.23%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS5647                                                         | CUSIP: 3140XMHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     84868 | PA      | $85753.14     | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS6214                                                         | CUSIP: 3140XM3Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    514174 | PA      | $520445.30    | 0.15%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS6451                                                         | CUSIP: 3140XNEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     84532 | PA      | $85022.07     | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS6928                                                         | CUSIP: 3140XNVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1348815 | PA      | $1129094.60   | 0.34%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS7294                                                         | CUSIP: 3140XPC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     82782 | PA      | $85678.75     | 0.03%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS8867                                                         | CUSIP: 3140XQZ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    858786 | PA      | $848260.92    | 0.25%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS9271                                                         | CUSIP: 3140XRJR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    800826 | PA      | $779058.36    | 0.23%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1253                                                         | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     23587 | PA      | $22641.63     | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1463                                                         | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    173353 | PA      | $161333.08    | 0.05%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1591                                                         | CUSIP: 31418AXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     33855 | PA      | $33228.15     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1629                                                         | CUSIP: 31418AY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30370 | PA      | $29807.14     | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1664                                                         | CUSIP: 31418AZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     14475 | PA      | $14206.60     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1711                                                         | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     16355 | PA      | $16052.47     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA3210                                                         | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    157133 | PA      | $144309.30    | 0.04%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4031                                                         | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     19294 | PA      | $18658.93     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4325                                                         | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    299401 | PA      | $238163.75    | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4437                                                         | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    476975 | PA      | $377980.55    | 0.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4579                                                         | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1219464 | PA      | $1056642.63   | 0.31%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4599                                                         | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     83224 | PA      | $72103.42     | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4701                                                         | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    161880 | PA      | $155098.20    | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4869                                                         | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     78757 | PA      | $78988.67     | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2005-29 ZA                                                  | CUSIP: 31394DEV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     63637 | PA      | $66248.27     | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2012-118 VZ                                                 | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    111100 | PA      | $101268.17    | 0.03%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2014-6 Z                                                    | CUSIP: 3136AH6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    132688 | PA      | $117462.72    | 0.03%             | 2044-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2018-74 AB                                                  | CUSIP: 3136B3HQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     55970 | PA      | $51930.33     | 0.02%             | 2048-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2020-47 GZ                                                  | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    110508 | PA      | $65670.50     | 0.02%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2020-56 AQ                                                  | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    200000 | PA      | $157836.80    | 0.05%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2020-57 TA                                                  | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     82965 | PA      | $72046.79     | 0.02%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2023-2 CI                                                   | CUSIP: 3136BPUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    853130 | PA      | $110337.33    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE TRUST 2003-W2 FNW 2003-W2 2A9                                          | CUSIP: 31392JAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    214909 | PA      | $216781.85    | 0.06%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Ferguson Finance Plc                                                         | FERGUSON FINANCE PLC 144A 3.250000% 06/02/2030                                    | CUSIP: 314890AB0<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | NUSS              | US        |    851000 | PA      | $801473.96    | 0.24%             | 2030-06-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ferguson Finance Plc                                                         | FERGUSON FINANCE PLC 144A 4.500000% 10/24/2028                                    | CUSIP: 314890AA2<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | NUSS              | US        |    459000 | PA      | $458196.64    | 0.14%             | 2028-10-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP.                                                            | FIRSTENERGY CORP 1.600000% 01/15/2026                                             | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29447.37     | 0.01%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES TRUST                                                         | FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021-SFR1 A                                    | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    733518 | PA      | $708791.04    | 0.21%             | 2038-08-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FIRSTKEY HOMES TRUST                                                         | FIRSTKEY HOMES 2021-SFR3 TRUST FKH 2021-SFR3 A                                    | CUSIP: 33768JAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    424216 | PA      | $409904.32    | 0.12%             | 2038-12-17      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| FLATIRON CLO LTD                                                             | FLATIRON CLO 26 LTD FLAT 2024-4A A                                                | CUSIP: 33888AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    525000 | PA      | $525943.95    | 0.16%             | 2038-01-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| FLATIRON CLO LTD                                                             | FLATIRON RR CLO 22 LLC FLAT 2021-2A AR                                            | CUSIP: 33883QAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    693000 | PA      | $689451.84    | 0.20%             | 2034-10-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT COMPANY                                                | FLORIDA POWER & LIGHT CO 2.450000% 02/03/2032                                     | CUSIP: 341081GG6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    544000 | PA      | $479736.68    | 0.14%             | 2032-02-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                        | FOUNDRY JV HOLDCO LLC 144A 5.500000% 01/25/2031                                   | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    335000 | PA      | $343524.53    | 0.10%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G02469                                                   | CUSIP: 3128M4CE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     11503 | PA      | $11881.97     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G04588                                                   | CUSIP: 3128M6ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     11152 | PA      | $11446.40     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G07668                                                   | CUSIP: 3128M9Z96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    303362 | PA      | $298739.52    | 0.09%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G07697                                                   | CUSIP: 3128M93E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    141490 | PA      | $141073.82    | 0.04%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G08844                                                   | CUSIP: 3128MJ5E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      9592 | PA      | $9570.18      | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G08859                                                   | CUSIP: 3128MJ5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     27221 | PA      | $27208.49     | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G60199                                                   | CUSIP: 31335AGG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    361787 | PA      | $360721.73    | 0.11%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G60804                                                   | CUSIP: 31335A3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    177780 | PA      | $177156.65    | 0.05%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G60985                                                   | CUSIP: 31335BCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    190483 | PA      | $170373.65    | 0.05%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G61242                                                   | CUSIP: 31335BLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    216061 | PA      | $213369.99    | 0.06%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G61526                                                   | CUSIP: 31335BVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    208997 | PA      | $216083.50    | 0.06%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G61739                                                   | CUSIP: 31335B4Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     94786 | PA      | $84638.77     | 0.03%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G67701                                                   | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    113163 | PA      | $102106.32    | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG L00016                                                   | CUSIP: 3128DFAR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    327564 | PA      | $332425.55    | 0.10%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q05692                                                   | CUSIP: 3132GL7D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    254661 | PA      | $245972.88    | 0.07%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q17792                                                   | CUSIP: 3132J9C63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     65467 | PA      | $61474.17     | 0.02%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q19236                                                   | CUSIP: 3132JAV69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     13953 | PA      | $13436.65     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q19254                                                   | CUSIP: 3132JAWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     14500 | PA      | $13739.35     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q19615                                                   | CUSIP: 3132JBDV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     16693 | PA      | $16093.47     | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q26814                                                   | CUSIP: 3132M7GX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     48862 | PA      | $46529.06     | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q41945                                                   | CUSIP: 3132WFET2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      8069 | PA      | $7800.43      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q42618                                                   | CUSIP: 3132WF4C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    403549 | PA      | $358581.22    | 0.11%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q53595                                                   | CUSIP: 3132XV7H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    308285 | PA      | $283580.40    | 0.08%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U90503                                                   | CUSIP: 3132H3RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     42887 | PA      | $39979.49     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U90903                                                   | CUSIP: 3132H4AC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     19161 | PA      | $17862.59     | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U91254                                                   | CUSIP: 3132HBH73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     37792 | PA      | $36182.70     | 0.01%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U91671                                                   | CUSIP: 3132HBW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    236024 | PA      | $219933.20    | 0.07%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U95137                                                   | CUSIP: 3132H5EK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     14412 | PA      | $13798.01     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U99045                                                   | CUSIP: 3132H7BP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     80812 | PA      | $75335.74     | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U99124                                                   | CUSIP: 3132H7D68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    150313 | PA      | $140122.36    | 0.04%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U99126                                                   | CUSIP: 3132H7D84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    221991 | PA      | $199926.00    | 0.06%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG V83157                                                   | CUSIP: 3132L8QJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    191335 | PA      | $185471.83    | 0.06%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Z40125                                                   | CUSIP: 3132FCD69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    404183 | PA      | $419383.44    | 0.12%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1515 X1                 | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2270016 | PA      | $223252.23    | 0.07%             | 2035-02-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K118 X1                   | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  13526989 | PA      | $545765.29    | 0.16%             | 2030-09-25      | Floating      | 1.