# EDGAR Filing Document

**Accession Number:** 0000778207
**File Stem:** 0001410368-26-017973
**Filing Date:** 2026-2
**Character Count:** 279709
**Document Hash:** 0f293ae4ce7559948d56bfa9e1b53661
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-017973.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0001410368-26-017973

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TRANSAMERICA SERIES TRUST
- **CENTRAL INDEX KEY:** 0000778207

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04419
- **FILM NUMBER:** 26676230

**BUSINESS ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202
- **BUSINESS PHONE:** 720-482-8836

**MAIL ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES TRUST
- **DATE OF NAME CHANGE:** 20050511

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010501

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WRL SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Transamerica Janus Balanced VP (Series ID: S000025012)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000074409 | Service      |  |
| C000074410 | Initial      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TRANSAMERICA SERIES TRUST

- **b. Investment Company Act file number:** 811-04419

- **c. CIK number of Registrant:** 0000778207

- **d. LEI of Registrant:** 5493000QR1WGXIM5V222

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

  - **Street Address 1:** 1801 CALIFORNIA STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80202

  - **Telephone number:** 720-493-4256

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

- **a. Name of Series:** Transamerica Janus Balanced VP

- **b. EDGAR series identifier (if any):** S000025012

- **c. LEI of Series:** 549300H5SRTFMXMC7006

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $870928817.87

**Total Liabilities:** $29340263.15

**Net Assets:** $841588554.72

**Delayed Delivery Securities:** $5195525.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -418.95000000 | **1-Year:** -6343.18000000 | **5-Year:** -28387.16000000 | **10-Year:** -23799.71000000 | **30-Year:** -2569.76000000

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

- **3-Month:** -157.65000000 | **1-Year:** -2909.72000000 | **5-Year:** -12254.92000000 | **10-Year:** -4162.03000000 | **30-Year:** -334.12000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000074409 | 1.60%                | 0.17%                | -0.23%               |
| Class ID C000074410 | 1.62%                | 0.17%                | -0.23%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $10944307.05             | $1528417.90                                |
| Month 2  | $5567485.38              | $-5151640.56                               |
| Month 3  | $10793487.67             | $-14286950.27                              |

