# EDGAR Filing Document

**Accession Number:** 0000811922
**File Stem:** 0001752724-23-009177
**Filing Date:** 2023-1
**Character Count:** 197442
**Document Hash:** ab2bea1eda681875ed85f3149a9b810d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-009177.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001752724-23-009177

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20221130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS GOVERNMENT MARKETS INCOME TRUST
- **CENTRAL INDEX KEY:** 0000811922
- **IRS NUMBER:** 046565627
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05078
- **FILM NUMBER:** 23546030

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 24TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 18006372929

**MAIL ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 24TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MFS GOVERNMENT MARKETS INCOME TRUST

- **b. Investment Company Act file number:** 811-05078

- **c. CIK number of Registrant:** 0000811922

- **d. LEI of Registrant:** JW62H2NF5KGMYLA2ZL41

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

  - **Street Address 1:** 111 HUNTINGTON AVENUE

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

  - **Telephone number:** 617-954-5000

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

- **a. Name of Series:** MFS GOVERNMENT MARKETS INCOME TRUST

- **c. LEI of Series:** JW62H2NF5KGMYLA2ZL41

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

- **a. Date of fiscal year-end:** 2022-11-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $121759155.67

**Total Liabilities:** $6514914.37

**Net Assets:** $115244241.30

**Delayed Delivery Securities:** $5730120.54

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -52.87000000 | **1-Year:** -802.29000000 | **5-Year:** -4157.65000000 | **10-Year:** -8860.78000000 | **30-Year:** -4574.67000000

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

- **3-Month:** -5.65000000 | **1-Year:** -174.49000000 | **5-Year:** -647.43000000 | **10-Year:** -949.85000000 | **30-Year:** -71.53000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -6.51%               | 1.59%                | 3.99%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-330229.70              | $-4845006.13                               |
| Month 2  | $-555885.43              | $-1444692.23                               |
| Month 3  | $-59538.25               | $3943807.53                                |