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K740 X1                   | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7759074 | PA      | $105018.29    | 0.03%             | 2027-09-25      | Floating      | 0.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KG06 X1                   | CUSIP: 3137H4C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6483518 | PA      | $174767.77    | 0.05%             | 2031-10-25      | Floating      | 0.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 841089                                               | CUSIP: 31288QF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    203920 | PA      | $210349.75    | 0.06%             | 2047-06-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 841090                                               | CUSIP: 31288QF70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    315796 | PA      | $325107.35    | 0.10%             | 2046-10-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QA8518                                                        | CUSIP: 3133A3PB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    368594 | PA      | $323754.82    | 0.10%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QC5830                                                        | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    295750 | PA      | $248041.17    | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QC7411                                                        | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     77710 | PA      | $65365.93     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QC9154                                                        | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     77453 | PA      | $68078.07     | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QD6079                                                        | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    157830 | PA      | $132490.22    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QD8675                                                        | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     77913 | PA      | $65616.13     | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE0399                                                        | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     77655 | PA      | $67886.49     | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE1492                                                        | CUSIP: 3133BAUR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     71658 | PA      | $65377.37     | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE2241                                                        | CUSIP: 3133BBP29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     72524 | PA      | $70170.61     | 0.02%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE6679                                                        | CUSIP: 3133BGM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     76098 | PA      | $73789.71     | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QF3213                                                        | CUSIP: 3133BQSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      8248 | PA      | $7900.82      | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QF5465                                                        | CUSIP: 3133BTCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     78014 | PA      | $76676.63     | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QG1295                                                        | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     77192 | PA      | $77420.97     | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QG7311                                                        | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     83344 | PA      | $83833.75     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QN1779                                                        | CUSIP: 3133G76Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    397650 | PA      | $374008.41    | 0.11%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA2572                                                        | CUSIP: 3133KH2D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    388599 | PA      | $353697.01    | 0.11%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA3913                                                        | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    369832 | PA      | $312727.75    | 0.09%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA4142                                                        | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    310181 | PA      | $261999.87    | 0.08%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA4175                                                        | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    126490 | PA      | $106306.60    | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA5117                                                        | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    284981 | PA      | $228514.76    | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA5373                                                        | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     75739 | PA      | $60720.07     | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA5731                                                        | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    227008 | PA      | $181313.14    | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA6562                                                        | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     72556 | PA      | $61425.10     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA6954                                                        | CUSIP: 3133KNWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     79065 | PA      | $69119.47     | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA8694                                                        | CUSIP: 3133KQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    336235 | PA      | $332691.03    | 0.10%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA8790                                                        | CUSIP: 3133KQXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     86476 | PA      | $85080.58     | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA9437                                                        | CUSIP: 3133KRPW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     82578 | PA      | $82977.74     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RB0714                                                        | CUSIP: 3133KTYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     74959 | PA      | $64517.40     | 0.02%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SC0093                                                        | CUSIP: 3132D9C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    120118 | PA      | $104212.83    | 0.03%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SC0160                                                        | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    137580 | PA      | $118660.79    | 0.04%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SC0188                                                        | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     69757 | PA      | $60149.71     | 0.02%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SC0206                                                        | CUSIP: 3132D9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     70107 | PA      | $60421.99     | 0.02%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SC0384                                                        | CUSIP: 3132D9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    166522 | PA      | $143248.37    | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0499                                                        | CUSIP: 3132DMRU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1117740 | PA      | $991268.05    | 0.29%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0573                                                        | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     59504 | PA      | $48229.15     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0615                                                        | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     72192 | PA      | $69750.06     | 0.02%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0619                                                        | CUSIP: 3132DMVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    814422 | PA      | $766180.58    | 0.23%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0745                                                        | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     75597 | PA      | $60821.85     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0781                                                        | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     67313 | PA      | $58603.91     | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0849                                                        | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     75565 | PA      | $63559.86     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1217                                                        | CUSIP: 3132DNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    960385 | PA      | $772045.80    | 0.23%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1775                                                        | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    170320 | PA      | $163988.45    | 0.05%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1807                                                        | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     78390 | PA      | $75380.10     | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1844                                                        | CUSIP: 3132DPBM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    415280 | PA      | $361551.58    | 0.11%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1936                                                        | CUSIP: 3132DPEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     82554 | PA      | $74801.67     | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2138                                                        | CUSIP: 3132DPLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     82678 | PA      | $83392.04     | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2245                                                        | CUSIP: 3132DPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     83182 | PA      | $83903.55     | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2511                                                        | CUSIP: 3132DPYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     78224 | PA      | $78435.48     | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2591                                                        | CUSIP: 3132DP2Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     80897 | PA      | $79864.12     | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2723                                                        | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     88327 | PA      | $88839.23     | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2762                                                        | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     82351 | PA      | $82774.40     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2792                                                        | CUSIP: 3132DQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     75787 | PA      | $74951.20     | 0.02%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2866                                                        | CUSIP: 3132DQFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     80835 | PA      | $76541.00     | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD2991                                                        | CUSIP: 3132DQKC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     82844 | PA      | $69784.69     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD3171                                                        | CUSIP: 3132DQQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     85157 | PA      | $85895.22     | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD3294                                                        | CUSIP: 3132DQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    446062 | PA      | $451502.23    | 0.13%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD3475                                                        | CUSIP: 3132DQ2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     87004 | PA      | $87759.01     | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD4365                                                        | CUSIP: 3132E0Z62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     87064 | PA      | $87590.05     | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD4709                                                        | CUSIP: 3132DSGS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     80766 | PA      | $81571.56     | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD5270                                                        | CUSIP: 3132DS2B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    684692 | PA      | $678846.51    | 0.20%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7525                                                        | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    118948 | PA      | $100885.75    