### Schedule of Portfolio Investments

| Name                                           | Title                                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A&D Mortgage Trust                             | A&D Mortgage Trust                                                            | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |    255414 | PA      | $257113.42    | 0.03%             | 2069-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                            | Abbott Laboratories                                                           | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |     47531 | NS      | $5955158.99   | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie Inc                                     | AbbVie, Inc.                                                                  | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     24134 | NS      | $5514377.66   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust                                                            | CUSIP: 002941AA0<br>LEI: 9845006Y6D399D9E8O78 | Long             | ABS-MBS          | CORP              | US        |    274947 | PA      | $275647.63    | 0.03%             | 2070-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Adobe Inc                                      | Adobe, Inc.                                                                   | CUSIP: 00724F101<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | EC               | CORP              | US        |      9436 | NS      | $3302505.64   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| AGL CLO 1 Ltd.                                 | AGL CLO 26 Ltd.                                                               | CUSIP: 00852HAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1267000 | PA      | $1270391.76   | 0.15%             | 2038-10-21      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                      | ALA Trust                                                                     | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1333000 | PA      | $1337996.35   | 0.16%             | 2040-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31000 | PA      | $27414.41     | 0.00%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4199000 | PA      | $4187190.31   | 0.50%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    969000 | PA      | $982549.13    | 0.12%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                           | Alpha Generation LLC                                                          | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |    552012 | PA      | $553461.53    | 0.07%             | 2031-09-30      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                           | Alpha Generation LLC                                                          | CUSIP: 02073LAC5<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |    991000 | PA      | $999896.21    | 0.12%             | 2034-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc                                   | Alphabet, Inc.                                                                | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    104096 | NS      | $32665324.80  | 3.88%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com Inc                                 | Amazon.com, Inc.                                                              | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    108974 | NS      | $25153378.68  | 2.99%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN ELECTRIC POWER                        | American Electric Power Co., Inc.                                             | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    364000 | PA      | $361364.80    | 0.04%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                        | American Electric Power Co., Inc.                                             | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    291000 | PA      | $285916.22    | 0.03%             | 2056-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| American Express Co                            | American Express Co.                                                          | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |     27670 | NS      | $10236516.50  | 1.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Amgen Inc                                      | Amgen, Inc.                                                                   | CUSIP: 031162100<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | EC               | CORP              | US        |     11984 | NS      | $3922483.04   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Amphenol Corp                                  | Amphenol Corp.                                                                | CUSIP: 032095101<br>LEI: 549300D3L3G0R4U4VT04 | Long             | EC               | CORP              | US        |     53378 | NS      | $7213502.92   | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust                                                      | CUSIP: 03464KAA6<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     18129 | PA      | $17951.44     | 0.00%             | 2049-10-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust                                                      | CUSIP: 03464VAA2<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     15516 | PA      | $15371.32     | 0.00%             | 2059-11-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust                                                      | CUSIP: 03465LAB1<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     83863 | PA      | $80861.53     | 0.01%             | 2065-04-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust                                                      | CUSIP: 03465YAA5<br>LEI: 25490045FDNHIWZ12934 | Long             | ABS-MBS          | CORP              | US        |    832721 | PA      | $833611.52    | 0.10%             | 2068-07-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust                                                      | CUSIP: 034937AA0<br>LEI: 254900GRN1I3WMM1H095 | Long             | ABS-MBS          | CORP              | US        |    546334 | PA      | $551124.43    | 0.07%             | 2070-04-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Ansley Park Capital LLC                        | Ansley Park Capital LLC                                                       | CUSIP: 03637AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360000 | PA      | $361128.35    | 0.04%             | 2035-04-20      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                            | Elevance Health, Inc.                                                         | CUSIP: 036752BD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    499000 | PA      | $509699.38    | 0.06%             | 2035-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                          | Aon North America, Inc.                                                       | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1584000 | PA      | $1646117.51   | 0.20%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                      | Apple, Inc.                                                                   | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |     86418 | NS      | $23493597.48  | 2.79%             |  |  |  | No            |                  1 | On Loan: No      |
| APPLOVIN CORP                                  | AppLovin Corp.                                                                | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    721000 | PA      | $747655.31    | 0.09%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                  | AppLovin Corp.                                                                | CUSIP: 03831WAD0<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    831000 | PA      | $853812.36    | 0.10%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                             | Aqua Finance Trust                                                            | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77840 | PA      | $71615.08     | 0.01%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| ASURION LLC/ASURION CO                         | Asurion LLC & Asurion Co-Issuer, Inc.                                         | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $570686.28    | 0.07%             | 2032-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                          | Athene Global Funding                                                         | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    712000 | PA      | $629615.18    | 0.07%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND                           | Atlas Warehouse Lending Co. LP                                                | CUSIP: 049463AF9<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |    374000 | PA      | $375403.63    | 0.04%             | 2028-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND                           | Atlas Warehouse Lending Co. LP                                                | CUSIP: 049463AG7<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |    334000 | PA      | $335110.00    | 0.04%             | 2030-11-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc   | BAMLL Re-REMICS Trust                                                         | CUSIP: 05493UAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328000 | PA      | $284268.42    | 0.03%             | 2050-07-27      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc   | BAMLL Re-REMICS Trust                                                         | CUSIP: 05493VAJ3<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $129319.10    | 0.02%             | 2048-11-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc   | BAMLL Re-REMICS Trust                                                         | CUSIP: 05493VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154938 | PA      | $154014.76    | 0.02%             | 2048-11-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc   | BAMLL Re-REMICS Trust                                                         | CUSIP: 054988AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380014 | PA      | $347493.77    | 0.04%             | 2050-01-27      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                  | BLP Commercial Mortgage Trust                                                 | CUSIP: 05556WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480000 | PA      | $480446.11    | 0.06%             | 2042-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                      | BPR Trust                                                                     | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1191755 | PA      | $1219440.18   | 0.14%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                      | BPR Trust                                                                     | CUSIP: 05592VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391000 | PA      | $390028.05    | 0.05%             | 2041-11-05      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090746 | PA      | $1089383.26   | 0.13%             | 2030-03-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239068 | PA      | $238171.38    | 0.03%             | 2030-03-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                             | BX Trust                                                                      | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173000 | PA      | $165538.16    | 0.02%             | 2041-12-09      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                             | BX Trust                                                                      | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481000 | PA      | $460587.75    | 0.05%             | 2041-12-09      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                      | BXP Trust                                                                     | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324000 | PA      | $318127.89    | 0.04%             | 2039-06-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737035 | PA      | $736435.87    | 0.09%             | 2036-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $818993.37    | 0.10%             | 2036-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust                                                                   | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201000 | PA      | $194024.05    | 0.02%             | 2036-08-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                      | BPR Trust                                                                     | CUSIP: 05610WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    831000 | PA      | $867266.34    | 0.10%             | 2038-10-05      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939765 | PA      | $939470.85    | 0.11%             | 2041-06-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070787 | PA      | $1076089.64   | 0.13%             | 2041-10-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939997 | PA      | $941165.15    | 0.11%             | 2041-10-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    861000 | PA      | $858848.96    | 0.10%             | 2035-02-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1217000 | PA      | $1232235.38   | 0.15%             | 2046-11-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 05614JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281000 | PA      | $285487.88    | 0.03%             | 2046-11-13      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 05614JAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $224549.20    | 0.03%             | 2046-11-13      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    928000 | PA      | $936412.32    | 0.11%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited               | Bain Capital Credit CLO Ltd.                                                  | CUSIP: 05682CAL1<br>LEI: 254900QJNS3TYDIDQH27 | Long             | ABS-CBDO         | CORP              | KY        |   1747000 | PA      | $1751094.97   | 0.21%             | 2038-10-24      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                  | Ballyrock CLO 14 Ltd.                                                         | CUSIP: 05874XAN9<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250110.75    | 0.03%             | 2037-07-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                           | Bank of America Corp.                                                         | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    799000 | PA      | $852655.89    | 0.10%             | 2034-09-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                           | Bank of America Corp.                                                         | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2959000 | PA      | $3083271.52   | 0.37%             | 2036-02-12      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                 | Barings Loan Partners CLO Ltd. 5                                              | CUSIP: 06764CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    895249 | PA      | $895406.56    | 0.11%             | 2035-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                       | Bayview MSR Opportunity Master Fund Trust                                     | CUSIP: 07336JAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569744 | PA      | $528272.69    | 0.06%             | 2051-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                       | Bayview MSR Opportunity Master Fund Trust                                     | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423542 | PA      | $369589.87    | 0.04%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII            | Bayview Opportunity Master Fund VII LLC                                       | CUSIP: 07337GAB9<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |    231548 | PA      | $231547.77    | 0.03%             | 2048-07-27      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Belron Finance 2019 LLC                        | Belron Finance LLC                                                            | CUSIP: 08078UAN3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    475206 | PA      | $477582.05    | 0.06%             | 2031-10-16      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                | Benefit Street Partners CLO XV Ltd.                                           | CUSIP: 08179MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1283000 | PA      | $1286278.07   | 0.15%             | 2037-07-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                | Benefit Street Partners CLO 43 Ltd.                                           | CUSIP: 08179QAA8<br>LEI: 254900TPMKEES6UQHQ33 | Long             | ABS-CBDO         | CORP              | KY        |   1006000 | PA      | $1007638.77   | 0.12%             | 2038-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                         | Blackstone Private Credit Fund                                                | CUSIP: 09261HBC0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    604000 | PA      | $640680.07    | 0.08%             | 2028-11-27      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Booking Holdings Inc                           | Booking Holdings, Inc.                                                        | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |      1438 | NS      | $7700964.54   | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                        | Booz Allen Hamilton, Inc.                                                     | CUSIP: 09951LAC7<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    932000 | PA      | $970893.86    | 0.12%             | 2033-08-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| BOOZ ALLEN HAMILTON INC                        | Booz Allen Hamilton, Inc.                                                     | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   1242000 | PA      | $1286818.82   | 0.15%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Broadcom Inc                                   | Broadcom, Inc.                                                                | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |     54280 | NS      | $18786308.00  | 2.23%             |  |  |  | No            |                  1 | On Loan: No      |