**Designated Index Information**

- **Index Name:** 80% BBG US Gov/Mtge BI, 20% BBG US Credit

- **Index Identifier:** 80% LUMSTRUU, 20% LUCRTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FETQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4982477 | PA      | $71341.10     | 0.06%             | 2028-01-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38698 | PA      | $33195.24     | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AAL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133430 | PA      | $124073.71    | 0.11%             | 2041-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113262 | PA      | $106177.89    | 0.09%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1427237 | PA      | $64085.79     | 0.06%             | 2072-12-15      | Variable      | 1.00%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    588000 | PA      | $524000.89    | 0.45%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244550 | PA      | $207739.69    | 0.18%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    750000 | PA      | $546233.63    | 0.47%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94967 | PA      | $92864.01     | 0.08%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873865 | PA      | $44431.05     | 0.04%             | 2031-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1921000 | PA      | $1796885.38   | 1.56%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400000 | PA      | $371312.50    | 0.32%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BFXT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    827000 | PA      | $793232.43    | 0.69%             | 2024-12-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27761 | PA      | $27831.33     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                           | Becton Dickinson and Co                                                         | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    123000 | PA      | $112764.70    | 0.10%             | 2044-12-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31385JK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69961 | PA      | $72347.10     | 0.06%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412FS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19282 | PA      | $19983.78     | 0.02%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 Ltd                                | ACREC 2021-FL1 Ltd                                                              | CUSIP: 00500RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    323500 | PA      | $305699.93    | 0.27%             | 2036-10-16      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31414CRZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34962 | PA      | $36703.47     | 0.03%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168856 | PA      | $161261.84    | 0.14%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PFP III                                           | PFP 2021-7 Ltd                                                                  | CUSIP: 69290LAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    311484 | PA      | $291074.44    | 0.25%             | 2038-04-14      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29237 | PA      | $30502.98     | 0.03%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDIAN RAILWAY FINANCE                            | Indian Railway Finance Corp Ltd                                                 | CUSIP: 45434L2C7<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | CORP              | IN        |    376000 | PA      | $309119.21    | 0.27%             | 2031-02-10      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    490716 | PA      | $432326.87    | 0.38%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59916 | PA      | $56047.48     | 0.05%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    550000 | PA      | $468015.63    | 0.41%             | 2052-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111721 | PA      | $96079.83     | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 91282CBX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3940200 | PA      | $3866783.00   | 3.36%             | 2023-04-30      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133B2S75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144713 | PA      | $128340.38    | 0.11%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B5MH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82436 | PA      | $81244.31     | 0.07%             | 2036-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45800 | PA      | $44914.40     | 0.04%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112078 | PA      | $109236.10    | 0.09%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                          | CUSIP: 03880KAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    374500 | PA      | $352392.14    | 0.31%             | 2034-08-15      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B24 Mortgage Trust                                               | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170820 | PA      | $72533.96     | 0.06%             | 2054-03-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371LDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153422 | PA      | $160528.28    | 0.14%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321873 | PA      | $290844.90    | 0.25%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472019 | PA      | $400971.35    | 0.35%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57629 | PA      | $56292.34     | 0.05%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MONTEFIORE OBLIGATED GRP                          | Montefiore Obligated Group                                                      | CUSIP: 61237WAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    614000 | PA      | $572641.59    | 0.50%             | 2048-11-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                           | CUSIP: 04002VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    512000 | PA      | $480918.53    | 0.42%             | 2037-01-16      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Toledo Hospital/The                               | Toledo Hospital/The                                                             | CUSIP: 889184AD9<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    175000 | PA      | $167504.36    | 0.15%             | 2038-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26540 | PA      | $25010.87     | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                              | Saudi Arabian Oil Co                                                            | CUSIP: 80414L2H7<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    305000 | PA      | $277838.53    | 0.24%             | 2025-11-24      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65283 | PA      | $63697.34     | 0.06%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                             | Freeport Indonesia PT                                                           | CUSIP: 69377FAB2<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    451000 | PA      | $417175.00    | 0.36%             | 2032-04-14      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23977 | PA      | $24037.15     | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    459360 | PA      | $437396.22    | 0.38%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FMVC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250700 | PA      | $228089.82    | 0.20%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                              | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    488000 | PA      | $409346.09    | 0.36%             | 2029-02-02      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417G5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39181 | PA      | $36891.48     | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260010 | PA      | $220873.89    | 0.19%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AFZS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74278 | PA      | $73715.24     | 0.06%             | 2028-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46053 | PA      | $44984.29     | 0.04%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60511 | PA      | $52495.66     | 0.05%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Trust 2021-C10                                                            | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1179570 | PA      | $86783.58     | 0.08%             | 2054-07-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31384WLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14414 | PA      | $14849.90     | 0.01%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187493 | PA      | $161320.81    | 0.14%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2018-C48                                  | CUSIP: 95001RAY5<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |    902602 | PA      | $38694.62     | 0.03%             | 2052-01-15      | Variable      | 1.12%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66290 | PA      | $64692.57     | 0.06%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    750000 | PA      | $607604.58    | 0.53%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                             | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $75067.18     | 0.07%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $102054.11    | 0.09%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1090500 | PA      | $717131.55    | 0.62%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254523 | PA      | $219397.38    | 0.19%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86479 | PA      | $86698.23     | 0.08%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                                | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-4686.