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7534                                                        | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    124934 | PA      | $106058.34    | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7540                                                        | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2015842 | PA      | $1704661.23   | 0.51%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7543                                                        | CUSIP: 3132DVLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    960610 | PA      | $809409.32    | 0.24%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7548                                                        | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1038786 | PA      | $877868.69    | 0.26%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7552                                                        | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    784175 | PA      | $659974.01    | 0.20%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7552                                                        | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1688049 | PA      | $1421259.79   | 0.42%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7554                                                        | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    465636 | PA      | $392322.73    | 0.12%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7560                                                        | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    161484 | PA      | $152108.59    | 0.05%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8079                                                        | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    158192 | PA      | $126026.97    | 0.04%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8204                                                        | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1740423 | PA      | $1380980.05   | 0.41%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8212                                                        | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    235550 | PA      | $196032.77    | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8213                                                        | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1395025 | PA      | $1208617.37   | 0.36%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8256                                                        | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1478854 | PA      | $1377611.49   | 0.41%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8264                                                        | CUSIP: 3132DWFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1296426 | PA      | $1169655.06   | 0.35%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8267                                                        | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     82638 | PA      | $81386.52     | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8287                                                        | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    646960 | PA      | $619969.04    | 0.18%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA5297                                                        | CUSIP: 31329N3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     58455 | PA      | $55328.05     | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA5297                                                        | CUSIP: 31329N3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    373916 | PA      | $353960.70    | 0.11%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA5318                                                        | CUSIP: 31329N4B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    157352 | PA      | $144070.52    | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA6531                                                        | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    358330 | PA      | $348279.42    | 0.10%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS4693                                                        | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    248687 | PA      | $220023.70    | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS7738                                                        | CUSIP: 3132A8S34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    220132 | PA      | $212578.66    | 0.06%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS7740                                                        | CUSIP: 3132A8S59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    165993 | PA      | $160605.96    | 0.05%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZT0794                                                        | CUSIP: 3132AC3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    249748 | PA      | $243011.99    | 0.07%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZT1858                                                        | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    331946 | PA      | $322756.34    | 0.10%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4391 MZ                                                    | CUSIP: 3137BDMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    138002 | PA      | $124028.77    | 0.04%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4813 CJ                                                    | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     25628 | PA      | $22349.70     | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4980 KI                                                    | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    385515 | PA      | $91525.98     | 0.03%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5224 HL                                                    | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    300000 | PA      | $271637.91    | 0.08%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5293 IO                                                    | CUSIP: 3137H9QG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    855422 | PA      | $107828.99    | 0.03%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5473 BF                                                    | CUSIP: 3137HHFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    456631 | PA      | $457310.66    | 0.14%             | 2054-11-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2018-4 MA                 | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    169955 | PA      | $163729.96    | 0.05%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-1 MA                 | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    312482 | PA      | $300566.41    | 0.09%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2021-DNA6 STACR 2021-DNA6 M2                        | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    211284 | PA      | $212082.75    | 0.06%             | 2041-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-DNA2 STACR 2022-DNA2 M1A                       | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     27851 | PA      | $27868.45     | 0.01%             | 2042-02-25      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FRESB MORTGAGE TRUST                                                         | FRESB 2018-SB48 MORTGAGE TRUST FRESB 2018-SB48 A10F                               | CUSIP: 30296RAP5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    326761 | PA      | $318654.54    | 0.09%             | 2028-02-25      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Genpact Luxembourg S.a.r.l.                                                  | GENPACT LUXEMBOURG SARL/GENPACT USA INC 6.000000% 06/04/2029                      | CUSIP: 37190AAB5<br>LEI: 549300875ZJZQ1PBR343 | Long             | DBT              | NUSS              | US        |    469000 | PA      | $485430.49    | 0.14%             | 2029-06-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 692307                                                       | CUSIP: 36296JDL6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12258 | PA      | $12502.76     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 734152                                                       | CUSIP: 3620AMTH5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    175383 | PA      | $166968.11    | 0.05%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784085                                                       | CUSIP: 3622A2RE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    672000 | PA      | $670082.90    | 0.20%             | 2034-09-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784369                                                       | CUSIP: 3622A22A9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    217166 | PA      | $206137.62    | 0.06%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784571                                                       | CUSIP: 3622A3CG3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     52928 | PA      | $49365.10     | 0.01%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784605                                                       | CUSIP: 3622AAAE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     44171 | PA      | $43319.39     | 0.01%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN BS8439                                                       | CUSIP: 3617MKLU1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     33971 | PA      | $30985.26     | 0.01%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JULY)                                                | CUSIP: 21H022671<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2525000 | PA      | $2147669.73   | 0.64%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JULY)                                                | CUSIP: 21H042679<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    875000 | PA      | $837326.39    | 0.25%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JULY)                                                | CUSIP: 21H032670<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    100000 | PA      | $90781.13     | 0.03%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JULY)                                                | CUSIP: 21H040673<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    200000 | PA      | $185914.06    | 0.06%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JULY)                                                | CUSIP: 21H030674<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    400000 | PA      | $353511.09    | 0.11%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JULY)                                                | CUSIP: 21H050672<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1900000 | PA      | $1866085.23   | 0.55%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JULY)                                                | CUSIP: 21H052678<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    325000 | PA      | $325327.18    | 0.10%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 3953                                                        | CUSIP: 36202EMA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     20228 | PA      | $20690.73     | 0.01%             | 2037-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4194                                                        | CUSIP: 36202EUT4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10541 | PA      | $10776.01     | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4308                                                        | CUSIP: 36202EYD5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4411 | PA      | $4362.63      | 0.00%             | 2038-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4696                                                        | CUSIP: 36202FGD2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    104446 | PA      | $103624.09    | 0.03%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4747                                                        | CUSIP: 36202FHY5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    195042 | PA      | $197440.10    | 0.06%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4923                                                        | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     76780 | PA      | $76183.56     | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 783368                                                      | CUSIP: 36241LW51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     27021 | PA      | $26807.72     | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784106                                                      | CUSIP: 3622A2R38<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10940 | PA      | $10167.57     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784319                                                      | CUSIP: 3622A2YQ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     69448 | PA      | $68920.62     | 0.02%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784825                                                      | CUSIP: 3622AAHA5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8627 | PA      | $7836.32      | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784894                                                      | CUSIP: 3622AAKF0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     87559 | PA      | $79759.90     | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 785283                                                      | CUSIP: 3622AAXL3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    837203 | PA      | $711782.62    | 0.21%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786108                                                      | CUSIP: 3622ABU91<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     84653 | PA      | $75640.08     | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786216                                                      | CUSIP: 3622ABYM8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     65429 | PA      | $58624.25     | 0.02%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786474                                                      | CUSIP: 3622ACCK4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     79843 | PA      | $79056.16     | 0.02%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786709                                                      | CUSIP: 3622ACKW9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     82103 | PA      | $81294.30     | 0.02%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786843                                                      | CUSIP: 3622ACP46<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     81963 | PA      | $71849.23     | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 787097                                                      | CUSIP: 3622ACX21<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     76594 | PA      | $75732.14     | 0.02%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 AY6444                                                      | CUSIP: 36196WER4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    226957 | PA      | $209246.64    | 0.06%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 BM9743                                                      | CUSIP: 3617K1ZG1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     58102 | PA      | $54549.80     | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA1995                                                      | CUSIP: 36179QGC9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     22695 | PA      | $21016.68     | 0.01%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA2304                                                      | CUSIP: 36179QRZ6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7019 | PA      | $6668.01      | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA2678                                                      | CUSIP: 36179Q6P1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8238 | PA      | $7660.01      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA2894                                                      | CUSIP: 36179RGB9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    382129 | PA      | $374058.27    | 0.11%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3521                                                      | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     86639 | PA      | $80310.85     | 0.02%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3597                                                      | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     34900 | PA      | $32436.66     | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3663                                                      | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11679 | PA      | $10855.10     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3736                                                      | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     23968 | PA      | $22264.32     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3803                                                      | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12103 | PA      | $11236.58     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3875                                                      | CUSIP: 36179SJU2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     74562 | PA      | $70627.18     | 0.02%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3937                                                      | CUSIP: 36179SLS4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13281 | PA      | $12316.28     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4451                                                      | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    141691 | PA      | $130884.58    | 0.04%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4511                                                      | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    242095 | PA      | $228194.70    | 0.07%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4587                                                      | CUSIP: 36179TCY9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     21065 | PA      | $19859.40     | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4654                                                      | CUSIP: 36179TE35<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18434 | PA      | $17993.18     | 0.01%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4719                                                      | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     64997 | PA      | $59758.56     | 0.02%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4720                                                      | CUSIP: 36179TG58<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     92188 | PA      | $86894.74     | 0.03%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4780                                                      | CUSIP: 36179TJZ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9614 | PA      | $9384.06      | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4781                                                      | CUSIP: 36179TJ22<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     49839 | PA      | $49961.78     | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4838                                                      | CUSIP: 36179TLT0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     58870 | PA      | $55490.06     | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4901                                                      | CUSIP: 36179TNS0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     23386 | PA      | $22020.45     | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5020                                                      | CUSIP: 36179TSH9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     21511 | PA      | $20245.47     | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5078                                                      | CUSIP: 36179TUB9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    176602 | PA      | $166458.74    | 0.05%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5137                                                      | CUSIP: 36179TV69<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     80737 | PA      | $75899.93     | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5138                                                      | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24348 | PA      | $23765.23     | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5193                                                      | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8678 | PA      | $8470.27      | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5194                                                      | CUSIP: 36179TXX8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     15515 | PA      | $15486.21     | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5265                                                      | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    251418 | PA      | $245197.77    | 0.07%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5331                                                      | CUSIP: 36179T4Q5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     15380 | PA      | $14987.19     | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5529                                                      | CUSIP: 36179UEA6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     32412 | PA      | $31543.17     | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5597                                                      | CUSIP: 36179UGE6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     31032 | PA      | $30970.15     | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5652                                                      | CUSIP: 36179UH54<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7128 | PA      | $6965.54      | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5653                                                      | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     38005 | PA      | $38001.91     | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5711                                                      | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    127770 | PA      | $124806.74    | 0.04%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5712                                                      | CUSIP: 36179UKZ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    170675 | PA      | $170886.91    | 0.05%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5763                                                      | CUSIP: 36179UML3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     94100 | PA      | $88696.88     | 0.03%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5817                                                      | CUSIP: 36179UPA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     53086 | PA      | $50037.74     | 0.01%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5818                                                      | CUSIP: 36179UPB2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    134067 | PA      | $130909.50    | 0.04%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5876                                                      | CUSIP: 36179UQ54<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     42316 | PA      | $40159.94     | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5877                                                      | CUSIP: 36179UQ62<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18714 | PA      | $18274.17     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5878                                                      | CUSIP: 36179UQ70<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     15355 | PA      | $15351.30     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA6287                                                      | CUSIP: 36179U6Y3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13741 | PA      | $13716.10     | 0.00%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA6413                                                      | CUSIP: 36179VDS6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     30166 | PA      | $30110.18     | 0.01%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA6477                                                      | CUSIP: 36179VFS4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13652 | PA      | $13263.48     | 0.00%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7056                                                      | CUSIP: 36179VZV5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     56108 | PA      | $54460.99     | 0.02%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7589                                                      | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1847692 | PA      | $1570573.38   | 0.47%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7880                                                      | CUSIP: 36179WXH6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1056088 | PA      | $860333.03    | 0.26%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7989                                                      | CUSIP: 36179W2W7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    313844 | PA      | $285953.54    | 0.08%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8044                                                      | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1048023 | PA      | $955991.13    | 0.28%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8202                                                      | CUSIP: 36179XDF0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    155370 | PA      | $153456.94    | 0.05%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8429                                                      | CUSIP: 36179XLJ3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    148737 | PA      | $150297.09    | 0.04%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8570                                                      | CUSIP: 36179XQX7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     72487 | PA      | $72975.70     | 0.02%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8726                                                      | CUSIP: 36179XVT0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     75237 | PA      | $75707.40     | 0.02%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8801                                                      | CUSIP: 36179XX68<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    305987 | PA      | $307898.12    | 0.09%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA8879                                                      | CUSIP: 36179X2L9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    319783 | PA      | $321686.35    | 0.10%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA9963                                                      | CUSIP: 36180AB85<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    881772 | PA      | $844303.73    | 0.25%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MB0023                                                      | CUSIP: 3618N5AZ2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    886057 | PA      | $824147.26    | 0.24%             | 2054-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MB0024                                                      | CUSIP: 3618N5A25<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    639092 | PA      | $611936.00    | 0.18%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC (FIN) COMPANY                                                | GLOBAL ATLANTIC FIN CO 144A 3.125000% 06/15/2031                                  | CUSIP: 37959GAB3<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |   1026000 | PA      | $911255.03    | 0.27%             | 2031-06-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO LTD                                        | GOLDENTREE LOAN MANAGEMENT US CLO 11 LTD GLM 2021-11A AR                          | CUSIP: 38138KAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    415000 | PA      | $414560.52    | 0.12%             | 2034-10-20      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 2.650000% 10/21/2032                                  | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    110000 | PA      | $97142.68     | 0.03%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 3.500000% 11/16/2026                                  | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88974.42     | 0.03%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 3.615000% 03/15/2028                                  | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29580.37     | 0.01%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 4.223000% 05/01/2029                                  | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    650000 | PA      | $646261.01    | 0.19%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 4.250000% 10/21/2025                                  | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139771.19    | 0.04%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 5.536000% 01/28/2036                                  | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35898.68     | 0.01%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-34 SA                           | CUSIP: 38378D2U8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13118 | PA      | $1310.71      | 0.00%             | 2042-03-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-113 IO                          | CUSIP: 38379UH41<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3817309 | PA      | $179692.56    | 0.05%             | 2058-02-16      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-168 PA                          | CUSIP: 38381BDT8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     36041 | PA      | $34421.34     | 0.01%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-182 IA                          | CUSIP: 38380RLQ1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   4773353 | PA      | $188113.07    | 0.06%             | 2063-06-16      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-108 IO                          | CUSIP: 38381DPK0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3161120 | PA      | $220986.65    | 0.07%             | 2061-06-16      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-188 