| BROWN & BROWN INC                              | Brown & Brown, Inc.                                                           | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    206000 | PA      | $208848.89    | 0.02%             | 2030-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                              | Brown & Brown, Inc.                                                           | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     91000 | PA      | $93059.37     | 0.01%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490004 | PA      | $490003.81    | 0.06%             | 2039-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338722 | PA      | $339456.21    | 0.04%             | 2039-12-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 123913AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1589000 | PA      | $1591462.63   | 0.19%             | 2044-07-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 12433CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399755 | PA      | $402726.83    | 0.05%             | 2041-08-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391669 | PA      | $391914.03    | 0.05%             | 2040-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 12433GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758000 | PA      | $759420.34    | 0.09%             | 2042-07-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                      | CBAM Ltd.                                                                     | CUSIP: 12516LAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | KY        |    588000 | PA      | $588644.45    | 0.07%             | 2038-10-17      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC                                                       | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435744 | PA      | $366629.16    | 0.04%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC                                                       | CUSIP: 12530MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89945 | PA      | $56078.61     | 0.01%             | 2060-07-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC                                                       | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    769276 | PA      | $620974.26    | 0.07%             | 2061-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC                                                       | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199207 | PA      | $121258.77    | 0.01%             | 2061-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC                                                       | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    716577 | PA      | $704903.94    | 0.08%             | 2062-08-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC                                                       | CUSIP: 12530MAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2040315 | PA      | $1980553.11   | 0.24%             | 2062-08-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| CME Group Inc                                  | CME Group, Inc.                                                               | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |     17912 | NS      | $4891408.96   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust                                              | CUSIP: 12636SAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173504 | PA      | $173815.68    | 0.02%             | 2060-11-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                | CVS Health Corp.                                                              | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1214000 | PA      | $1145908.76   | 0.14%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                | CVS Health Corp.                                                              | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    109000 | PA      | $112224.32    | 0.01%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                | CVS Health Corp.                                                              | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    561000 | PA      | $587881.24    | 0.07%             | 2034-06-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                | CVS Health Corp.                                                              | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    299000 | PA      | $305180.52    | 0.04%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                | CVS Health Corp.                                                              | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    531000 | PA      | $543537.12    | 0.06%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                | CVS Health Corp.                                                              | CUSIP: 126650EL0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    308000 | PA      | $312724.98    | 0.04%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                         | CACI International, Inc.                                                      | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |    319000 | PA      | $330062.50    | 0.04%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems Inc                     | Cadence Design Systems, Inc.                                                  | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |     11239 | NS      | $3513086.62   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                       | Capital One Financial Corp.                                                   | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    726000 | PA      | $820485.90    | 0.10%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                       | Capital One Financial Corp.                                                   | CUSIP: 14040HDH5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    944000 | PA      | $993565.79    | 0.12%             | 2035-07-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                       | Capital One Financial Corp.                                                   | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    688000 | PA      | $718191.39    | 0.09%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies               | Carlyle U.S. CLO Ltd.                                                         | CUSIP: 14315RAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1284000 | PA      | $1286537.18   | 0.15%             | 2037-10-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies               | Carlyle U.S. CLO Ltd.                                                         | CUSIP: 14318GAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1132000 | PA      | $1135325.82   | 0.13%             | 2038-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                  | Carnival Corp.                                                                | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    670000 | PA      | $687608.26    | 0.08%             | 2032-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                       | Charter Communications Operating LLC/Charter Communications Operating Capital | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1013000 | PA      | $1067135.08   | 0.13%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Chevron Corp                                   | Chevron Corp.                                                                 | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     35058 | NS      | $5343189.78   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| CIFC Funding Ltd                               | CIFC Funding Ltd.                                                             | CUSIP: 171935AA7<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |    829000 | PA      | $831321.20    | 0.10%             | 2038-10-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                  | Citigroup, Inc.                                                               | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2098000 | PA      | $2180261.20   | 0.26%             | 2035-02-13      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                  | Citigroup, Inc.                                                               | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    346000 | PA      | $347070.79    | 0.04%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                  | Citigroup, Inc.                                                               | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    298000 | PA      | $300785.50    | 0.04%             | 2036-09-11      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                  | Citigroup, Inc.                                                               | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    462000 | PA      | $469517.57    | 0.06%             | 2031-02-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc              | Citigroup Mortgage Loan Trust                                                 | CUSIP: 17332XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710632 | PA      | $711617.99    | 0.08%             | 2055-12-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                          | Civitas Resources, Inc.                                                       | CUSIP: 17888HAB9<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    378000 | PA      | $392137.68    | 0.05%             | 2031-07-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                          | Civitas Resources, Inc.                                                       | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    204000 | PA      | $213804.24    | 0.03%             | 2030-11-01      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                          | Civitas Resources, Inc.                                                       | CUSIP: 17888HAD5<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    732000 | PA      | $790280.52    | 0.09%             | 2033-06-15      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| Coinbase Global Inc                            | Coinbase Global, Inc.                                                         | CUSIP: 19260Q107<br>LEI: 5493004G3J2SC154DU06 | Long             | EC               | CORP              | US        |      2157 | NS      | $487783.98    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                        | Columbia Pipelines Operating Co. LLC                                          | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    510000 | PA      | $545933.34    | 0.06%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                        | Columbia Pipelines Operating Co. LLC                                          | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    532000 | PA      | $566481.24    | 0.07%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                        | Columbia Pipelines Operating Co. LLC                                          | CUSIP: 19828TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    103000 | PA      | $108809.76    | 0.01%             | 2043-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II, LLC             | Compass Datacenters Issuer II LLC                                             | CUSIP: 20469AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112000 | PA      | $112217.54    | 0.01%             | 2049-08-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III, LLC            | Compass Datacenters Issuer III LLC                                            | CUSIP: 20469BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    731000 | PA      | $739428.65    | 0.09%             | 2050-02-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III, LLC            | Compass Datacenters Issuer III LLC                                            | CUSIP: 20469BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455000 | PA      | $461782.78    | 0.05%             | 2050-02-25      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II, LLC             | Compass Datacenters Issuer II LLC                                             | CUSIP: 20469CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2006000 | PA      | $2024042.16   | 0.24%             | 2050-05-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| CART                                           | CONE Trust                                                                    | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    632000 | PA      | $631014.90    | 0.07%             | 2041-08-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CART                                           | CONE Trust                                                                    | CUSIP: 20682AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465108 | PA      | $465029.12    | 0.06%             | 2041-08-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities Trust     | CUSIP: 20753CAB6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    295587 | PA      | $295970.94    | 0.04%             | 2045-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities Trust     | CUSIP: 20754AAB9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    425176 | PA      | $427505.79    | 0.05%             | 2041-12-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities Trust     | CUSIP: 20754BAB7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    527000 | PA      | $536500.28    | 0.06%             | 2042-01-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities Trust     | CUSIP: 20754DAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    376000 | PA      | $384303.13    | 0.05%             | 2042-04-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities Trust     | CUSIP: 20754EAA3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    216233 | PA      | $217081.47    | 0.03%             | 2043-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities Trust     | CUSIP: 20754QAA6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    355637 | PA      | $362324.82    | 0.04%             | 2043-05-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities Trust     | CUSIP: 20754TAC6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    175481 | PA      | $175726.44    | 0.02%             | 2045-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities Trust     | CUSIP: 20755CAA6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    174412 | PA      | $174706.05    | 0.02%             | 2043-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities Trust     | CUSIP: 20755JAB9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    103768 | PA      | $103798.58    | 0.01%             | 2045-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities Trust     | CUSIP: 207941AA3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    114790 | PA      | $114864.52    | 0.01%             | 2044-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION SOFTWARE                         | Constellation Software, Inc.                                                  | CUSIP: 21037XAD2<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |    744000 | PA      | $749422.76    | 0.09%             | 2034-02-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust                                              | CUSIP: 216926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427392 | PA      | $426227.14    | 0.05%             | 2060-09-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                  | CoreWeave, Inc.                                                               | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    797000 | PA      | $741028.76    | 0.09%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                  | CoreWeave, Inc.                                                               | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    322000 | PA      | $295119.44    | 0.04%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Costco Wholesale Corp                          | Costco Wholesale Corp.                                                        | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |      4061 | NS      | $3501962.74   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| CPF IV, LLC, CP EF ASSET SECURITIZATION, LLC   | CP EF Asset Securitization II LLC                                             | CUSIP: 224092AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72845 | PA      | $73386.76     | 0.01%             | 2032-03-15      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| Croton Park CLO Ltd                            | Croton Park CLO Ltd.                                                          | CUSIP: 227800AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    594000 | PA      | $594531.04    | 0.07%             | 2036-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC                                            | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157090 | PA      | $154849.52    | 0.02%             | 2048-04-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC                                            | CUSIP: 23284BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372724 | PA      | $367220.51    | 0.04%             | 2049-03-22      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC                                            | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $131750.56    | 0.02%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC                                            | CUSIP: 23284BAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1339000 | PA      | $1284851.11   | 0.15%             | 2049-05-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                          | DB Master Finance LLC                                                         | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    166972 | PA      | $165860.80    | 0.02%             | 2047-11-20      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                               | DT Midstream, Inc.                                                            | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    959000 | PA      | $946357.40    | 0.11%             | 2029-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                               | DT Midstream, Inc.                                                            | CUSIP: 23345MAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1628000 | PA      | $1593879.56   | 0.19%             | 2031-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                               | DT Midstream, Inc.                                                            | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    288000 | PA      | $278194.22    | 0.03%             | 2032-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Danaher Corp                                   | Danaher Corp.                                                                 | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |     22431 | NS      | $5134904.52   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| DATA 2024-CNTR2 Mortgage Trust                 | DATA Mortgage Trust                                                           | CUSIP: 238020AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263256 | PA      | $263964.00    | 0.03%             | 2046-05-10      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Deere & Co                                     | Deere & Co.                                                                   | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |      5452 | NS      | $2538287.64   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Dell Technologies Inc                          | Dell Technologies, Inc.                                                       | CUSIP: 24703L202<br>LEI: 549300TJB5YBRUPOG437 | Long             | EC               | CORP              | US        |     18934 | NS      | $2383411.92   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Diamond Infrastructure Funding LLC             | Diamond Infrastructure Funding LLC                                            | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    821000 | PA      | $797909.79    | 0.09%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co/The                             | Walt Disney Co.                                                               | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |     68445 | NS      | $7786987.65   | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                       | Capital One Financial Corp.                                                   | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1157000 | PA      | $1364098.04   | 0.16%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                               | Duke Energy Corp.                                                             | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1332000 | PA      | $1387001.76   | 0.16%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| Ellington Financial Mortgage Trust             | EFMT                                                                          | CUSIP: 26846FAA7<br>LEI: 254900NFBGFOBK1G2B84 | Long             | ABS-MBS          | CORP              | US        |    310000 | PA      | $310699.14    | 0.04%             | 2040-11-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower LP                              | EMRLD Borrower LP                                                             | CUSIP: 26872NAC3<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |    290342 | PA      | $290902.91    | 0.03%             | 2030-05-31      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower LP                              | EMRLD Borrower LP                                                             | CUSIP: 26872NAD1<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |   1590734 | PA      | $1593319.30   | 0.19%             | 2031-08-04      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Ecolab Inc                                     | Ecolab, Inc.                                                                  | CUSIP: 278865100<br>LEI: 82DYEISM090VG8LTLS26 | Long             | EC               | CORP              | US        |     10041 | NS      | $2635963.32   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Elmwood CLO X Ltd                              | Elmwood CLO X Ltd.                                                            | CUSIP: 29002VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    766000 | PA      | $769028.76    | 0.09%             | 2038-07-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Emerson Electric Co                            | Emerson Electric Co.                                                          | CUSIP: 291011104<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | EC               | CORP              | US        |      7460 | NS      | $990091.20    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| EXELON CORP                                    | Exelon Corp.                                                                  | CUSIP: 30161NBN0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    679000 | PA      | $705968.96    | 0.08%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                             | Meta Platforms, Inc.                                                          | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |     23087 | NS      | $15239497.83  | 1.81%             |  |  |  | No            |                  1 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF Mortgage Trust                                                          | CUSIP: 30334FAG5<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    187000 | PA      | $176016.11    | 0.02%             | 2028-11-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78014 | PA      | $76191.17     | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27305 | PA      | $26656.92     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48464 | PA      | $47288.74     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131XUSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55123 | PA      | $52042.69     | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y04D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104682 | PA      | $101064.93    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y06M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55699 | PA      | $54056.08     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y0KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63623 | PA      | $59919.19     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y0QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81987 | PA      | $81031.23     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y0TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57894 | PA      | $56285.14     | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y1D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229644 | PA      | $221934.03    | 0.03%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105460 | PA      | $105050.13    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15985 | PA      | $15876.35     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132A4C89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25731 | PA      | $27211.66     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317238 | PA      | $311654.46    | 0.04%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126249 | PA      | $119435.41    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17035 | PA      | $16451.35     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33051 | PA      | $31989.81     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132CW6B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    773932 | PA      | $737231.68    | 0.09%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382367 | PA      | $370163.28    | 0.04%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56826 | PA      | $54243.20     | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DMXR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1409686 | PA      | $1211458.49   | 0.14%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1069513 | PA      | $918585.74    | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80638 | PA      | $75740.39     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74196 | PA      | $69901.12     | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNHN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    517983 | PA      | $448584.69    | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    587338 | PA      | $582867.38    | 0.07%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205801 | PA      | $198499.01    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DPBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148186 | PA      | $131571.92    | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DQ3A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443034 | PA      | $382165.68    | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DQGE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169267 | PA      | $174025.76    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DSFH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    801688 | PA      | $830526.82    | 0.10%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DUYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208212 | PA      | $185796.89    | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17793 | PA      | $17561.85     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497876 | PA      | $430129.43    | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    621242 | PA      | $527987.38    | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132E0N24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457889 | PA      | $481201.55    | 0.06%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132E0WG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519438 | PA      | $554077.28    | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132E0XX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210210 | PA      | $217810.16    | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132Y2B54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6654 | PA      | $6760.56      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132Y2M37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53268 | PA      | $51487.93     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8808 | PA      | $7809.66      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37321 | PA      | $33517.26     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133A73R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39042 | PA      | $33875.78     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133A9JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17533 | PA      | $15227.23     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133A9WN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76289 | PA      | $66364.77     | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133AQP92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151284 | PA      | $128809.48    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B2LX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106447 | PA      | $92313.57     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B3XQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170621 | PA      | $148249.35    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B42A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263004 | PA      | $226660.43    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B4H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115143 | PA      | $102691.11    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79298 | PA      | $71290.28     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B6F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37950 | PA      | $32706.05     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27204 | PA      | $25584.36     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113350 | PA      | $101905.70    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B7SA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11894 | PA      | $10227.89     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11868 | PA      | $11657.34     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116305 | PA      | $109152.86    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108824 | PA      | $102058.82    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35296 | PA      | $32874.32     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246728 | PA      | $253469.27    | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14809 | PA      | $14911.20     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    444870 | PA      | $449132.18    | 0.05%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BPV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14615 | PA      | $14991.35     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BUS65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18255 | PA      | $18375.07     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BVVE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20897 | PA      | $21097.46     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BWKK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75026 | PA      | $75654.35     | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BX6G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63312 | PA      | $63609.74     | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C1S76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83396 | PA      | $84111.46     | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C2UD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212944 | PA      | $214984.97    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C37K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70501 | PA      | $71105.46     | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C4EP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14648 | PA      | $14754.09     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C5FR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26231 | PA      | $26236.34     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C5HS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50762 | PA      | $51634.71     | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C5HT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89464 | PA      | $89573.70     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C5TL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71752 | PA      | $71643.93     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C5WW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83814 | PA      | $83744.21     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C7NJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213422 | PA      | $219875.72    | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133C8HS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125031 | PA      | $128812.42    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133G62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50895 | PA      | $49312.19     | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133G62T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112814 | PA      | $109343.99    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133G7BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150517 | PA      | $143549.29    | 0.02%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107643 | PA      | $106513.28    | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20726 | PA      | $20493.68     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108905 | PA      | $107672.59    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76186 | PA      | $75405.94     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228722 | PA      | $195736.19    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KMR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1235287 | PA      | $1064728.44   | 0.13%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133SKBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225504 | PA      | $216579.19    | 0.03%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215364 | PA      | $208027.69    | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133W87L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137807 | PA      | $142394.74    | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51576 | PA      | $46319.58     | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                  | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326453 | PA      | $295343.58    | 0.04%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                  | CUSIP: 3136B6B77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498625 | PA      | $450106.79    | 0.05%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58320 | PA      | $58358.90     | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138ENS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233378 | PA      | $237411.23    | 0.03%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97211 | PA      | $97276.52     | 0.01%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138EPS88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22346 | PA      | $21523.63     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26656 | PA      | $26829.31     | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138WQJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42911 | PA      | $39574.88     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475010 | PA      | $435791.56    | 0.05%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8857 | PA      | $7750.78      | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585534 | PA      | $513786.07    | 0.06%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140FXUY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228746 | PA      | $191757.24    | 0.02%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140FXVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1996984 | PA      | $1644311.28   | 0.20%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140GQDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17548 | PA      | $16665.47     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140H6B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66035 | PA      | $62307.48     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140H6CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238792 | PA      | $232071.91    | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140H6W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21136 | PA      | $20089.25     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52587 | PA      | $53431.59     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140HFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71950 | PA      | $69970.05     | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140HGGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82290 | PA      | $71328.36     | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140HGR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88891 | PA      | $88288.12     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12877 | PA      | $12256.65     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140J8K28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266402 | PA      | $242472.83    | 0.03%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JB2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518668 | PA      | $498142.99    | 0.06%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JGAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49025 | PA      | $48431.21     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28291 | PA      | $27317.62     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31572 | PA      | $28804.82     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34831 | PA      | $33803.81     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155526 | PA      | $148457.24    | 0.02%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10672 | PA      | $10384.63     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8382 | PA      | $8088.01      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140LQQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85213 | PA      | $73437.79     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140LW4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90903 | PA      | $91819.19     | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MGDG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28172 | PA      | $25009.56     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MGJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28638 | PA      | $24788.23     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MGJK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68528 | PA      | $59058.48     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421492 | PA      | $377906.65    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55567 | PA      | $51916.46     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371443 | PA      | $333884.14    | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315363 | PA      | $283109.63    | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158799 | PA      | $148061.07    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291422 | PA      | $272778.79    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MJWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65244 | PA      | $56274.05     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14152 | PA      | $13850.88     