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                 | State Street Corp                                                               | CUSIP: 857477BN2<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    138000 | PA      | $121532.03    | 0.11%             | 2031-03-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ERSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133167 | PA      | $130078.31    | 0.11%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4017000 | PA      | $3097012.84   | 2.69%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3470000 | PA      | $2853668.35   | 2.48%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MMVR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396205 | PA      | $326718.37    | 0.28%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301928 | PA      | $284918.21    | 0.25%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                     | SALES TAX SECURITIZATION CORP IL                                                | CUSIP: 79467BDK8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    240000 | PA      | $180166.51    | 0.16%             | 2043-01-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403UHG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99710 | PA      | $104391.19    | 0.09%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40904 | PA      | $41031.38     | 0.04%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                              | Tencent Holdings Ltd                                                            | CUSIP: 88032WBA3<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    501000 | PA      | $413139.63    | 0.36%             | 2031-04-22      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Michigan Finance Authority                        | MICHIGAN ST FIN AUTH REVENUE                                                    | CUSIP: 59447TH89<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |     12445 | PA      | $11300.21     | 0.01%             | 2030-06-01      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AQVJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40300 | PA      | $38640.89     | 0.03%             | 2045-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJC99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118411 | PA      | $124448.78    | 0.11%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2860795 | PA      | $58004.62     | 0.05%             | 2031-01-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                            | CUSIP: 91087BAK6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    324000 | PA      | $310888.14    | 0.27%             | 2032-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -45 | NC      | $-23720.31    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Equate Petrochemical BV                           | Equate Petrochemical BV                                                         | CUSIP: 000000000<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |    253000 | PA      | $239276.27    | 0.21%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190088 | PA      | $167483.44    | 0.15%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 91282CCD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $2347312.51   | 2.04%             | 2023-05-31      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Syracuse Industrial Development Agency            | SYRACUSE NY INDL DEV AGY PILOT REVENUE                                          | CUSIP: 87172NBE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1215000 | PA      | $815201.58    | 0.71%             | 2036-01-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559633 | PA      | $46001.50     | 0.04%             | 2030-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2021-C9                                                    | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988345 | PA      | $90899.39     | 0.08%             | 2054-02-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    650000 | PA      | $565369.47    | 0.49%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X8ZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20533 | PA      | $16990.61     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134189 | PA      | $121627.07    | 0.11%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    109000 | PA      | $88598.30     | 0.08%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378TKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38802 | PA      | $2079.33      | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7674 | PA      | $694.21       | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187145 | PA      | $167599.81    | 0.15%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46087 | PA      | $43215.75     | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd                          | CUSIP: 03881CAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    175500 | PA      | $161619.00    | 0.14%             | 2035-12-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31411VC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2039 | PA      | $2069.62      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36225B2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49199 | PA      | $52502.68     | 0.05%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107614 | PA      | $88974.43     | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                | CUSIP: 22822VAU5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    464000 | PA      | $317419.06    | 0.28%             | 2051-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -5 | NC      | $-1010.05     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AQ2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64660 | PA      | $6591.94      | 0.01%             | 2036-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117330 | PA      | $109867.02    | 0.10%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $370634.76    | 0.32%             | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28539 | PA      | $4705.29      | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AWYJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173026 | PA      | $165958.54    | 0.14%             | 2053-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136AQ5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9079 | PA      | $9050.16      | 0.01%             | 2023-01-25      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $527250.01    | 0.46%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Village of Bridgeview IL                          | BRIDGEVIEW IL                                                                   | CUSIP: 108555GF4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    505000 | PA      | $490347.17    | 0.43%             | 2025-12-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-4                               | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    190508 | PA      | $177787.14    | 0.15%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63887 | PA      | $62405.23     | 0.05%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    379000 | PA      | $321770.68    | 0.28%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39585 | PA      | $38595.65     | 0.03%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XBDJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24757 | PA      | $21201.92     | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ERQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212724 | PA      | $204512.87    | 0.18%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199253 | PA      | $189716.98    | 0.16%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299898 | PA      | $264234.44    | 0.23%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    355000 | PA      | $282924.24    | 0.25%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                     | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                    | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     32000 | PA      | $40182.09     | 0.03%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F4D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11589219 | PA      | $161105.21    | 0.14%             | 2028-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AMNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55485 | PA      | $53142.16     | 0.05%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31405VJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45105 | PA      | $46348.56     | 0.04%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418EGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397425 | PA      | $367701.62    | 0.32%             | 2037-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36200MQ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255805 | PA      | $271170.82    | 0.24%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410851 | PA      | $349016.15    | 0.30%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    808717 | PA      | $48236.65     | 0.04%             | 2031-09-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                     | AIA Group Ltd                                                                   | CUSIP: 00131LAN5<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    200000 | PA      | $204672.31    | 0.18%             | 2027-10-25      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                         | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    115000 | PA      | $114299.78    | 0.10%             | 2023-02-10      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14787 | PA      | $15522.77     | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-2                               | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    103990 | PA      | $95759.89     | 0.08%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    