PA                          | CUSIP: 38383CRU6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    181325 | PA      | $149331.98    | 0.04%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-189 PT                          | CUSIP: 38383LDU1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    166266 | PA      | $138236.00    | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-9 GA                            | CUSIP: 38383FR62<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    144205 | PA      | $118668.71    | 0.04%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                 | GS MORTGAGE SECURITIES TRUST 2014-GC24 GSMS 2014-GC24 A5                          | CUSIP: 36253GAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      2576 | PA      | $2569.86      | 0.00%             | 2047-09-10      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                 | GS MORTGAGE SECURITIES TRUST 2020-GC45 GSMS 2020-GC45 A5                          | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    889000 | PA      | $824688.23    | 0.25%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                          | GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 GSMBS 2018-RPL1 A1A                 | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     91420 | PA      | $89227.69     | 0.03%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                          | GS MORTGAGE-BACKED SECURITIES TRUST 2025-PJ4 GSMBS 2025-PJ4 A5                    | CUSIP: 36271WAE5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    481005 | PA      | $483191.37    | 0.14%             | 2055-09-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| HEALTHPEAK OP, LLC                                                           | HEALTHPEAK OP LLC 2.125000% 12/01/2028                                            | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    769000 | PA      | $714056.63    | 0.21%             | 2028-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| HILT MORTGAGE TRUST                                                          | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL HILT 2024-ORL A                           | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    400000 | PA      | $400250.00    | 0.12%             | 2037-05-15      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                         | HOME DEPOT INC/THE 2.500000% 04/15/2027                                           | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    450000 | PA      | $437964.12    | 0.13%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                         | HOME DEPOT INC/THE 2.875000% 04/15/2027                                           | CUSIP: 437076CN0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    170000 | PA      | $166657.30    | 0.05%             | 2027-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                         | HOME DEPOT INC/THE 3.900000% 12/06/2028                                           | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9968.31      | 0.00%             | 2028-12-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST                                               | HOME PARTNERS OF AMERICA 2022-1 TRUST HPA 2022-1 A                                | CUSIP: 43730NAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    301296 | PA      | $296998.51    | 0.09%             | 2039-04-17      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| HOMES TRUST                                                                  | HOMES 2024-NQM2 TRUST HOMES 2024-NQM2 A1                                          | CUSIP: 43761CAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    428950 | PA      | $430866.34    | 0.13%             | 2069-10-25      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| HONDA MOTOR CO., LTD.                                                        | HONDA MOTOR CO LTD 2.534000% 03/10/2027                                           | CUSIP: 438127AB8<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | DBT              | CORP              | JP        |    632000 | PA      | $613152.80    | 0.18%             | 2027-03-10      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS, L.P.                                                  | HOST HOTELS & RESORTS LP 5.700000% 06/15/2032                                     | CUSIP: 44107TBD7<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    420000 | PA      | $425991.04    | 0.13%             | 2032-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HOTWIRE FUNDING LLC                                                          | HOTWIRE FUNDING LLC HWIRE 2021-1 A2                                               | CUSIP: 44148JAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    335000 | PA      | $322319.92    | 0.10%             | 2051-11-20      | Fixed         | 2.31%                 | Yes           |                  2 | On Loan: No      |
| HUMANA INC.                                                                  | HUMANA INC 2.150000% 02/03/2032                                                   | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25203.12     | 0.01%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| HUMANA INC.                                                                  | HUMANA INC 3.700000% 03/23/2029                                                   | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    160000 | PA      | $155019.17    | 0.05%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| HUMANA INC.                                                                  | HUMANA INC 5.750000% 12/01/2028                                                   | CUSIP: 444859BZ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207956.60    | 0.06%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                     | HYATT HOTELS CORP 5.050000% 03/30/2028                                            | CUSIP: 448579AU6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    255000 | PA      | $257729.44    | 0.08%             | 2028-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ILLINOIS HSG DEV AUTH REV                                                    | ILLINOIS ST HSG DEV AUTH REVEN ILLINOIS HOUSING DEVELOPMENT AUTHORITY             | CUSIP: 45203MC41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    580000 | PA      | $584055.19    | 0.17%             | 2027-04-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ING Groep N.V.                                                               | ING GROEP NV 6.114000% 09/11/2034                                                 | CUSIP: 456837BH5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | NUSS              | NL        |    539000 | PA      | $572997.46    | 0.17%             | 2034-09-11      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| INTEL CORPORATION                                                            | INTEL CORP 2.000000% 08/12/2031                                                   | CUSIP: 458140BU3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    305000 | PA      | $261958.40    | 0.08%             | 2031-08-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IOWA STUDENT LN LIQUIDITY CORP STUDENT LN REV                                | IOWA ST STUDENT LOAN LIQUIDITY IOWA STUDENT LOAN LIQUIDITY CORP                   | CUSIP: 462590NZ9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    166000 | PA      | $164450.29    | 0.05%             | 2034-12-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                       | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES T JPMCC 2016-NINE B              | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    510000 | PA      | $493452.49    | 0.15%             | 2038-09-06      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORPORATION                                               | JOHN DEERE CAPITAL CORP MTN 3.350000% 04/18/2029                                  | CUSIP: 24422EWE5<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    934000 | PA      | $907423.30    | 0.27%             | 2029-04-18      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2025-1 JPMMT 2025-1 A4A                                  | CUSIP: 46658UAF8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    500266 | PA      | $501591.21    | 0.15%             | 2055-06-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2025-5MPR A1B                                      | CUSIP: 46593VAB3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    478739 | PA      | $480863.54    | 0.14%             | 2055-11-25      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST SERIES 2024-4 JPMMT 2024-4 A4A                           | CUSIP: 46657WAE8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    288088 | PA      | $290396.58    | 0.09%             | 2054-10-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                                   | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C25 A5              | CUSIP: 46643PBE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     71444 | PA      | $69766.58     | 0.02%             | 2047-11-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 2.522000% 04/22/2031                                          | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    190000 | PA      | $173666.11    | 0.05%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 2.545000% 11/08/2032                                          | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    110000 | PA      | $96820.59     | 0.03%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.005000% 04/23/2029                                          | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99114.63     | 0.03%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.203000% 07/23/2029                                          | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99529.52     | 0.03%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.203000% 07/23/2029                                          | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    673000 | PA      | $670157.05    | 0.20%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.452000% 12/05/2029                                          | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200333.45    | 0.06%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.565000% 06/14/2030                                          | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    998000 | PA      | $1002397.15   | 0.30%             | 2030-06-14      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.915000% 01/24/2029                                          | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    240000 | PA      | $243126.24    | 0.07%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 5.294000% 07/22/2035                                          | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101780.76    | 0.03%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 5.766000% 04/22/2035                                          | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     55000 | PA      | $57781.52     | 0.02%             | 2035-04-22      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| KENVUE INC.                                                                  | KENVUE INC 5.350000% 03/22/2026                                                   | CUSIP: 49177JAD4<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150904.25    | 0.04%             | 2026-03-22      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO. VI LLC                                                 | KKR GROUP FINANCE CO VI LLC 144A 3.750000% 07/01/2029                             | CUSIP: 48252AAA9<br>LEI: 549300TUJWGHJM3FSJ07 | Long             | DBT              | CORP              | US        |   1149000 | PA      | $1115816.02   | 0.33%             | 2029-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| THE KROGER CO.                                                               | KROGER CO/THE 7.700000% 06/01/2029                                                | CUSIP: 501044BT7<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    565000 | PA      | $628030.82    | 0.19%             | 2029-06-01      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| LCM LTD.                                                                     | LCM 29 LTD LCM 29A AR                                                             | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    276213 | PA      | $276322.50    | 0.08%             | 2031-04-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| LCM LTD.                                                                     | LCM 37 LTD LCM 37A A1R                                                            | CUSIP: 50204JAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $498983.00    | 0.15%             | 2034-04-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| LCM LTD.                                                                     | LCM 39 LTD LCM 39A A2R                                                            | CUSIP: 50204NAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    487500 | PA      | $487589.70    | 0.14%             | 2034-10-15      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| LINEAGE OP, LP                                                               | LINEAGE OP LP 144A 5.250000% 07/15/2030                                           | CUSIP: 53567YAA7<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              | CORP              | US        |    155000 | PA      | $155825.21    | 0.05%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LKQ CORPORATION                                                              | LKQ CORP 5.750000% 06/15/2028                                                     | CUSIP: 501889AD1<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | DBT              | CORP              | US        |    682000 | PA      | $702647.78    | 0.21%             | 2028-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                     | LLOYDS BANKING GROUP PLC 5.721000% 06/05/2030                                     | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | NUSS              | GB        |    865000 | PA      | $898347.83    | 0.27%             | 2030-06-05      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HOLDINGS LIMITED                                        | MACQUARIE AIRFINANCE HOLDINGS LTD 144A 5.200000% 03/27/2028                       | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | NUSS              | GB        |    358000 | PA      | $361989.19    | 0.11%             | 2028-03-27      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS, INCORPORATED                                                           | MARS INC 144A 4.800000% 03/01/2030                                                | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    395000 | PA      | $400072.66    | 0.12%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDL FING AUTH ED LN REV                                        | MASSACHUSETTS ST EDUCTNL FING MASSACHUSETTS EDUCATIONAL FINANCING AUTHORITY       | CUSIP: 57563RUE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    845000 | PA      | $860266.02    | 0.26%             | 2035-07-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP 4.950000% 03/03/2035                                              | CUSIP: 58013MGA6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    115000 | PA      | $114793.26    | 0.03%             | 2035-03-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 1.450000% 09/01/2025                                          | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9948.76      | 0.00%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.500000% 07/01/2027                                          | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9876.26      | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.700000% 01/30/2026                                          | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9957.83      | 0.00%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.800000% 04/01/2028                                          | CUSIP: 58013MFF6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    280000 | PA      | $277688.78    | 0.08%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| MERCK & CO., INC.                                                            | MERCK & CO INC 1.450000% 06/24/2030                                               | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43728.35     | 0.01%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| MERCK & CO., INC.                                                            | MERCK & CO INC 1.900000% 12/10/2028                                               | CUSIP: 58933YBD6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    430000 | PA      | $401464.65    | 0.12%             | 2028-12-10      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY COMPANY                                                   | MIDAMERICAN ENERGY CO 3.650000% 04/15/2029                                        | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    140000 | PA      | $137293.94    | 0.04%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                                | MILL CITY MORTGAGE LOAN TRUST 2019-1 MCMLT 2019-1 A1                              | CUSIP: 59981AAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    106770 | PA      | $103867.72    | 0.03%             | 2069-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORPORATION                                                          | MOODY'S CORP 2.000000% 08/19/2031                                                 | CUSIP: 615369AW5<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $867851.73    | 0.26%             | 2031-08-19      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY 5.320000% 07/19/2035                                               | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1261000 | PA      | $1276393.76   | 0.38%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY 5.466000% 01/18/2035                                               | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    230000 | PA      | $235097.71    | 0.07%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C24 A4              | CUSIP: 61765LAU4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     79937 | PA      | $79723.31     | 0.02%             | 2048-05-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C25 A5              | CUSIP: 61765TAF0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    461912 | PA      | $460703.94    | 0.14%             | 2048-10-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2016-C30 A4              | CUSIP: 61766NBA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    398973 | PA      | $391481.57    | 0.12%             | 2049-09-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2017-C34 ASB             | CUSIP: 61767EAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    250700 | PA      | $247761.18    | 0.07%             | 2052-11-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2025-5C1 A3              | CUSIP: 61778GAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    828000 | PA      | $860292.99    | 0.26%             | 2058-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 1.794000% 02/13/2032                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     45000 | PA      | $38476.56     | 0.01%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 2.699000% 01/22/2031                                           | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    200000 | PA      | $184368.34    | 0.05%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 3.622000% 04/01/2031                                           | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    475000 | PA      | $455504.74    | 0.14%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 3.772000% 01/24/2029                                           | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    150000 | PA      | $147691.87    | 0.04%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST                               | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 202 MSRM 2025-1 A4                 | CUSIP: 617944AF0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    447253 | PA      | $448221.38    | 0.13%             | 2055-03-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| NEW HAMPSHIRE HEALTH & ED FACS AUTH REV                                      | NEW HAMPSHIRE ST HLTH & EDU FA NEW HAMPSHIRE HEALTH AND EDUCATION FACILITIES AUTH | CUSIP: 64461XKB0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1090000 | PA      | $1081361.10   | 0.32%             | 2034-11-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 NRZT 2018-RPL1 M2                   | CUSIP: 64829VAD8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    240000 | PA      | $205470.29    | 0.06%             | 2057-12-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B1                        | CUSIP: 64828GAS9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    167925 | PA      | $161638.25    | 0.05%             | 2059-09-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B2                        | CUSIP: 64828GBB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    167925 | PA      | $162374.71    | 0.05%             | 2059-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1                   | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     58107 | PA      | $55422.63     | 0.02%             | 2059-09-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1                   | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     73767 | PA      | $64504.43     | 0.02%             | 2056-11-27      | Floating      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A3                   | CUSIP: 64831TAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     47929 | PA      | $42151.59     | 0.01%             | 2056-11-27      | Floating      | 1.52%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-NQM4 NRZT 2022-NQM4 A1                   | CUSIP: 64831UAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    285072 | PA      | $286335.79    | 0.09%             | 2062-06-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Northern States Power Company (Minnesota)                                    | NORTHERN STATES POWER CO/MN 7.125000% 07/01/2025                                  | CUSIP: 665772BN8<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   1052000 | PA      | $1052000.00   | 0.31%             | 2025-07-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC COMPANY                                                       | NSTAR ELECTRIC CO 1.950000% 08/15/2031                                            | CUSIP: 67021CAR8<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $864289.19    | 0.26%             | 2031-08-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| NXP B.V.                                                                     | NXP BV / NXP FUNDING LLC / NXP USA INC 5.000000% 01/15/2033                       | CUSIP: 62954HBB3<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | NUSS              | NL        |    916000 | PA      | $913423.25    | 0.27%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYC TRUST                                                                    | NYCT TRUST 2024-3ELV NYCT 2024-3ELV A                                             | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    475000 | PA      | $477505.72    | 0.14%             | 2029-08-15      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST                                                | NYO COMMERCIAL MORTGAGE TRUST 2021-1290 NYO 2021-1290 A                           | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    345000 | PA      | $344145.16    | 0.10%             | 2038-11-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1                                              | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    203183 | PA      | $167631.03    | 0.05%             | 2061-05-25      | Floating      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM2 TRUST OBX 2021-NQM2 A3                                              | CUSIP: 670857AC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    167632 | PA      | $141113.53    | 0.04%             | 2061-05-25      | Floating      | 1.56%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM3 TRUST OBX 2021-NQM3 A1                                              | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    111243 | PA      | $91005.09     | 0.03%             | 2061-07-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM4 TRUST OBX 2021-NQM4 A1                                              | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    185918 | PA      | $157599.17    | 0.05%             | 2061-10-25      | Floating      | 1.96%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2022-NQM1 TRUST OBX 2022-NQM1 A1                                              | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    278823 | PA      | $249421.98    | 0.07%             | 2061-11-25      | Floating      | 2.31%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2024-NQM11 TRUST OBX 2024-NQM11 A3                                            | CUSIP: 67119EAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    195104 | PA      | $196306.82    | 0.06%             | 2064-06-25      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2025-NQM1 TRUST OBX 2025-NQM1 A2                                              | CUSIP: 673914AD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    551381 | PA      | $552905.50    | 0.16%             | 2064-12-25      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                             | OCCIDENTAL PETROLEUM CORP ZERO COUPON 10/10/2036                                  | CUSIP: 674599DG7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1346000 | PA      | $743775.78    | 0.22%             | 2036-10-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD                                                                  | OCP CLO 2015-10 LTD OCP 2015-10A AR3                                              | CUSIP: 67092DBD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    880000 | PA      | $882046.88    | 0.26%             | 2038-01-26      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS, LTD.                                            | OCTAGON INVESTMENT PARTNERS 40 LTD OCT40 2019-1A BRR                              | CUSIP: 67592BBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    470000 | PA      | $469080.68    | 0.14%             | 2035-01-20      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY COMPANY LLC                                          | ONCOR ELECTRIC DELIVERY CO LLC 4.150000% 06/01/2032                               | CUSIP: 68233JCF9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    300000 | PA      | $289507.84    | 0.09%             | 2032-06-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                           | ORACLE CORP 1.650000% 03/25/2026                                                  | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127333.93    | 0.04%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                           | ORACLE CORP 4.650000% 05/06/2030                                                  | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70628.14     | 0.02%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                           | ORACLE CORP 4.800000% 08/03/2028                                                  | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    225000 | PA      | $228666.69    | 0.07%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO                                                            | PALMER SQUARE CLO 2022-2 LTD PLMRS 2022-2A AR                                     | CUSIP: 69688NAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    523000 | PA      | $524639.08    | 0.16%             | 2037-07-20      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD.                                              | PALMER SQUARE LOAN FUNDING 2022-2 LTD PSTAT 2022-2A A1                            | CUSIP: 69701NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    175154 | PA      | $175124.81    | 0.05%             | 2030-10-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| PAYCHEX, INC.                                                                | PAYCHEX INC 5.100000% 04/15/2030                                                  | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    510000 | PA      | $522196.04    | 0.16%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PEACHTREE CORNERS FUNDING TRUST II                                           | PEACHTREE CORNERS FUNDING TRUST II 144A 6.012000% 05/15/2035                      | CUSIP: 70470BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    682000 | PA      | $699030.42    | 0.21%             | 2035-05-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| PFIZER INC.                                                                  | PFIZER INC 1.700000% 05/28/2030                                                   | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44276.60     | 0.01%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| PFIZER INC.                                                                  | PFIZER INC 2.625000% 04/01/2030                                                   | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93073.14     | 0.03%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                                          | PFS FINANCING CORP PFSFC 2025-D A                                                 | CUSIP: 69335PFY6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    536000 | PA      | $538134.14    | 0.16%             | 2030-05-15      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                           | PG&E WILDFIRE RECOVERY FUNDING LLC 3.594000% 06/01/2030                           | CUSIP: 693342AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    524701 | PA      | $515404.50    | 0.15%             | 2030-06-01      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                           | PG&E WILDFIRE RECOVERY FUNDING LLC 4.022000% 06/01/2031                           | CUSIP: 693342AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    576778 | PA      | $571349.20    | 0.17%             | 2031-06-01      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC                                             | PLANET FITNESS MASTER ISSUER LLC PLNT 2022-1A A2I                                 | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    490522 | PA      | $477665.41    | 0.14%             | 2051-12-05      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| THE PNC FINANCIAL SERVICES GROUP, INC.                                       | PNC FINANCIAL SERVICES GROUP INC/THE 6.875000% 10/20/2034                         | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    834000 | PA      | $932330.18    | 0.28%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST                                                                  | PRKCM 2021-AFC1 TRUST PRKCM 2021-AFC1 A1                                          | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    157100 | PA      | $130110.85    | 0.04%             | 2056-08-25      | Floating      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| PRKCM TRUST                                                                  | PRKCM 2021-AFC2 TRUST PRKCM 2021-AFC2 A1                                          | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    113293 | PA      | $100304.26    | 0.03%             | 2056-11-25      | Floating      | 2.07%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                                            | PROGRESS RESIDENTIAL 2022-SFR2 TRUST PROG 2022-SFR2 A                             | CUSIP: 74332VAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    963248 | PA      | $936731.71    | 0.28%             | 2027-04-17      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                                            | PROGRESS RESIDENTIAL 2022-SFR3 TRUST PROG 2022-SFR3 A                             | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    490209 | PA      | $478321.52    | 0.14%             | 2039-04-17      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Province de Quebec                                                           | PROVINCE OF QUEBEC CANADA MTN 6.350000% 01/30/2026                                | CUSIP: 74815HBZ4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   1010000 | PA      | $1018953.76   | 0.30%             | 2026-01-30      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                     | PRPM 2023-RCF2 LLC PRPM 2023-RCF2 A1                                              | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    552252 | PA      | $541709.60    | 0.16%             | 2053-11-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST                                                          | RCKT MORTGAGE TRUST 2024-INV1 RCKT 2024-INV1 A1                                   | CUSIP: 74938QAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     85045 | PA      | $86850.78     | 0.03%             | 2054-06-25      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| RIO TINTO FINANCE (USA) PLC                                                  | RIO TINTO FINANCE USA PLC 4.875000% 03/14/2030                                    | CUSIP: 76720AAS5<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | NUSS              | AU        |   1055000 | PA      | $1075175.04   | 0.32%             | 2030-03-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO                                                           | ROCKFORD TOWER CLO 2020-1 LTD ROCKT 2020-1A A1RR                                  | CUSIP: 77341EBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    475000 | PA      | $474333.10    | 0.14%             | 2036-01-20      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| RYDER SYSTEM, INC.                                                           | RYDER SYSTEM INC MTN 3.350000% 09/01/2025                                         | CUSIP: 78355HKR9<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    197000 | PA      | $196538.97    | 0.06%             | 2025-09-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM, INC.                                                           | RYDER SYSTEM INC MTN 5.250000% 06/01/2028                                         | CUSIP: 78355HKW8<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    609000 | PA      | $624822.12    | 0.19%             | 2028-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SABEY DATA CENTER ISSUER, LLC                                                | SABEY DATA CENTER ISSUER LLC SDCP 2021-1 A2                                       | CUSIP: 78520EAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1027000 | PA      | $995637.27    | 0.30%             | 2046-06-20      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| SABEY DATA CENTER ISSUER, LLC                                                | SABEY DATA CENTER ISSUER LLC SDCP 2021-1 A2                                       | CUSIP: 78520EAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    491000 | PA      | $475978.69    | 0.14%             | 2046-06-20      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| SMALL BUSINESS INVESTMENT COMPANIES                                          | SBA SMALL BUSINESS INVESTMENT COS SBIC 2023-10A 1                                 | CUSIP: 83162CS79<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    823227 | PA      | $836587.31    | 0.25%             | 2033-03-10      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS INVESTMENT COMPANIES                                          | SBA SMALL BUSINESS INVESTMENT COS SBIC 2024-10A 1                                 | CUSIP: 831641FX8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    842097 | PA      | $859055.30    | 0.26%             | 2034-03-10      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                              | SBA TOWER TRUST 144A 2.593000% 10/15/2031                                         | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    996000 | PA      | $868523.95    | 0.26%             | 2031-10-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                              | SBA TOWER TRUST 144A 4.831000% 10/15/2029                                         | CUSIP: 78403DBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    445000 | PA      | $445393.78    | 0.13%             | 2029-10-15      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| SCHLUMBERGER HOLDINGS CORPORATION                                            | SCHLUMBERGER HOLDINGS CORP 144A 3.900000% 05/17/2028                              | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |    456000 | PA      | $451406.67    | 0.13%             | 2028-05-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                      | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    830221 | NS      | $830220.83    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                      | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  27832361 | NS      | $27832361.01  | 8.27%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                      | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |       175 | NS      | $175.41       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 2024-4 SEMT 2024-4 A4                                      | CUSIP: 81743BAD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    321656 | PA      | $324474.61    | 0.10%             | 2054-05-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 2024-6 SEMT 2024-6 A5                                      | CUSIP: 81743DAE3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    363698 | PA      | $367484.90    | 0.11%             | 2054-07-27      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 2025-2 SEMT 2025-2 A5                                      | CUSIP: 816935AE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    545251 | PA      | $546805.40    | 0.16%             | 2055-03-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST                                                | SG RESIDENTIAL MORTGAGE TRUST 2022-1 SGR 2022-1 A1                                | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    321181 | PA      | $296984.41    | 0.09%             | 2062-03-27      | Floating      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| SIXTH STREET CLO LTD                                                         | SIXTH STREET CLO VIII LTD SIXST 2017-8A A1R2                                      | CUSIP: 83012VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $400500.00    | 0.12%             | 2034-10-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| SLG OFFICE TRUST                                                             | SLG OFFICE TRUST 2021-OVA SLG 2021-OVA A                                          | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    510000 | PA      | $447278.06    | 0.13%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                            | SMBC AVIATION CAPITAL FINANCE DAC 144A 5.100000% 04/01/2030                       | CUSIP: 78448TAN2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | NUSS              | IE        |    205000 | PA      | $207866.11    | 0.06%             | 2030-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORPORATION                                                        | STARBUCKS CORP 4.800000% 05/15/2030                                               | CUSIP: 855244BL2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    420000 | PA      | $425196.94    | 0.13%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORPORATION                                                     | STATE STREET CORP 5.159000% 05/18/2034                                            | CUSIP: 857477CC5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    520000 | PA      | $531192.76    | 0.16%             | 2034-05-18      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| STRYKER CORPORATION                                                          | STRYKER CORP 4.700000% 02/10/2028                                                 | CUSIP: 863667BK6<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    420000 | PA      | $425625.84    | 0.13%             | 2028-02-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                                           | SUBWAY FUNDING LLC SUBWAY 2024-1A A2II                                            | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    867640 | PA      | $888870.37    | 0.26%             | 2054-07-30      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 2.050000% 02/15/2028                                             | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18899.67     | 0.01%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 2.550000% 02/15/2031                                             | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    204000 | PA      | $182705.21    | 0.05%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 3.375000% 04/15/2029                                             | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    219000 | PA      | $210710.28    | 0.06%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 3.500000% 04/15/2031                                             | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    180000 | PA      | $168934.03    | 0.05%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 3.750000% 04/15/2027                                             | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19790.30     | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 5.125000% 05/15/2032                                             | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153070.02    | 0.05%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TACO BELL FUNDING, LLC                                                       | TACO BELL FUNDING LLC BELL 2021-1A A2II                                           | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    582622 | PA      | $529788.60    | 0.16%             | 2051-08-25      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS LIMITED                                          | TEXTAINER MARINE CONTAINERS VII LTD TMCL 2020-2A A                                | CUSIP: 88315LAG3<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |    270002 | PA      | $252237.90    | 0.07%             | 2045-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS LIMITED                                          | TEXTAINER MARINE CONTAINERS VII LTD TMCL 2020-3A A                                | CUSIP: 88315LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | BM        |    283875 | PA      | $266274.00    | 0.08%             | 2045-09-20      | Fixed         | 2.11%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2019-HY2 TPMT 2019-HY2 M2                               | CUSIP: 89177HAD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    100000 | PA      | $100611.47    | 0.03%             | 2058-05-25      | Floating      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTATE LINE COMPANY                                      | TRANS-ALLEGHENY INTERSTATE LINE CO 144A 5.000000% 01/15/2031                      | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $345837.66    | 0.10%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST                                                  | TRICON AMERICAN HOMES 2019-SFR1 TRUST TAH 2019-SFR1 A                             | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    267440 | PA      | $263853.02    | 0.08%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL TRUST                                                     | TRICON RESIDENTIAL 2021-SFR1 TRUST TCN 2021-SFR1 A                                | CUSIP: 89614YAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    848307 | PA      | $824489.46    | 0.24%             | 2038-07-17      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD                                           | TRTX 2025-FL6 ISSUER LTD TRTX 2025-FL6 A                                          | CUSIP: 897764AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    513000 | PA      | $512824.04    | 0.15%             | 2042-09-18      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | TSY INFL IX N/B 2.125000% 01/15/2035                                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   1854481 | PA      | $1917739.70   | 0.57%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125%  01/15/2030                   | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    784000 | PA      | $922492.78    | 0.27%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                                                | UBS COMMERCIAL MORTGAGE TRUST 2019-C16 UBSCM 2019-C16 ASB                         | CUSIP: 90276YAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    216462 | PA      | $212429.92    | 0.06%             | 2052-04-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS GROUP AG 144A 2.746000% 02/11/2033                                            | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | NUSS              | CH        |    575000 | PA      | $501666.74    | 0.15%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2010-20H 1                       | CUSIP: 83162CTL7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     72801 | PA      | $71527.86     | 0.02%             | 2030-08-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20B 1                       | CUSIP: 83162CTV5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     69242 | PA      | $68608.52     | 0.02%             | 2031-02-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20J 1                       | CUSIP: 