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17727 | PA      | $17366.09     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44537 | PA      | $43687.42     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34221 | PA      | $33741.62     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54967 | PA      | $51565.85     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100209 | PA      | $93798.30     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157219 | PA      | $147176.94    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14950 | PA      | $14684.83     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25182 | PA      | $24699.74     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69465 | PA      | $68133.53     | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275286 | PA      | $271817.18    | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107012 | PA      | $108037.26    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239508 | PA      | $241802.74    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NAMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31778 | PA      | $31910.12     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NAT37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37241 | PA      | $37616.37     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NC6H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19209 | PA      | $19312.34     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NEL94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42491 | PA      | $42769.60     | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NJD27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23158 | PA      | $23310.22     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NKCV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25506 | PA      | $25673.34     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NKTV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46971 | PA      | $47326.56     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NLXN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19156 | PA      | $19704.47     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NPCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50833 | PA      | $52370.53     | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NPNG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27366 | PA      | $27607.65     | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140NPYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25983 | PA      | $26727.26     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43828 | PA      | $41713.62     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10807 | PA      | $10708.15     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16986 | PA      | $16802.67     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QDFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70593 | PA      | $67755.34     | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1654498 | PA      | $1431203.25   | 0.17%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QM6T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74532 | PA      | $70367.77     | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QNBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    956205 | PA      | $815361.77    | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QNF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209678 | PA      | $186134.12    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QNGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203706 | PA      | $192051.58    | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QNLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351751 | PA      | $303715.52    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QNLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    967402 | PA      | $833715.58    | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QNPH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1328423 | PA      | $1247658.64   | 0.15%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QNS60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589178 | PA      | $528687.44    | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    970854 | PA      | $911825.76    | 0.11%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139501 | PA      | $131019.91    | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49096 | PA      | $46432.96     | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97045 | PA      | $91201.49     | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QS3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885957 | PA      | $911701.74    | 0.11%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QSNC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231658 | PA      | $230341.37    | 0.03%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QSTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200480 | PA      | $199215.49    | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QTHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293013 | PA      | $303061.84    | 0.04%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QUBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541342 | PA      | $559112.61    | 0.07%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39531 | PA      | $38062.60     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140X8UA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62541 | PA      | $60010.61     | 0.01%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XFMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533492 | PA      | $460517.69    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XFWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2599122 | PA      | $2230940.81   | 0.27%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XGFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931625 | PA      | $802886.16    | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XGJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57495 | PA      | $54166.74     | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223586 | PA      | $209878.12    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562226 | PA      | $529306.74    | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15675 | PA      | $15127.92     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394591 | PA      | $390786.79    | 0.05%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XJQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28773 | PA      | $25547.18     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XJXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141335 | PA      | $136493.89    | 0.02%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XKDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569583 | PA      | $542596.13    | 0.06%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XL4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441858 | PA      | $392319.56    | 0.05%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XL5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499076 | PA      | $493172.64    | 0.06%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XLVY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1952574 | PA      | $1683719.26   | 0.20%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XMC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124157 | PA      | $110237.97    | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XMUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821458 | PA      | $706472.48    | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XNVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2132274 | PA      | $1836589.54   | 0.22%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XP4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259602 | PA      | $273096.37    | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XPNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222697 | PA      | $233842.40    | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XPP52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555745 | PA      | $581709.64    | 0.07%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31416CE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1330 | PA      | $1406.24      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30582 | PA      | $28277.30     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8094 | PA      | $7465.08      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190512 | PA      | $183957.53    | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200169 | PA      | $162813.93    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327056 | PA      | $293412.96    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23476 | PA      | $23133.19     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418DQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761999 | PA      | $681005.69    | 0.08%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3142GRP38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    841384 | PA      | $874452.98    | 0.10%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3142GTLB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1449072 | PA      | $1474107.88   | 0.18%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust                                                                   | CUSIP: 31684KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372184 | PA      | $376619.24    | 0.04%             | 2055-03-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust                                                                   | CUSIP: 31684LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    408284 | PA      | $412587.91    | 0.05%             | 2055-05-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust                                                                   | CUSIP: 31684MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276340 | PA      | $277409.62    | 0.03%             | 2055-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust                                                                   | CUSIP: 31684NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204888 | PA      | $204248.74    | 0.02%             | 2055-09-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust                                                                   | CUSIP: 31684UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306486 | PA      | $308286.61    | 0.04%             | 2054-09-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust                                                                   | CUSIP: 316927AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    266341 | PA      | $273335.09    | 0.03%             | 2054-05-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust                                | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |    334844 | PA      | $325362.91    | 0.04%             | 2075-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust                                                       | CUSIP: 33853HAB7<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   1142260 | PA      | $999325.36    | 0.12%             | 2051-12-30      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                           | Flutter Treasury DAC                                                          | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    389000 | PA      | $394407.10    | 0.05%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                       | Ford Motor Credit Co. LLC                                                     | CUSIP: 345397D67<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    474000 | PA      | $509106.06    | 0.06%             | 2033-11-07      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust                                                      | CUSIP: 35042TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    393840 | PA      | $394887.04    | 0.05%             | 2052-08-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                          | Foundry JV Holdco LLC                                                         | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    941000 | PA      | $966355.90    | 0.11%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                          | Foundry JV Holdco LLC                                                         | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $212078.26    | 0.03%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                          | Foundry JV Holdco LLC                                                         | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $209269.43    | 0.02%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                             | Seasoned Loans Structured Transaction Trust                                   | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     82299 | PA      | $81825.41     | 0.01%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564K2F5<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |     13230 | PA      | $13250.35     | 0.00%             | 2043-06-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564K3G2<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | USGSE             | US        |    191459 | PA      | $192526.82    | 0.02%             | 2043-11-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564KH77<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | USGSE             | US        |     52857 | PA      | $56945.55     | 0.01%             | 2042-09-25      | Floating      | 9.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | USGSE             | US        |    194114 | PA      | $195664.31    | 0.02%             | 2041-09-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | USGSE             | US        |    258132 | PA      | $260336.81    | 0.03%             | 2041-12-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |     41289 | PA      | $41304.31     | 0.00%             | 2042-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |     84114 | PA      | $86617.66     | 0.01%             | 2042-02-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564KT58<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | USGSE             | US        |    151269 | PA      | $153362.43    | 0.02%             | 2043-04-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564KVE6<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |    206199 | PA      | $214772.01    | 0.03%             | 2042-04-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |     59443 | PA      | $62762.58     | 0.01%             | 2042-05-25      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | USGSE             | US        |     32398 | PA      | $34990.29     | 0.00%             | 2042-06-25      | Floating      | 10.62%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564NFZ1<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | USGSE             | US        |    196969 | PA      | $196969.58    | 0.02%             | 2045-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | USGSE             | US        |    402614 | PA      | $402980.85    | 0.05%             | 2045-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564NHZ9<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |    124070 | PA      | $124029.05    | 0.01%             | 2045-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMICS Trust                           | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |    130060 | PA      | $130271.24    | 0.02%             | 2045-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1069683 | PA      | $975693.56    | 0.12%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139166 | PA      | $141461.37    | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24848 | PA      | $24705.31     | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540972 | PA      | $521479.60    | 0.06%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179UST0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1404839 | PA      | $1298059.21   | 0.15%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1364800 | PA      | $1177892.39   | 0.14%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522610 | PA      | $470298.22    | 0.06%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    765035 | PA      | $688301.46    | 0.08%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2143489 | PA      | $1928494.75   | 0.23%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617AUZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91201 | PA      | $87321.79     | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617B13X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10623 | PA      | $10088.78     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617B14A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32926 | PA      | $31206.39     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617B14U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10341 | PA      | $9810.55      | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617BA5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12086 | PA      | $11634.17     | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617BN3S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10782 | PA      | $10420.12     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617BN4U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41032 | PA      | $39272.56     | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617H1CH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15733 | PA      | $15373.51     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617H1CJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41928 | PA      | $40962.43     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                        | GLP Capital LP/GLP Financing II, Inc.                                         | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |     73000 | PA      | $74270.61     | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                        | GLP Capital LP/GLP Financing II, Inc.                                         | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              |  | US        |   1220000 | PA      | $1237749.00   | 0.15%             | 2034-09-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3622A2QL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    339377 | PA      | $328747.74    | 0.04%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3622A2UF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471950 | PA      | $467830.03    | 0.06%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3622ABLY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1038903 | PA      | $886860.84    | 0.11%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                               | GWT Trust                                                                     | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1141000 | PA      | $1144177.00   | 0.14%             | 2041-05-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust                                           | CUSIP: 36273BAA7<br>LEI: 254900U0V0TUGIF39T29 | Long             | ABS-MBS          | CORP              | US        |    559390 | PA      | $560774.80    | 0.07%             | 2055-09-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Corp. Trust                                            | CUSIP: 36273XAA9<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |   1159000 | PA      | $1160549.35   | 0.14%             | 2041-11-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| GCAT                                           | GCAT Trust                                                                    | CUSIP: 36830QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671778 | PA      | $684163.98    | 0.08%             | 2053-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| General Electric Co                            | General Electric Co.                                                          | CUSIP: 369604301<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | EC               | CORP              | US        |     21438 | NS      | $6603547.14   | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| Genesee & Wyoming Inc (New)                    | Genesee & Wyoming, Inc.                                                       | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |   1503587 | PA      | $1503352.72   | 0.18%             | 2031-04-10      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD        | GoldenTree Loan Management U.S. CLO 17 Ltd.                                   | CUSIP: 38139FAN0<br>LEI: 549300TS068SCJRDSP12 | Long             | ABS-CBDO         | CORP              | JE        |    950000 | PA      | $951773.65    | 0.11%             | 2039-01-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                    | Goldman Sachs Group, Inc.                                                     | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |      7547 | NS      | $6633813.00   | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                        | Goldman Sachs Group, Inc.                                                     | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    830000 | PA      | $861437.29    | 0.10%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding             | Gracie Point International Funding LLC                                        | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287000 | PA      | $287216.66    | 0.03%             | 2028-03-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| HCA INC                                        | HCA, Inc.                                                                     | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    450000 | PA      | $425038.59    | 0.05%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HCA INC                                        | HCA, Inc.                                                                     | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    690000 | PA      | $719614.61    | 0.09%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare Inc                             | HCA Healthcare, Inc.                                                          | CUSIP: 40412C101<br>LEI: 529900PH4ZGUH2MNEU89 | Long             | EC               | CORP              | US        |      6351 | NS      | $2965027.86   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| HEALTH CARE SERVICE CORP                       | Health Care Service Corp. A Mutual Legal Reserve Co.                          | CUSIP: 42218SAF5<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    510000 | PA      | $463080.86    | 0.06%             | 2030-06-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP                       | Health Care Service Corp. A Mutual Legal Reserve Co.                          | CUSIP: 42218SAK4<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    575000 | PA      | $589378.09    | 0.07%             | 2029-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP                       | Health Care Service Corp. A Mutual Legal Reserve Co.                          | CUSIP: 42218SAL2<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |   1297000 | PA      | $1327835.80   | 0.16%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                    | Hertz Vehicle Financing III LLC                                               | CUSIP: 42806MDL0<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    331000 | PA      | $331043.92    | 0.04%             | 2030-05-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                       | Hess Midstream Operations LP                                                  | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    556000 | PA      | $543815.70    | 0.06%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                       | Hess Midstream Operations LP                                                  | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    460000 | PA      | $461856.56    | 0.05%             | 2028-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Hilton Worldwide Holdings Inc                  | Hilton Worldwide Holdings, Inc.                                               | CUSIP: 43300A203<br>LEI: 549300HVGPK36ICB0B89 | Long             | EC               | CORP              | US        |     12417 | NS      | $3566783.25   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Depot Inc/The                             | Home Depot, Inc.                                                              | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |     15499 | NS      | $5333205.90   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Homeward Opportunities Fund I Trust            | Homeward Opportunities Fund Trust                                             | CUSIP: 43789FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1021021.43   | 0.12%             | 2029-07-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust            | Homeward Opportunities Fund Trust                                             | CUSIP: 43789GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424000 | PA      | $425000.72    | 0.05%             | 2039-09-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust            | Homeward Opportunities Fund Trust                                             | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $568624.15    | 0.07%             | 2040-03-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust            | Homeward Opportunities Fund Trust                                             | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $230811.42    | 0.03%             | 2040-09-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace Inc                           | Howmet Aerospace, Inc.                                                        | CUSIP: 443201108<br>LEI: 549300HO5WFZUT5N2T22 | Long             | EC               | CORP              | US        |     19206 | NS      | $3937614.12   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust                                                    | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321959 | PA      | $321650.43    | 0.04%             | 2034-08-05      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                     | Humana, Inc.                                                                  | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    220000 | PA      | $231091.61    | 0.03%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                     | Humana, Inc.                                                                  | CUSIP: 444859BY7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    544000 | PA      | $570507.33    | 0.07%             | 2034-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                  | Intercontinental Exchange, Inc.                                               | CUSIP: 45866F104<br>LEI: 5493000F4ZO33MV32P92 | Long             | EC               | CORP              | US        |     34086 | NS      | $5520568.56   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuit Inc                                     | Intuit, Inc.                                                                  | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |      8103 | NS      | $5367589.26   | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuitive Surgical Inc                         | Intuitive Surgical, Inc.                                                      | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |      7035 | NS      | $3984342.60   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Chase Mortgage Finance Corporation             | Chase Mortgage Finance Corp.                                                  | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568141 | PA      | $563210.13    | 0.07%             | 2050-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JPMorgan Mortgage Trust                                                       | CUSIP: 46593VAD9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    228754 | PA      | $229613.74    | 0.03%             | 2055-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                            | JPMorgan Chase & Co.                                                          | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     33700 | NS      | $10858814.00  | 1.29%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co.                                                          | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    761000 | PA      | $795335.28    | 0.09%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                        | Jane Street Group/JSG Finance, Inc.                                           | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    528000 | PA      | $554804.61    | 0.07%             | 2031-04-30      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                        | Jane Street Group/JSG Finance, Inc.                                           | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1326000 | PA      | $1349284.56   | 0.16%             | 2032-11-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                        | Jane Street Group/JSG Finance, Inc.                                           | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1032000 | PA      | $1077197.83   | 0.13%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                              | Johnson & Johnson                                                             | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |     34787 | NS      | $7199169.65   | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| KLA Corp                                       | KLA Corp.                                                                     | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |      5580 | NS      | $6780146.40   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| KRE Commercial Mortgage Trust                  | KRE Commercial Mortgage Trust                                                 | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749000 | PA      | $748064.57    | 0.09%             | 2042-03-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust                                                          | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311653 | PA      | $314453.17    | 0.04%             | 2029-05-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust                                                          | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249645 | PA      | $251324.56    | 0.03%             | 2029-03-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust                                                          | CUSIP: 50205PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920061 | PA      | $924551.17    | 0.11%             | 2039-07-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust                                                          | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260752.88    | 0.03%             | 2040-08-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                               | LPL Holdings, Inc.                                                            | CUSIP: 50212YAK0<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    787000 | PA      | $827600.52    | 0.10%             | 2034-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| LPL HOLDINGS INC                               | LPL Holdings, Inc.                                                            | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    490000 | PA      | $499708.88    | 0.06%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                               | LPL Holdings, Inc.                                                            | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    608000 | PA      | $625602.20    | 0.07%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp                              | Lam Research Corp.                                                            | CUSIP: 512807306<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |     42592 | NS      | $7290898.56   | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust                                                 | CUSIP: 52608LAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82401 | PA      | $83241.11     | 0.01%             | 2028-08-15      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| Lex Commercial Loan Master Trust               | LEX Mortgage Trust                                                            | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $216267.88    | 0.03%             | 2033-10-13      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Oasis Securitisation                           | Libra Solutions LLC                                                           | CUSIP: 53161XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    439000 | PA      | $439172.83    | 0.05%             | 2038-09-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust                  | Life Mortgage Trust                                                           | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80420 | PA      | $80077.38     | 0.01%             | 2038-03-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                  | Life Mortgage Trust                                                           | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    886000 | PA      | $854453.08    | 0.10%             | 2039-05-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                  | Life Mortgage Trust                                                           | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257000 | PA      | $232253.52    | 0.03%             | 2039-05-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Lightning Power LLC                            | Lightning Power LLC                                                           | CUSIP: 53229LAB3<br>LEI: 254900BWCHJ03XRL8K59 | Long             | LON              | CORP              | US        |   1051688 | PA      | $1056452.70   | 0.13%             | 2031-08-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co                                 | Eli Lilly & Co.                                                               | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     11746 | NS      | $12623191.28  | 1.50%             |  |  |  | No            |                  1 | On Loan: No      |
| DI Issuer LLC                                  | LMDV Issuer Co. LLC                                                           | CUSIP: 538908AA2<br>LEI: 254900A6HRP8XHJJGM20 | Long             | ABS-O            | CORP              | US        |    238000 | PA      | $237928.60    | 0.03%             | 2055-12-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| M&T Equipment Notes                            | M&T Equipment Notes                                                           | CUSIP: 551925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106096 | PA      | $106721.84    | 0.01%             | 2030-07-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                       | MSCI, Inc.                                                                    | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    184000 | PA      | $179895.37    | 0.02%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                | MVW LLC                                                                       | CUSIP: 55389RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122440 | PA      | $122614.13    | 0.01%             | 2044-10-20      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                       | Madison Park Funding LXII Ltd.                                                | CUSIP: 55817HAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $850273.70    | 0.10%             | 2038-07-16      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                       | Madison Park Funding LV Ltd.                                                  | CUSIP: 55819FAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1367389 | PA      | $1370468.36   | 0.16%             | 2037-07-18      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                       | Madison Park Funding XXXIV Ltd.                                               | CUSIP: 55819GAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    435000 | PA      | $435256.65    | 0.05%             | 2037-10-16      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                       | Madison Park Funding LXXIII Ltd.                                              | CUSIP: 55823HAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    872000 | PA      | $875069.44    | 0.10%             | 2038-10-17      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                              | Magnetite 50 Ltd.                                                             | CUSIP: 55956MAA7<br>LEI: 529900LA8YF5OY74OD31 | Long             | ABS-CBDO         | CORP              | KY        |    652000 | PA      | $652760.23    | 0.08%             | 2038-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Mastercard Inc                                 | Mastercard, Inc.                                                              | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |     24872 | NS      | $14198927.36  | 1.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Medline Borrower LP                            | Medline Borrower LP                                                           | CUSIP: 58503UAF0<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    915767 | PA      | $918230.75    | 0.11%             | 2028-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust        | Mello Mortgage Capital Acceptance                                             | CUSIP: 585491BC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532221 | PA      | $495922.12    | 0.06%             | 2051-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust        | Mello Mortgage Capital Acceptance                                             | CUSIP: 58549XBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426170 | PA      | $396959.37    | 0.05%             | 2051-08-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust        | Mello Mortgage Capital Acceptance                                             | CUSIP: 58550DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274407 | PA      | $269448.31    | 0.03%             | 2054-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                    | Merchants Fleet Funding LLC                                                   | CUSIP: 588926AL9<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $235747.82    | 0.03%             | 2039-01-20      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                 | Microsoft Corp.                                                               | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |     75886 | NS      | $36699987.32  | 4.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Monster Beverage Corp                          | Monster Beverage Corp.                                                        | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |     53225 | NS      | $4080760.75   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| Moody's Corp                                   | Moody's Corp.                                                                 | CUSIP: 615369105<br>LEI: 549300GCEDD8YCF5WU84 | Long             | EC               | CORP              | US        |      7648 | NS      | $3906980.80   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                                | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |     35530 | NS      | $6307640.90   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    676000 | PA      | $616980.47    | 0.07%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    774000 | PA      | $805204.82    | 0.10%             | 2034-07-21      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    968000 | PA      | $996460.88    | 0.12%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust                                | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314157 | PA      | $307491.29    | 0.04%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                         | Motorola Solutions, Inc.                                                      | CUSIP: 620076307<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | EC               | CORP              | US        |     11385 | NS      | $4364098.20   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| NCL CORPORATION LTD                            | NCL Corp. Ltd.                                                                | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |   1355000 | PA      | $1349873.24   | 0.16%             | 2031-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                            | NCL Corp. Ltd.                                                                | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    840000 | PA      | $839646.28    | 0.10%             | 2033-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                 | NRG Energy, Inc.                                                              | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    760000 | PA      | $760962.92    | 0.09%             | 2030-10-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                 | NRG Energy, Inc.                                                              | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    409000 | PA      | $413159.53    | 0.05%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                 | NRG Energy, Inc.                                                              | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    767000 | PA      | $777157.66    | 0.09%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes         | NRZ Excess Spread-Collateralized Notes                                        | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    168728 | PA      | $166690.40    | 0.02%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes         | NRM FNT1 Excess LLC                                                           | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    399778 | PA      | $406608.32    | 0.05%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                    | Netflix, Inc.                                                                 | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |     65621 | NS      | $6152624.96   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Neuberger Berman CLO Ltd                       | Neuberger Berman CLO 32R Ltd.                                                 | CUSIP: 64135XAA9<br>LEI: 25490093SHVBS5BLDZ40 | Long             | ABS-CBDO         | CORP              | KY        |    788611 | PA      | $789452.45    | 0.09%             | 2039-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Issuer LLC          | New Economy Assets Phase 1 Sponsor LLC                                        | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    353000 | PA      | $216580.50    | 0.03%             | 2061-10-20      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust                                           | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |     67910 | PA      | $67349.29     | 0.01%             | 2058-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust                                           | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |    343000 | PA      | $345557.07    | 0.04%             | 2039-09-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust                                           | CUSIP: 64832BAC9<br>LEI: 213800Z6O4V4V96AU133 | Long             | ABS-MBS          | CORP              | US        |    427136 | PA      | $428295.67    | 0.05%             | 2064-09-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| NIKE Inc                                       | NIKE, Inc.                                                                    | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |     67375 | NS      | $4292461.25   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| NRTH PARK Mortgage Trust                       | NRTH Commercial Mortgage Trust                                                | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654000 | PA      | $654612.99    | 0.08%             | 2040-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp                                    | NVIDIA Corp.                                                                  | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |    250716 | NS      | $46758534.00  | 5.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Oak Hill Credit Partners                       | OHA Credit Funding 7 Ltd.                                                     | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    812000 | PA      | $811553.40    | 0.10%             | 2038-07-19      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                    | OCP CLO Ltd.                                                                  | CUSIP: 671078AY9<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |    337764 | PA      | $337967.33    | 0.04%             | 2037-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX Trust                                                                     | CUSIP: 67115NAA8<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    177853 | PA      | $155197.14    | 0.02%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX Trust                                                                     | CUSIP: 67115NAU4<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    471207 | PA      | $407649.27    | 0.05%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Net Lease Fund     | Oak Street Investment Grade Net Lease Fund                                    | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555123 | PA      | $504839.77    | 0.06%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                       | Occidental Petroleum Corp.                                                    | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    420000 | PA      | $485646.84    | 0.06%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                       | Occidental Petroleum Corp.                                                    | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    296000 | PA      | $318662.94    | 0.04%             | 2030-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                       | Occidental Petroleum Corp.                                                    | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    534000 | PA      | $564399.02    | 0.07%             | 2031-01-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                    | OCP CLO Ltd.                                                                  | CUSIP: 67570UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    455000 | PA      | $456141.14    | 0.05%             | 2038-10-24      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                       | OHA Credit Funding 9 Ltd.                                                     | CUSIP: 67690AAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    630000 | PA      | $631981.35    | 0.08%             | 2037-10-19      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                    | Oracle Corp.                                                                  | CUSIP: 68389X105<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | EC               | CORP              | US        |     21827 | NS      | $4254300.57   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| ORACLE CORP                                    | Oracle Corp.                                                                  | CUSIP: 68389XDA0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    218000 | PA      | $213614.37    | 0.03%             | 2035-08-03      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                    | Oracle Corp.                                                                  | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    672000 | PA      | $643830.26    | 0.08%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                    | Oracle Corp.                                                                  | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    561000 | PA      | $497053.98    | 0.06%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                    | Oracle Corp.                                                                  | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    750000 | PA      | $661494.36    | 0.08%             | 2065-09-26      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME                         | Blue Owl Credit Income Corp.                                                  | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    113000 | PA      | $112555.41    | 0.01%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME                         | Blue Owl Credit Income Corp.                                                  | CUSIP: 69120VBB6<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    371000 | PA      | $392287.03    | 0.05%             | 2028-06-13      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc/The           | PNC Financial Services Group, Inc.                                            | CUSIP: 693475105<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EC               | CORP              | US        |     19904 | NS      | $4154561.92   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| PNC FINANCIAL SERVICES                         | PNC Financial Services Group, Inc.                                            | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    950000 | PA      | $1075045.62   | 0.13%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                         | PNC Financial Services Group, Inc.                                            | CUSIP: 693475BZ7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    910000 | PA      | $941261.00    | 0.11%             | 2035-07-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust          | PRPM LLC                                                                      | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278079 | PA      | $276006.95    | 0.03%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC           | PRET Trust                                                                    | CUSIP: 69392FAA5<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |    420259 | PA      | $411746.63    | 0.05%             | 2069-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC           | PRET Trust                                                                    | CUSIP: 69392LAA2<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |    441580 | PA      | $431776.98    | 0.05%             | 2064-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC           | PRET Trust                                                                    | CUSIP: 69393AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675271 | PA      | $664176.00    | 0.08%             | 2070-01-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust          | PRPM LLC                                                                      | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185381 | PA      | $182641.23    | 0.02%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                | Philip Morris International, Inc.                                             | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |     50536 | NS      | $8105974.40   | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Progressive Corp/The                           | Progressive Corp.                                                             | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |     36547 | NS      | $8322482.84   | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust          | PRPM LLC                                                                      | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562483 | PA      | $534863.50    | 0.06%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS I LLC                           | QTS Issuer ABS I LLC                                                          | CUSIP: 74690DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1472000 | PA      | $1482008.42   | 0.18%             | 2055-05-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC                          | QTS Issuer ABS II LLC                                                         | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840000 | PA      | $832588.51    | 0.10%             | 2055-10-05      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                          | Qnity Electronics, Inc.                                                       | CUSIP: 74737SAB9<br>LEI: 254900RSUG4J9TFFZX53 | Long             | LON              | CORP              | US        |    290000 | PA      | $291087.50    | 0.03%             | 2032-11-01      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                          | Qnity Electronics, Inc.                                                       | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |    361000 | PA      | $369103.01    | 0.04%             | 2032-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                          | Quikrete Holdings, Inc.                                                       | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    608000 | PA      | $632855.04    | 0.08%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141174 | PA      | $141621.55    | 0.02%             | 2043-06-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 74938DAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383226 | PA      | $354306.78    | 0.04%             | 2051-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588782 | PA      | $594555.24    | 0.07%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 74938PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642832 | PA      | $649548.94    | 0.08%             | 2044-04-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 74939LAA2<br>LEI: 2549008ADDIO9CIJ8W08 | Long             | ABS-MBS          | CORP              | US        |    284926 | PA      | $285210.15    | 0.03%             | 2055-11-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 74939WAA8<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-MBS          | CORP              | US        |    491160 | PA      | $493761.99    | 0.06%             | 2055-08-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 749410AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464255 | PA      | $466276.16    | 0.06%             | 2044-09-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    703217 | PA      | $705438.31    | 0.08%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205636 | PA      | $207324.61    | 0.02%             | 2044-02-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111156 | PA      | $112293.68    | 0.01%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 74942BAA9<br>LEI: 2549001985H26N17CK52 | Long             | ABS-MBS          | CORP              | US        |    347164 | PA      | $350283.35    | 0.04%             | 2055-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 74943AAA0<br>LEI: 254900E35NYYFOUTHD06 | Long             | ABS-MBS          | CORP              | US        |    191669 | PA      | $193519.52    | 0.02%             | 2055-07-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                 | Rocket Cos., Inc.                                                             | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    374000 | PA      | $386596.00    | 0.05%             | 2030-08-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                 | Rocket Cos., Inc.                                                             | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1631698.74   | 0.19%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SF ABS Issuer LLC                              | SF ABS Issuer LLC                                                             | CUSIP: 784193AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1172000 | PA      | $1146490.25   | 0.14%             | 2055-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                        | SCF Equipment Leasing LLC                                                     | CUSIP: 78439XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192000 | PA      | $192264.79    | 0.02%             | 2031-12-22      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| SMRT                                           | SMRT Commercial Mortgage Trust                                                | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451000 | PA      | $450999.41    | 0.05%             | 2039-01-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                    | SREIT Trust                                                                   | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83884 | PA      | $83832.44     | 0.01%             | 2038-11-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust                                       | CUSIP: 79581UAA2<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-O            | CORP              | US        |    417271 | PA      | $432550.44    | 0.05%             | 2053-11-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust                                       | CUSIP: 79581VAA0<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-MBS          | CORP              | US        |    218661 | PA      | $221271.03    | 0.03%             | 2054-03-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust                                       | CUSIP: 79581XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    524233 | PA      | $525766.07    | 0.06%             | 2055-10-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust                                       | CUSIP: 79582AAA5<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-O            | CORP              | US        |    793578 | PA      | $819184.21    | 0.10%             | 2053-08-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust                                       | CUSIP: 79582MAA9<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-MBS          | CORP              | US        |    318905 | PA      | $326588.18    | 0.04%             | 2054-04-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluds Grade Alternative Mortgage Trust                                       | CUSIP: 79582NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $320032.19    | 0.04%             | 2040-10-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust                                       | CUSIP: 79585UAA8<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $779549.10    | 0.09%             | 2030-07-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes                                       | CUSIP: 80290CBD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38864 | PA      | $39073.92     | 0.00%             | 2032-08-16      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp/The                        | Charles Schwab Corp.                                                          | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |     57710 | NS      | $5765806.10   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| SELF Commercial Mortgage Trust                 | SELF Commercial Mortgage Trust                                                | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    993000 | PA      | $993619.93    | 0.12%             | 2034-11-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust                                                        | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |     84994 | PA      | $75637.21     | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust                                                        | CUSIP: 81748KBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38547 | PA      | $34512.54     | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ServiceNow Inc                                 | ServiceNow, Inc.                                                              | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |     19477 | NS      | $2983681.63   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                     | Sixth Street CLO IX Ltd.                                                      | CUSIP: 83012CAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |    957000 | PA      | $959404.94    | 0.11%             | 2037-07-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                               | Societe Generale SA                                                           | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1300000 | PA      | $1373604.95   | 0.16%             | 2033-04-13      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                 | Solventum Corp.                                                               | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1292000 | PA      | $1347712.18   | 0.16%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                 | Solventum Corp.                                                               | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1703000 | PA      | $1771958.10   | 0.21%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                     | FIXED INC CLEARING CORP.REPO                                                  | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   9186338 | PA      | $9186338.19   | 1.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Stryker Corp                                   | Stryker Corp.                                                                 | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |     17400 | NS      | $6115578.00   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| SUNOCO LP                                      | Sunoco LP                                                                     | CUSIP: 86765KAB5<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    908000 | PA      | $947004.05    | 0.11%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                      | Sunoco LP                                                                     | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    512000 | PA      | $541356.10    | 0.06%             | 2032-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                      | Sunoco LP                                                                     | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    286000 | PA      | $288095.52    | 0.03%             | 2031-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                      | Sunoco LP                                                                     | CUSIP: 86765KAG4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    485000 | PA      | $484957.08    | 0.06%             | 2034-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TJX Cos Inc/The                                | TJX Cos., Inc.                                                                | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |     22795 | NS      | $3501539.95   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| THE 2023-MIC Trust                             | MIC Trust                                                                     | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584328 | PA      | $632158.23    | 0.08%             | 2038-12-05      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                  | TYSN Mortgage Trust                                                           | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924755 | PA      | $973494.21    | 0.12%             | 2033-12-10      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                         | Taco Bell Funding LLC                                                         | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205342 | PA      | $191428.29    | 0.02%             | 2051-08-25      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                        | Talen Energy Supply LLC                                                       | CUSIP: 87422LBA7<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |    666241 | PA      | $666934.97    | 0.08%             | 2032-11-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                        | Talen Energy Supply LLC                                                       | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    688000 | PA      | $701700.76    | 0.08%             | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                        | Talen Energy Supply LLC                                                       | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |   1129000 | PA      | $1167487.21   | 0.14%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN CO LLC                          | Teva Pharmaceutical Finance Co. LLC                                           | CUSIP: 88163VAD1<br>LEI: 5493006PITD7MU7WW480 | Long             | DBT              | CORP              | US        |    311000 | PA      | $326518.54    | 0.04%             | 2036-02-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                        | Teva Pharmaceutical Finance Netherlands III BV                                | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1136000 | PA      | $1192241.26   | 0.14%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN IV                              | Teva Pharmaceutical Finance Netherlands IV BV                                 | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |    896000 | PA      | $929353.13    | 0.11%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                | TEXAS Commercial Mortgage Trust                                               | CUSIP: 88231WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284000 | PA      | $284359.69    | 0.03%             | 2042-04-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Texas Debt Capital CLO, Ltd                    | Texas Debt Capital CLO Ltd.                                                   | CUSIP: 88239MAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    934000 | PA      | $936712.34    | 0.11%             | 2037-10-21      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific Inc                   | Thermo Fisher Scientific, Inc.                                                | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |      8051 | NS      | $4665151.95   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Toorak Mortgage Corp.                          | Toorak Mortgage Trust                                                         | CUSIP: 89053JAB3<br>LEI: 25490023B58UP9CM5N96 | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $261201.77    | 0.03%             | 2040-02-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust                                                     | CUSIP: 89183RAA0<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-O            | CORP              | US        |    629502 | PA      | $630838.95    | 0.07%             | 2065-10-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                  | TransDigm, Inc.                                                               | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    108000 | PA      | $112069.55    | 0.01%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                  | TransDigm, Inc.                                                               | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    371000 | PA      | $386464.84    | 0.05%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                  | TransDigm, Inc.                                                               | CUSIP: 89364MCE2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    672315 | PA      | $675023.08    | 0.08%             | 2032-08-19      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                 | 280 Park Avenue Mortgage Trust                                                | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    592515 | PA      | $590571.67    | 0.07%             | 2034-09-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| UPG HI Issuer Trust                            | UPG HI Issuer Trust                                                           | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239000 | PA      | $238897.64    | 0.03%             | 2047-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Uber Technologies Inc                          | Uber Technologies, Inc.                                                       | CUSIP: 90353T100<br>LEI: 549300B2FTG34FILDR98 | Long             | EC               | CORP              | US        |     77690 | NS      | $6348049.90   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| United Wholsale Mortgage LLC                   | UWM Mortgage Trust                                                            | CUSIP: 90354XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520028 | PA      | $484118.78    | 0.06%             | 2051-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                             | Union Pacific Corp.                                                           | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |     16920 | NS      | $3913934.40   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| US BANCORP                                     | U.S. Bancorp                                                                  | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    857000 | PA      | $747964.70    | 0.09%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                     | U.S. Bancorp                                                                  | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    783000 | PA      | $804259.20    | 0.10%             | 2031-02-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                     | U.S. Bancorp                                                                  | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    862000 | PA      | $895902.57    | 0.11%             | 2036-02-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: —       |
| United States Treasury                         | U.S. Treasury Bonds                                                           | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33464000 | PA      | $32899295.00  | 3.91%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                           | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15070000 | PA      | $14726215.63  | 1.75%             | 2045-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12306400 | PA      | $12129495.50  | 1.44%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CPM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3158000 | PA      | $3121485.63   | 0.37%             | 2032-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5007000 | PA      | $4956538.85   | 0.59%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1418000 | PA      | $1416338.27   | 0.17%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                       | Vantage Data Centers LLC                                                      | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    596000 | PA      | $567453.86    | 0.07%             | 2045-09-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                       | Vantage Data Centers Issuer LLC                                               | CUSIP: 92212KAD8<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |   1953558 | PA      | $1913767.93   | 0.23%             | 2046-10-15      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| VASA Trust                                     | VASA Trust                                                                    | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $418899.34    | 0.05%             | 2039-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Vertex Pharmaceuticals Inc                     | Vertex Pharmaceuticals, Inc.                                                  | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |     10944 | NS      | $4961571.84   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                       | Viper Energy Partners LLC                                                     | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    231000 | PA      | $233649.57    | 0.03%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                       | Viper Energy Partners LLC                                                     | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    614000 | PA      | $626605.42    | 0.07%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                    | Vistra Corp.                                                                  | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |     12157 | NS      | $1961288.81   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Voya CLO Ltd                                   | Voya CLO Ltd.                                                                 | CUSIP: 92920KAC3<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |    386336 | PA      | $386384.68    | 0.05%             | 2037-07-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust                                         | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1014000 | PA      | $1018684.17   | 0.12%             | 2038-03-15      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust                                         | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74081 | PA      | $74039.14     | 0.01%             | 2040-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                             | Wendy's Funding LLC                                                           | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    469060 | PA      | $461039.25    | 0.05%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                             | Wendy's Funding LLC                                                           | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    132631 | PA      | $123607.51    | 0.01%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                             | Wendy's Funding LLC                                                           | CUSIP: 95058XAL2<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    352392 | PA      | $314231.27    | 0.04%             | 2051-06-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                             | Wendy's Funding LLC                                                           | CUSIP: 95058XAP3<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |     69464 | PA      | $67430.59     | 0.01%             | 2052-03-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                             | Wendy's Funding LLC                                                           | CUSIP: 95058XAR9<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    953000 | PA      | $950182.74    | 0.11%             | 2055-12-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts                               | Westgate Resorts LLC                                                          | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28236 | PA      | $28053.77     | 0.00%             | 2036-08-20      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                | Xcel Energy, Inc.                                                             | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    438000 | PA      | $453578.32    | 0.05%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc                                     | Zoetis, Inc.                                                                  | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |     42201 | NS      | $5309729.82   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Global Advisors                   | State Street Navigator Securities Lending Government Money Market Portfolio   | CUSIP: 857509301<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |   4287518 | NS      | $4287517.50   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Accenture PLC                                  | Accenture PLC                                                                 | CUSIP: 000000000<br>LEI: 5493000EWHDSR3MZWH98 | Long             | EC               | CORP              | IE        |      4116 | NS      | $1104322.80   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Corp PLC                                 | Eaton Corp. PLC                                                               | CUSIP: 000000000<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | IE        |     15987 | NS      | $5092019.37   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Trane Technologies PLC                         | Trane Technologies PLC                                                        | CUSIP: 000000000<br>LEI: 549300BURLR9SLYY2705 | Long             | EC               | CORP              | IE        |     11234 | NS      | $4372272.80   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Royal Caribbean Cruises Ltd                    | Royal Caribbean Cruises Ltd.                                                  | CUSIP: 000000000<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | EC               | CORP              | LR        |     21846 | NS      | $6093286.32   | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-29

**Name of Applicant:** TRANSAMERICA SERIES TRUST

**Signature:** Kari Seabrands

**Name of Signer:** Kari Seabrands

**Title:** Treasurer