374251 | PA      | $347608.15    | 0.30%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                           | Laboratory Corp of America Holdings                                             | CUSIP: 50540RAS1<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    106000 | PA      | $93321.79     | 0.08%             | 2045-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    868565 | PA      | $743590.18    | 0.65%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262130 | PA      | $255956.52    | 0.22%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BNPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138880 | PA      | $128667.16    | 0.11%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371LTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121319 | PA      | $127066.58    | 0.11%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    242000 | PA      | $238198.56    | 0.21%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31397QLS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9161 | PA      | $9025.97      | 0.01%             | 2040-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183484 | PA      | $158332.43    | 0.14%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86020 | PA      | $90345.95     | 0.08%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55035 | PA      | $51882.49     | 0.05%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379FNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26611 | PA      | $25340.93     | 0.02%             | 2043-09-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663744 | PA      | $40323.18     | 0.03%             | 2031-01-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK31                                                                 | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1521543 | PA      | $116131.49    | 0.10%             | 2054-02-15      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81024 | PA      | $78970.01     | 0.07%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B23 Mortgage Trust                                               | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1978290 | PA      | $135661.26    | 0.12%             | 2054-02-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140L1Y58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69224 | PA      | $57525.57     | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-3                               | CUSIP: 35563PLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    124014 | PA      | $118048.76    | 0.10%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94998 | PA      | $95237.85     | 0.08%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    638000 | PA      | $474462.66    | 0.41%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                | Ready Capital Mortgage Financing 2021-FL7 LLC                                   | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    216149 | PA      | $207043.72    | 0.18%             | 2036-11-25      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912828WJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    755000 | PA      | $732674.42    | 0.64%             | 2024-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Power Finance Corp Ltd                            | Power Finance Corp Ltd                                                          | CUSIP: 000000000<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | CORP              | IN        |    370000 | PA      | $358319.09    | 0.31%             | 2028-08-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633757 | PA      | $63072.51     | 0.05%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76018 | PA      | $73061.73     | 0.06%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133B0SP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    537182 | PA      | $460891.37    | 0.40%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        82 | NC      | $36421.45     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| WALT DISNEY COMPANY/THE                           | Walt Disney Co/The                                                              | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    612000 | PA      | $503337.86    | 0.44%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84375 | PA      | $81351.36     | 0.07%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65673 | PA      | $58894.31     | 0.05%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31335B7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115123 | PA      | $118841.41    | 0.10%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20045 | PA      | $20498.59     | 0.02%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140F5A45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296065 | PA      | $267518.65    | 0.23%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183682 | PA      | $167825.81    | 0.15%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94609 | PA      | $86913.81     | 0.08%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133B6DQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98545 | PA      | $85168.76     | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29838 | PA      | $30561.45     | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35680 | PA      | $34966.22     | 0.03%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128PPZS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14411 | PA      | $14443.91     | 0.01%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98566 | PA      | $96386.12     | 0.08%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112660 | PA      | $93727.50     | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                            | CUSIP: 06051GHC6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    183000 | PA      | $182785.66    | 0.16%             | 2023-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                    | BANK 2021-BNK35                                                                 | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    994326 | PA      | $59556.64     | 0.05%             | 2064-06-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 91282CBN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4181500 | PA      | $4137684.90   | 3.59%             | 2023-02-28      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65523 | PA      | $56549.09     | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | MASSACHUSETTS ST EDUCTNL FING AUTH                                              | CUSIP: 57563RRZ4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |    535000 | PA      | $485976.67    | 0.42%             | 2037-07-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133BPGR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99598 | PA      | $99175.33     | 0.09%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110173 | PA      | $95725.73     | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    485000 | PA      | $336043.34    | 0.29%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B26 Mortgage Trust                                               | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1597084 | PA      | $79688.60     | 0.07%             | 2054-06-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49370 | PA      | $48198.60     | 0.04%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31396HE70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39960 | PA      | $40462.03     | 0.04%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EKET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24360 | PA      | $24421.34     | 0.02%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corp          | GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT                     | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    175000 | PA      | $161833.65    | 0.14%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                     | CUSIP: 83162CVR1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    104649 | PA      | $99570.97     | 0.09%             | 2033-07-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    618465 | PA      | $544989.62    | 0.47%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153261 | PA      | $135105.64    | 0.12%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANCO DEL ESTADO -CHILE                           | Banco del Estado de Chile                                                       | CUSIP: 05965MAG8<br>LEI: 5493004R4EJC0W0XVQ72 | Long             | DBT              | CORP              | CL        |    241000 | PA      | $227385.64    | 0.20%             | 2025-01-09      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94563 | PA      | $81759.24     | 0.07%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    616750 | PA      | $566588.33    | 0.49%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-4                               | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    153546 | PA      | $135653.28    | 0.12%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-3                               | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    131467 | PA      | $121503.23    | 0.11%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BYPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2862568 | PA      | $28689.51     | 0.02%             | 2024-04-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXDA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28880 | PA      | $30344.28     | 0.03%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MHSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65152 | PA      | $54170.30     | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6WA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115904 | PA      | $122076.01    | 0.11%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M9DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3024764 | PA      | $2496243.05   | 2.17%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912828B66<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    577000 | PA      | $564197.81    | 0.49%             | 2024-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227362 | PA      | $213420.91    | 0.19%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                     | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | N/A       |         1 | NC      | $3861.