83162CUH4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     44175 | PA      | $42280.78     | 0.01%             | 2031-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2013-20K 1                       | CUSIP: 83162CVX8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    214542 | PA      | $207767.94    | 0.06%             | 2033-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2014-20F 1                       | CUSIP: 83162CWH2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    317779 | PA      | $302396.10    | 0.09%             | 2034-06-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20C 1                       | CUSIP: 83162CWX7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    290550 | PA      | $271057.70    | 0.08%             | 2035-03-01      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20E 1                       | CUSIP: 83162CXA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    159577 | PA      | $149323.31    | 0.04%             | 2035-05-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20K 1                       | CUSIP: 83162CXK4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    212346 | PA      | $197138.70    | 0.06%             | 2035-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2017-20J 1                       | CUSIP: 83162CYX5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    306940 | PA      | $285182.75    | 0.08%             | 2037-10-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2018-20E 1                       | CUSIP: 83162CZL0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    587561 | PA      | $567186.78    | 0.17%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25E 1                       | CUSIP: 83162CP56<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    802242 | PA      | $758697.56    | 0.23%             | 2047-05-01      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25F 1                       | CUSIP: 83162CP72<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    565990 | PA      | $537314.65    | 0.16%             | 2047-06-01      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25G 1                       | CUSIP: 83162CQ22<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    851930 | PA      | $807586.24    | 0.24%             | 2047-07-01      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25H 1                       | CUSIP: 83162CQ48<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    423242 | PA      | $397322.80    | 0.12%             | 2047-08-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2023-25F 1                       | CUSIP: 83162CT60<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    778906 | PA      | $785150.92    | 0.23%             | 2048-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2024-25C 1                       | CUSIP: 83162CW58<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    793623 | PA      | $798988.67    | 0.24%             | 2049-03-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 1.250000% 01/15/2026                                       | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19644.97     | 0.01%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 2.000000% 05/15/2030                                       | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26838.65     | 0.01%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 2.300000% 05/15/2031                                       | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17631.33     | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 3.875000% 12/15/2028                                       | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29593.49     | 0.01%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 4.000000% 05/15/2029                                       | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197605.29    | 0.06%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 5.150000% 07/15/2034                                       | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    210000 | PA      | $212208.90    | 0.06%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US 10YR ULTRA FUT SEP25 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -30 | NC      | $-3427968.75  | -1.02%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                     | US 2YR NOTE (CBT) SEP25 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       280 | NC      | $58246562.50  | 17.31%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                     | US 5YR NOTE (CBT) SEP25 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        20 | NC      | $2180000.00   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| U.S. BANCORP                                                                 | US BANCORP 5.775000% 06/12/2029                                                   | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103835.75    | 0.03%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| U.S. BANCORP                                                                 | US BANCORP MTN 2.215000% 01/27/2028                                               | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57978.13     | 0.02%             | 2028-01-27      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.750000% 06/30/2027                                              | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   1505000 | PA      | $1505764.25   | 0.45%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.875000% 06/15/2028                                              | CUSIP: 91282CNH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   5710000 | PA      | $5739442.19   | 1.71%             | 2028-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.875000% 06/30/2030                                              | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  27395000 | PA      | $27495591.15  | 8.17%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.875000% 08/15/2034                                              | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2043000 | PA      | $1994718.17   | 0.59%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 02/15/2034                                              | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    682000 | PA      | $674886.95    | 0.20%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 02/28/2030                                              | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   3473000 | PA      | $3506780.34   | 1.04%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 05/31/2030                                              | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    809000 | PA      | $816837.19    | 0.24%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 06/30/2032                                              | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   5430000 | PA      | $5434242.19   | 1.61%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 07/31/2029                                              | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   6495000 | PA      | $6555636.93   | 1.95%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.125000% 11/15/2027                                              | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    792000 | PA      | $799332.19    | 0.24%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.125000% 11/30/2029                                              | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   8554000 | PA      | $8679636.88   | 2.58%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.250000% 05/15/2035                                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   1901000 | PA      | $1904564.38   | 0.57%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.250000% 05/15/2035                                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   1023000 | PA      | $1024598.44   | 0.30%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.250000% 11/15/2034                                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   4246000 | PA      | $4259932.19   | 1.27%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.375000% 11/30/2028                                              | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   1889000 | PA      | $1928329.57   | 0.57%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.625000% 05/15/2044                                              | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    307000 | PA      | $301063.87    | 0.09%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.750000% 05/15/2055                                              | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    105000 | PA      | $104557.03    | 0.03%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US ULTRA BOND CBT SEP25 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -41 | NC      | $-4884125.00  | -1.45%            |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 2.355000% 03/15/2032                                   | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    546000 | PA      | $470650.66    | 0.14%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 2.550000% 03/21/2031                                   | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    664000 | PA      | $595533.73    | 0.18%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ST HSG DEV AUTH COMWLTH MTG                                         | VIRGINIA HSG DEV AUTH VIRGINIA HOUSING DEVELOPMENT AUTHORITY                      | CUSIP: 92812XDH2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    270000 | PA      | $271029.94    | 0.08%             | 2027-01-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE, LLC                                     | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 144A 5.650000% 03/25/2032                 | CUSIP: 928668CR1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | DE        |    230000 | PA      | $233747.15    | 0.07%             | 2032-03-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE, LLC                                     | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 144A 5.800000% 03/27/2035                 | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | DE        |     90000 | PA      | $90682.31     | 0.03%             | 2035-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| VOYA CLO                                                                     | VOYA CLO 2020-1 LTD VOYA 2020-1A AR                                               | CUSIP: 92918EAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250723.50    | 0.07%             | 2034-07-16      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| WALMART INC.                                                                 | WALMART INC 1.800000% 09/22/2031                                                  | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    160000 | PA      | $139363.63    | 0.04%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                   | WARNERMEDIA HOLDINGS INC 4.054000% 03/15/2029                                     | CUSIP: 55903VBB8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     60000 | PA      | $48600.00     | 0.01%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                   | WARNERMEDIA HOLDINGS INC 4.279000% 03/15/2032                                     | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    500000 | PA      | $371875.00    | 0.11%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS, INC.                                                      | WASTE CONNECTIONS INC 5.000000% 03/01/2034                                        | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | NUSS              | US        |    260000 | PA      | $262771.39    | 0.08%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO 3.000000% 10/23/2026                                             | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    190000 | PA      | $186733.81    | 0.06%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO 5.499000% 01/23/2035                                             | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20513.62     | 0.01%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 2.393000% 06/02/2028                                         | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    290000 | PA      | $279485.19    | 0.08%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 2.879000% 10/30/2030                                         | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93455.07     | 0.03%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 4.300000% 07/22/2027                                         | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200006.19    | 0.06%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 4.478000% 04/04/2031                                         | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    220000 | PA      | $218913.50    | 0.07%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 4.540000% 08/15/2026                                         | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299951.06    | 0.09%             | 2026-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 5.557000% 07/25/2034                                         | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20641.09     | 0.01%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                        | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C38 WFCM 2017-C38 A5                   | CUSIP: 95001MAF7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    180000 | PA      | $176367.80    | 0.05%             | 2050-07-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                           | WENDY'S FUNDING LLC WEN 2019-1A A2I                                               | CUSIP: 95058XAG3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    300861 | PA      | $296787.16    | 0.09%             | 2049-06-15      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                           | WENDY'S FUNDING LLC WEN 2021-1A A2I                                               | CUSIP: 95058XAK4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    592886 | PA      | $544920.00    | 0.16%             | 2051-06-15      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                           | WENDY'S FUNDING LLC WEN 2021-1A A2II                                              | CUSIP: 95058XAL2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    254398 | PA      | $224936.12    | 0.07%             | 2051-06-15      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| THE WILLIAMS COMPANIES, INC.                                                 | WILLIAMS COS INC/THE 3.750000% 06/15/2027                                         | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    390000 | PA      | $385406.93    | 0.11%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER COMPANY                                             | WISCONSIN ELECTRIC POWER CO 4.600000% 10/01/2034                                  | CUSIP: 976656CS5<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |    588000 | PA      | $581354.82    | 0.17%             | 2034-10-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

**Name of Applicant:** NEW COVENANT FUNDS

**Signature:** Glenn Kurdziel

**Name of Signer:** Glenn Kurdziel

**Title:** Controller and Chief Financial Officer