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612877 | PA      | $61392.81     | 0.05%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9DT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95697 | PA      | $95993.59     | 0.08%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BCM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35971 | PA      | $34879.92     | 0.03%             | 2040-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135225 | PA      | $132064.56    | 0.11%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| City of Chicago IL                                | CHICAGO IL                                                                      | CUSIP: 167486C80<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |   1010000 | PA      | $1033148.70   | 0.90%             | 2036-01-01      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2272424 | PA      | $74317.81     | 0.06%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B28 Mortgage Trust                                               | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2208397 | PA      | $158153.91    | 0.14%             | 2054-08-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                  | BAT Capital Corp                                                                | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    600000 | PA      | $578502.58    | 0.50%             | 2027-04-02      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81574 | PA      | $79505.87     | 0.07%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                          | BXMT 2021-FL4 Ltd                                                               | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    345000 | PA      | $328791.24    | 0.29%             | 2038-05-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21342 | PA      | $22346.36     | 0.02%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                          | Liberty Mutual Group Inc                                                        | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     99000 | PA      | $69756.90     | 0.06%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31411VFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24485 | PA      | $25223.08     | 0.02%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77935 | PA      | $78131.87     | 0.07%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8406264 | PA      | $185435.47    | 0.16%             | 2027-07-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DM5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    917417 | PA      | $785433.48    | 0.68%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165646 | PA      | $149733.77    | 0.13%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31292KZ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510275 | PA      | $522391.81    | 0.45%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KM4Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318136 | PA      | $272350.50    | 0.24%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                          | Comision Federal de Electricidad                                                | CUSIP: 200447AH3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    232000 | PA      | $178294.32    | 0.15%             | 2031-02-09      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWFB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270234 | PA      | $231407.90    | 0.20%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BWP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137360 | PA      | $133392.72    | 0.12%             | 2028-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15249 | PA      | $15307.51     | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31292LLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117958 | PA      | $111391.98    | 0.10%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| California Earthquake Authority                   | CALIFORNIA ST EARTHQUAKE AUTH                                                   | CUSIP: 13017HAK2<br>LEI: 254900P2MGLOUH3QS859 | Long             | DBT              | MUN               | US        |    110000 | PA      | $107368.97    | 0.09%             | 2023-07-01      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155254 | PA      | $150973.94    | 0.13%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AFC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96866 | PA      | $90597.87     | 0.08%             | 2042-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                             | CUSIP: 80413TAZ2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    200000 | PA      | $144280.40    | 0.13%             | 2051-11-17      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236318 | PA      | $203585.15    | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                           | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $220631.82    | 0.19%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FARG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3934439 | PA      | $27650.84     | 0.02%             | 2024-07-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36177T4M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38047 | PA      | $36152.52     | 0.03%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    165000 | PA      | $148216.41    | 0.13%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489989 | PA      | $31513.40     | 0.03%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412LBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4903 | PA      | $5048.79      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FEZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9012315 | PA      | $62188.58     | 0.05%             | 2028-04-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70467 | PA      | $69183.87     | 0.06%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                     | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    173500 | PA      | $164121.80    | 0.14%             | 2036-07-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789331 | PA      | $54515.46     | 0.05%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $102241.61    | 0.09%             | 2052-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EREH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80117 | PA      | $78086.39     | 0.07%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188047 | PA      | $195990.89    | 0.17%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133AVBM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174005 | PA      | $149130.64    | 0.13%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141934 | PA      | $128622.51    | 0.11%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194234 | PA      | $184603.95    | 0.16%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137B4WB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294000 | PA      | $290426.34    | 0.25%             | 2023-07-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412V4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21136 | PA      | $21712.64     | 0.02%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418C5U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105311 | PA      | $99416.59     | 0.09%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124286 | PA      | $124256.11    | 0.11%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107878 | PA      | $112897.60    | 0.10%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THAIOIL TRSRY CENTER                              | Thaioil Treasury Center Co Ltd                                                  | CUSIP: 88322YAL5<br>LEI: 549300NH03B9E8VGJR89 | Long             | DBT              | CORP              | TH        |    470000 | PA      | $295134.26    | 0.26%             | 2050-06-18      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525000 | PA      | $474114.30    | 0.41%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                  | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    694000 | PA      | $654455.88    | 0.57%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L7                                          | CUSIP: 61772TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3368328 | PA      | $203548.41    | 0.18%             | 2054-10-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154006 | PA      | $150102.14    | 0.13%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84202 | PA      | $76803.56     | 0.07%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127031 | PA      | $117641.07    | 0.10%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22479 | PA      | $20946.76     | 0.02%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    875000 | PA      | $884933.15    | 0.77%             | 2052-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BSPDF 2021-FL1 Issuer Ltd                         | BSPDF 2021-FL1 Issuer Ltd                                                       | CUSIP: 055731AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200500 | PA      | $191635.49    | 0.17%             | 2036-10-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77134 | PA      | $78879.16     | 0.07%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                          | Constellation Brands Inc                                                        | CUSIP: 21036PBC1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1466432.16   | 1.27%             | 2028-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181413 | PA      | $175453.04    | 0.15%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66384 | PA      | $69680.63     | 0.06%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A5C38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12783 | PA      | $960.97       | 0.00%             | 2031-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93124 | PA      | $93460.77     | 0.08%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QPKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443170 | PA      | $392424.67    | 0.34%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1277474 | PA      | $138346.86    | 0.12%             | 2030-04-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QNWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140550 | PA      | $115891.49    | 0.10%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BMFL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19747 | PA      | $19138.43     | 0.02%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137B5KW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362276 | PA      | $358005.71    | 0.31%             | 2023-08-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2619786 | PA      | $101182.95    | 0.09%             | 2031-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85044 | PA      | $73122.43     | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222971 | PA      | $201476.90    | 0.17%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                   | 3650R 2021-PF1 Commercial Mortgage Trust                                        | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1176067 | PA      | $70119.46     | 0.06%             | 2054-11-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QFLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49538 | PA      | $42672.80     | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio          | MFS Institutional Money Market Portfolio                                        | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        |   1457049 | NS      | $1457048.94   | 1.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38377VGJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43657 | PA      | $42996.94     | 0.04%             | 2039-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117138 | PA      | $10884.23     | 0.01%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54425 | PA      | $50000.55     | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912828Y79<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4700000 | PA      | $4551656.25   | 3.95%             | 2025-07-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399402 | PA      | $32277.19     | 0.03%             | 2031-05-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AEEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5871 | PA      | $5778.72      | 0.01%             | 2040-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425000 | PA      | $430040.49    | 0.37%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810PT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    336000 | PA      | $375493.12    | 0.33%             | 2037-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                              | ERAC USA Finance LLC                                                            | CUSIP: 26884TAL6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     34000 | PA      | $32915.72     | 0.03%             | 2024-11-15      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group Inc                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PCQ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    672000 | PA      | $659669.03    | 0.57%             | 2035-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55965 | PA      | $54546.57     | 0.05%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133B5N24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67246 | PA      | $55698.09     | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181090 | PA      | $164320.30    | 0.14%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                          | Uruguay Government International Bond                                           | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     96000 | PA      | $104263.32    | 0.09%             | 2034-10-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18238 | PA      | $19096.15     | 0.02%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31409WVY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12640 | PA      | $13016.34     | 0.01%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128LDWL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13493 | PA      | $13823.83     | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110119 | PA      | $91302.44     | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                        | LAD Auto Receivables Trust 2022-1                                               | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122165 | PA      | $119917.30    | 0.10%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     42000 | PA      | $39204.47     | 0.03%             | 2025-10-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BLRJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52984 | PA      | $52674.44     | 0.05%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912828K74<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     98000 | PA      | $92640.63     | 0.08%             | 2025-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425000 | PA      | $424601.56    | 0.37%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                        | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    500000 | PA      | $455158.61    | 0.39%             | 2029-04-05      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371LQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162535 | PA      | $170234.91    | 0.15%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XIII Ltd                                                   | CUSIP: 55818MBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    452738 | PA      | $440929.23    | 0.38%             | 2030-04-19      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186909 | PA      | $166395.97    | 0.14%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426006 | PA      | $363310.86    | 0.32%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36177UCZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18709 | PA      | $18239.74     | 0.02%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    567700 | PA      | $507470.58    | 0.44%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                    | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    229000 | PA      | $165322.55    | 0.14%             | 2050-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20562 | PA      | $19987.50     | 0.02%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136APK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20378 | PA      | $19568.91     | 0.02%             | 2044-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31411JUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6424 | PA      | $6673.05      | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973113 | PA      | $47729.15     | 0.04%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                                        | CUSIP: 92840VAK8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    500000 | PA      | $488375.00    | 0.42%             | 2024-05-13      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37400 | PA      | $35234.37     | 0.03%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6535382 | PA      | $111199.52    | 0.10%             | 2027-08-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154428 | PA      | $141215.91    | 0.12%             | 2042-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298970 | PA      | $282034.29    | 0.24%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MSDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    747866 | PA      | $674680.40    | 0.59%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133BCZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199663 | PA      | $171018.20    | 0.15%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L6                                          | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145063 | PA      | $73776.05     | 0.06%             | 2054-06-15      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179TV44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194123 | PA      | $177352.23    | 0.15%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494343 | PA      | $407582.13    | 0.35%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF MOROCCO                                | Morocco Government International Bond                                           | CUSIP: 617726AL8<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |    377000 | PA      | $298651.86    | 0.26%             | 2032-12-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BANK HAPOALIM                                     | Bank Hapoalim BM                                                                | CUSIP: 000000000<br>LEI: B6ARUI4946ST4S7WOU88 | Long             | DBT              | CORP              | IL        |    200000 | PA      | $170644.00    | 0.15%             | 2032-01-21      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456325 | PA      | $401206.02    | 0.35%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ERQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389265 | PA      | $374226.94    | 0.32%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L5                                          | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737283 | PA      | $51739.67     | 0.04%             | 2054-05-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140K8RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72033 | PA      | $62279.66     | 0.05%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189914 | PA      | $163879.43    | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VAK6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    650000 | PA      | $496543.60    | 0.43%             | 2050-05-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31292SBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461069 | PA      | $434997.62    | 0.38%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        13 | NC      | $5838.69      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6895 | PA      | $7110.21      | 0.01%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403CXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22956 | PA      | $24100.86     | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MFW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445312 | PA      | $400751.61    | 0.35%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1109000 | PA      | $1190225.59   | 1.03%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -12 | NC      | $-6501.06     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32821 | PA      | $31988.54     | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94336 | PA      | $86198.72     | 0.07%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40155 | PA      | $37653.55     | 0.03%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                    | LoanCore 2021-CRE5 Issuer Ltd                                                   | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    283500 | PA      | $262864.01    | 0.23%             | 2036-07-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6071000 | PA      | $5638678.38   | 4.89%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417N4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30030 | PA      | $30708.92     | 0.03%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600527 | PA      | $64294.40     | 0.06%             | 2030-04-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1389954 | PA      | $149821.75    | 0.13%             | 2030-05-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78759 | PA      | $80839.49     | 0.07%             | 2034-08-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                               | Toledo Hospital/The                                                             | CUSIP: 889184AF4<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249207.31    | 0.22%             | 2028-11-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| BANK LEUMI LE-ISRAEL                              | Bank Leumi Le-Israel BM                                                         | CUSIP: 000000000<br>LEI: 7JDSZWRGUQY2DSTWCR57 | Long             | DBT              | CORP              | IL        |    354000 | PA      | $314617.50    | 0.27%             | 2031-01-29      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42327 | PA      | $38840.80     | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2018-H4                                          | CUSIP: 61691RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1621665 | PA      | $60154.20     | 0.05%             | 2051-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                     | CUSIP: 83162CVK6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    112993 | PA      | $102877.41    | 0.09%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33811 | PA      | $33026.32     | 0.03%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644718 | PA      | $25803.81     | 0.02%             | 2031-12-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32659 | PA      | $31841.24     | 0.03%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2022-1                               | CUSIP: 35563P7F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    217988 | PA      | $203393.10    | 0.18%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ACPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191648 | PA      | $174720.46    | 0.15%             | 2041-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MPWD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448298 | PA      | $369721.50    | 0.32%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                           | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    400000 | PA      | $385023.52    | 0.33%             | 2032-07-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314905 | PA      | $23046.79     | 0.02%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                     | CUSIP: 83162CVH3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     79307 | PA      | $72305.64     | 0.06%             | 2033-02-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F4X98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14016458 | PA      | $102130.92    | 0.09%             | 2028-02-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4T37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32563 | PA      | $33720.03     | 0.03%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MPWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34647 | PA      | $31265.64     | 0.03%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810FG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     48000 | PA      | $51611.25     | 0.04%             | 2029-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $350525.39    | 0.30%             | 2052-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    453700 | PA      | $396136.81    | 0.34%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138L3D28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111731 | PA      | $110166.86    | 0.10%             | 2023-05-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MPYL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395928 | PA      | $357278.52    | 0.31%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE6 Issuer, Ltd.                   | LoanCore 2021-CRE6 Issuer Ltd                                                   | CUSIP: 53948HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $469911.00    | 0.41%             | 2038-11-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WEEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29734 | PA      | $27906.30     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BRS71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20995 | PA      | $20775.59     | 0.02%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3899181 | PA      | $101632.15    | 0.09%             | 2031-11-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44836 | PA      | $43699.08     | 0.04%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406XKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10227 | PA      | $10427.58     | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339262 | PA      | $290466.59    | 0.25%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Capital Automotive Reit                           | CARS-DB4 LP                                                                     | CUSIP: 12510HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99271 | PA      | $92806.46     | 0.08%             | 2050-02-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BHCY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    533191 | PA      | $512422.39    | 0.44%             | 2025-01-25      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391000 | PA      | $19596.76     | 0.02%             | 2027-03-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378HQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43823 | PA      | $6526.59      | 0.01%             | 2042-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379RD34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179497 | PA      | $6341.67      | 0.01%             | 2059-02-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37274 | PA      | $34242.91     | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 91282CBD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    830000 | PA      | $827373.73    | 0.72%             | 2022-12-31      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                      | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    167000 | PA      | $153785.59    | 0.13%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42048 | PA      | $41072.64     | 0.04%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194487 | PA      | $172670.85    | 0.15%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176701 | PA      | $185035.23    | 0.16%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDOFOOD CBP SUKSES MAKM                          | Indofood CBP Sukses Makmur Tbk PT                                               | CUSIP: 000000000<br>LEI: 254900YKZW9GRKZZN285 | Long             | DBT              | CORP              | ID        |    416000 | PA      | $306969.32    | 0.27%             | 2052-04-27      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44279 | PA      | $41472.99     | 0.04%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133B4JE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128928 | PA      | $106857.24    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1697100 | PA      | $1419000.99   | 1.23%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91883 | PA      | $89734.76     | 0.08%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $643000.00    | 0.56%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185974 | PA      | $160012.79    | 0.14%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A4XB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111856 | PA      | $114081.69    | 0.10%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132D6BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173279 | PA      | $160321.31    | 0.14%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    885943 | PA      | $868208.33    | 0.75%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tyson Foods Inc                                   | Tyson Foods Inc                                                                 | CUSIP: 902494AY9<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     38000 | PA      | $35968.77     | 0.03%             | 2044-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BSPDF 2021-FL1 Issuer Ltd                         | BSPDF 2021-FL1 Issuer Ltd                                                       | CUSIP: 055731AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    253500 | PA      | $245134.25    | 0.21%             | 2036-10-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    804400 | PA      | $677675.58    | 0.59%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                 | Chile Government International Bond                                             | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    200000 | PA      | $167087.28    | 0.14%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                          | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     16000 | PA      | $15000.89     | 0.01%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34754 | PA      | $32574.33     | 0.03%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179969 | PA      | $160444.86    | 0.14%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407FJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60283 | PA      | $63289.73     | 0.05%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104823 | PA      | $98084.95     | 0.09%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B29 Mortgage Trust                                               | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1892219 | PA      | $107048.33    | 0.09%             | 2054-09-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C18                                                   | CUSIP: 054975AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1234532 | PA      | $48582.41     | 0.04%             | 2055-12-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $106923.83    | 0.09%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    375000 | PA      | $373125.00    | 0.32%             | 2052-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57736 | PA      | $58292.23     | 0.05%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93559 | PA      | $85910.74     | 0.07%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4503100 | PA      | $4888150.22   | 4.24%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316846 | PA      | $271263.89    | 0.24%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182241 | PA      | $156999.39    | 0.14%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Antonio B Won Pat International Airport Authority | GUAM INTERNATIONAL ARPT AUTH                                                    | CUSIP: 40064REL9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      5000 | PA      | $4013.19      | 0.00%             | 2043-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK32                                                                 | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996938 | PA      | $43977.53     | 0.04%             | 2054-04-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| DUA CAPITAL LTD                                   | Dua Capital Ltd                                                                 | CUSIP: 000000000<br>LEI: 213800ILVLALFTITCB43 | Long             | DBT              | CORP              | MY        |    400000 | PA      | $316808.00    | 0.27%             | 2031-05-11      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    678600 | PA      | $608327.79    | 0.53%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AWFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182514 | PA      | $171075.90    | 0.15%             | 2039-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-2                               | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9893 | PA      | $9390.78      | 0.01%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55817 | PA      | $52793.40     | 0.05%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2547783 | PA      | $154337.84    | 0.13%             | 2029-08-25      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93528 | PA      | $91156.82     | 0.08%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58672 | PA      | $54061.55     | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FBTA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477839 | PA      | $464038.79    | 0.40%             | 2024-08-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QN7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73066 | PA      | $66926.23     | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                            | Export-Import Bank of India                                                     | CUSIP: 30216JAF2<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    317000 | PA      | $252414.19    | 0.22%             | 2031-01-13      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| UAE INT'L GOVT BOND                               | UAE INTERNATIONAL GOVERNMENT BOND                                               | CUSIP: 31424EAE2<br>LEI: N/A                  | Long             | DBT              | NUSS              | AE        |    400000 | PA      | $395612.80    | 0.34%             | 2052-07-07      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18389 | PA      | $18349.97     | 0.02%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                           | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $200044.85    | 0.17%             | 2027-07-27      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3898081 | PA      | $140281.02    | 0.12%             | 2031-12-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289404 | PA      | $271453.72    | 0.24%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    750000 | PA      | $607860.50    | 0.53%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97328.13     | 0.08%             | 2052-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                     | CUSIP: 55282XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    279500 | PA      | $264160.70    | 0.23%             | 2036-07-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                           | Philippine Government International Bond                                        | CUSIP: 718286CT2<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    200000 | PA      | $210012.58    | 0.18%             | 2033-04-13      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31297V6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18656 | PA      | $19555.51     | 0.02%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                     | CUSIP: 83162CVU4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     91614 | PA      | $88712.91     | 0.08%             | 2033-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407CRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7944 | PA      | $8137.08      | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B27 Mortgage Trust                                               | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1457255 | PA      | $104371.36    | 0.09%             | 2054-07-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2022-1                               | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    168160 | PA      | $148451.76    | 0.13%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200148 | PA      | $188618.83    | 0.16%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN RSC LTD                                 | MDGH GMTN RSC Ltd                                                               | CUSIP: 55285GAB0<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |    200000 | PA      | $209900.00    | 0.18%             | 2033-04-28      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                           | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    714000 | PA      | $553144.56    | 0.48%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1131620 | PA      | $933624.75    | 0.81%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    357000 | PA      | $347946.46    | 0.30%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     33000 | PA      | $31155.91     | 0.03%             | 2024-10-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1257944 | PA      | $72858.46     | 0.06%             | 2029-07-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90191 | PA      | $85170.69     | 0.07%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B0CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130455 | PA      | $126218.83    | 0.11%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSERVATION FUND                                 | Conservation Fund A Nonprofit Corp/The                                          | CUSIP: 20848FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    159000 | PA      | $138303.87    | 0.12%             | 2029-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                     | CUSIP: 83162CNU3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     11552 | PA      | $11556.47     | 0.01%             | 2024-06-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47608 | PA      | $47728.44     | 0.04%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375GBQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000 | PA      | $17237.76     | 0.01%             | 2042-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-14

**Name of Applicant:** MFS GOVERNMENT MARKETS INCOME TRUST

**Signature:** Kasey Phillips

**Name of Signer:** Kasey Phillips

**Title:** Assistant Treasurer